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The long-run relationship between precious metal prices and the business cycle

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  • Kucher, Oleg
  • McCoskey, Suzanne

Abstract

This study examines the long-run relationships between major precious metal prices over the last forty years. Using a vector error correction model, we find that weekly futures log prices of gold and silver, and gold and platinum appear to be cointegrated. The results show that the cointegrating relationships between precious metal prices are not stable over time with significant shifts in the price relations around business cycle peaks and during recessions. Our results indicate that the long-run relationships between precious metal prices are strongly influenced by economic conditions. These findings should contribute to the growing literature on linkages between macroeconomic fundamentals and the exact nature of the price relationships across different precious metals.

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  • Kucher, Oleg & McCoskey, Suzanne, 2017. "The long-run relationship between precious metal prices and the business cycle," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 263-275.
    • Handle: RePEc:eee:quaeco:v:65:y:2017:i:c:p:263-275
    DOI: 10.1016/j.qref.2016.09.005
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    More about this item

    Keywords

    Gold; Silver; Platinum prices; Cointegration; The US business cycle;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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