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The long-run relationship of gold and silver and the influence of bubbles and financial crises

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  • Dirk Baur
  • Duy Tran

Abstract

This paper analyzes the long-run relationship between gold and silver prices. We closely follow Escribano and Granger (J Forecast 17:81–107, 1998 ) and extend their study. We use a longer sample period from 1970 to 2011 and study the role of bubbles and financial crises for the relationship between gold and silver prices. We find clear evidence for a co-integration relationship between gold and silver with gold prices driving the relationship. The analysis also indicates that the results are influenced by bubble-like episodes and financial crises. Copyright Springer-Verlag Berlin Heidelberg 2014

Suggested Citation

  • Dirk Baur & Duy Tran, 2014. "The long-run relationship of gold and silver and the influence of bubbles and financial crises," Empirical Economics, Springer, vol. 47(4), pages 1525-1541, December.
    • Handle: RePEc:spr:empeco:v:47:y:2014:i:4:p:1525-1541
    DOI: 10.1007/s00181-013-0787-1
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    More about this item

    Keywords

    Co-integration; Nonlinear error correction; Granger causality; Gold; Silver; Bubbles; Financial crisis; C22; G1; G110;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G1 - Financial Economics - - General Financial Markets

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