Finance Discipline Group
UTS Business School
University of Technology, Sydney

Working Paper Series

Title:
The Long-run Relationship of Gold and Silver and the Influence of Bubbles and Financial Crises
Author(s): Dirk G. Baur and Duy T. Tran
Date of publication: August 2012
Working paper number: 172
Abstract:
This paper analyzes the long-run relationship between gold and silver prices. We closely follow Escribano and Granger (1998) and extend their study. First, we use a 40-year sample period from 1970-2010 and examine the existence and stability of a long-run relationship between gold and silver prices. Second, we study the role of bubbles and financial crises for the relationship between gold and silver. The results indicate that extreme price changes in certain periods create long-run (co-integration relationships since gold and silver are not co-integrated in “normal” periods.
Paper: Download (Format: PDF, Size: 216 Kb)
Comments: Published as: Baur, D. G. and Tran, D. T., 2014, "The Long-run Relationship of Gold and Silver and the Influence of Bubbles and Financial Crises", Empirical Economics, 67(4), 1525-1541.
Known citations:

Golosnoy, V. and Rossen, A., 2014, "Modeling Dynamics of Metal Price Series Via State Space Approach with Two Common Factors", Research Paper: 156, Hamburg Institute of International Economics.

Hambardzumyan, A., 2014, "Gold and Silver Prices, Long-Run and Short-Run Association", Working Paper.

Klaus, B. J., 2012, "Kointegration am Beispiel der Gold-Silber-Relation", Diplomarbeit, Universität Wien. Fakultät für Wirtschaftswissenschaften.

Mohamed, M. B. H., Skima, I., Saafi, S. and Farhat, A., 2014, "Price Modeling: Analysis with a Vector Error Correction Model", International Conference on Innovation & Engineering Management (IEM-2014) Proceedings.

Rossen, A., 2014, "What are Metal Prices Like? Co-movement, Price Cycles and Long-Run Trends", Research Paper: 155, Hamburg Institute of International Economics.