The evolving relationship between gold and silver 1978--2002: evidence from a dynamic cointegration analysis: a note
AbstractThis study re-examines the results of Ciner (2001), who claims that the historically stable relationship between gold and silver has broken down in the 1990s. It is shown, using a longer run of data, for both cash and futures, that this finding may be unwarranted. In particular a recursive cointegration model is used to extract the evolution of the relationship over a 25 year period. The findings are that while there are periods when the relationship is weak, overall a stable relationship prevails.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 2 (2006)
Issue (Month): 1 (January)
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Web page: http://www.tandfonline.com/RAFL20
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