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Persistence in Trends and Cycles of Gold and Silver Prices: Evidence from Historical Data

Author

Listed:
  • Juncal Cunado

    (University of Navarra, School of Economics, Edificio Amigos, Pamplona, Spain)

  • Luis A. Gil-Alana

    (University of Navarra, School of Economics, Edificio Amigos, Pamplona, Spain)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, South Africa)

Abstract

This study examines the persistence in gold and silver prices covering the historical periods of 1257 to 2016 and 1687 to 2016 respectively, by means of simultaneously estimating two differencing parameters for the long run trend and the cyclical behavior in a fractional integration framework. As opposed to many previous papers in the literature, once the cyclical differencing parameter is taken into account, mean reversion is detected in the long run trend of both gold and silver prices. As far as the cyclical behavior of gold and silver prices is concerned, we find that cycles have a higher periodicity for gold (around 7 years) than for silver (4-5 years)

Suggested Citation

  • Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2018. "Persistence in Trends and Cycles of Gold and Silver Prices: Evidence from Historical Data," Working Papers 201816, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201816
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    Cited by:

    1. Agnese, Pablo & Garcia-del-Barrio, Pedro & Gil-Alana, Luis A. & de Gracia, Fernando Perez, 2023. "Precious Metal Prices: A Tale of Four U.S. Recessions," IZA Discussion Papers 16012, Institute of Labor Economics (IZA).
    2. Shahbaz, Muhammad & Trabelsi, Nader & Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Jiao, Zhilun, 2021. "Relationship between green investments, energy markets, and stock markets in the aftermath of the global financial crisis," Energy Economics, Elsevier, vol. 104(C).
    3. Zeng, Sheng & Liu, Xinchun & Li, Xiafei & Wei, Qi & Shang, Yue, 2019. "Information dominance among hedging assets: Evidence from return and volatility directional spillovers in time and frequency domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    4. Awaworyi-Churchill, Sefa & Inekwe, John & Ivanovski, Kris & Smyth, Russell, 2022. "Breaks, trends and correlations in commodity prices in the very long-run," Energy Economics, Elsevier, vol. 108(C).
    5. Shen, Na & Chen, Jiayi, 2023. "Asymmetric multifractal spectrum distribution based on detrending moving average cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
    6. Oluwasegun B. Adekoya, 2021. "Persistence and efficiency of OECD stock markets: linear and nonlinear fractional integration approaches," Empirical Economics, Springer, vol. 61(3), pages 1415-1433, September.
    7. Shahid, Muhammad Naeem & Azmi, Wajahat & Ali, Mohsin & Islam, Muhammad Umar & Rizvi, Syed Aun R., 2023. "Uncovering risk transmission between socially responsible investments, alternative energy investments and the implied volatility of major commodities," Energy Economics, Elsevier, vol. 120(C).
    8. Apergis, Nicholas & Carmona-González, Nieves & Gil-Alana, Luis Alberiko, 2020. "Persistence in silver prices and the influence of solar energy," Resources Policy, Elsevier, vol. 69(C).

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    More about this item

    Keywords

    Gold and silver prices; Persistence; Cyclical behavior; Fractional integration;
    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
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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