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The Long-run Relationship of Gold and Silver and the Influence of Bubbles and Financial Crises

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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.

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File URL: http://www.finance.uts.edu.au/research/wpapers/wp172.pdf
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Bibliographic Info

Paper provided by Finance Discipline Group, UTS Business School, University of Technology, Sydney in its series Working Paper Series with number 172.

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Length: 29
Date of creation: 01 Aug 2012
Date of revision:
Handle: RePEc:uts:wpaper:172

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Keywords: co-integration; nonlinear error-correlation; Granger causality; gold; silver; bubbles; financial crisis;

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  1. Bahram Adrangi & Arjun Chatrath & Rohan Christie David, 2000. "Price discovery in strategically-linked markets: the case of the gold-silver spread," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 227-234.
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