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Gold - Silver Nexus: A Threshold Cointegration Approach

Author

Listed:
  • Zouheir Ahmed Mighri

    (School of Management, Huazhong University of Science and Technology, P.R. Chin)

  • Majid Ibrahim Al Saggaf

    (School of Management, Huazhong University of Science and Technology, P.R. Chin)

Abstract

We investigate the dynamic relationship between the gold and silver prices using the Enders-Siklos threshold cointegration approach. Our data are the weekly prices of the gold and silver from January 1968 to May 2016. We find a, asymmetric threshold cointegration between these two series, instead of the linear cointegration well established in the literature. The short-term adjustment to the equilibrium shows an asymmetric effect according to the price deviation from the long-run equilibrium. Moreover, using an equilibrium adjustment path asymmetry test, we find that, in the short term, gold has a much faster reaction to negative deviations from long-term equilibrium than positive deviations.

Suggested Citation

  • Zouheir Ahmed Mighri & Majid Ibrahim Al Saggaf, 2018. "Gold - Silver Nexus: A Threshold Cointegration Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 8(5), pages 210-219.
  • Handle: RePEc:eco:journ1:2018-05-28
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Threshold cointegration; price transmission; gold; silver;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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