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Persistence in trends and cycles of gold and silver prices: Evidence from historical data

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  • Cunado, Juncal
  • Gil-Alana, Luis A.
  • Gupta, Rangan

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. The same result is obtained when structural breaks are taken into account. 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

  • Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2019. "Persistence in trends and cycles of gold and silver prices: Evidence from historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 345-354.
    • Handle: RePEc:eee:phsmap:v:514:y:2019:i:c:p:345-354
    DOI: 10.1016/j.physa.2018.09.081
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    Cited by:

    1. Oluwasegun B. Adekoya, 0. "Persistence and efficiency of OECD stock markets: linear and nonlinear fractional integration approaches," Empirical Economics, Springer, vol. 0, pages 1-19.
    2. 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).

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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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