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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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    References listed on IDEAS

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    More about this item

    Keywords

    Gold and silver prices; Persistence; Cyclical behavior; Fractional integration;

    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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