The Long-Run Relationship between Precious Metal Prices and the Business Cycle

42 Pages Posted: 11 Oct 2016

See all articles by Oleg Kucher

Oleg Kucher

Frostburg State University - Department of Economics

Suzanne McCoskey

Frostburg State University

Date Written: September 2016

Abstract

This study examines the long-run relationships between major precious metal prices over the last forty years. Using a vector error correction model, we find that weekly futures log prices of gold and silver, and gold and platinum appear to be cointegrated. The results show that the cointegrating relationships between precious metal prices are not stable over time with significant shifts in the price relations around business cycle peaks and during recessions. Our results indicate that the long-run relationships between precious metal prices are strongly influenced by economic conditions. These findings should contribute to the growing literature on linkages between macroeconomic fundamentals and the exact nature of the price relationships across different precious metals.

Keywords: gold, silver, and platinum prices, cointegration, the business cycle

JEL Classification: G1, E3, C22

Suggested Citation

Kucher, Oleg and McCoskey, Suzanne, The Long-Run Relationship between Precious Metal Prices and the Business Cycle (September 2016). Quarterly Review of Economics and Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2850775

Oleg Kucher (Contact Author)

Frostburg State University - Department of Economics ( email )

Guild Center 101 Braddock Road
Frostburg, MD 21532-2303
United States

Suzanne McCoskey

Frostburg State University ( email )

Frostburg, MD 21532
United States

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