The Evolving Relationship between Gold and Silver 1978-2003: Evidence from Dynamic Cointegration Analysis
15 Pages Posted: 20 Nov 2003
Date Written: September 2003
This paper re-examines the results of Ciner (2001), who claims that the historically stable relationship between gold and silver has broken down in the 1990's. We show, using a longer run of data, for both cash and futures, that this finding may be unwarranted. In particular we use a recursive cointegration model to extract the evolution of the relationship over a 25 year period. Our findings are that while there are periods when the relationship is weak, overall a stable relationship prevails.
Keywords: Gold, Cointegration
JEL Classification: C61, G11
Suggested Citation: Suggested Citation