The Evolving Relationship between Gold and Silver 1978-2003: Evidence from Dynamic Cointegration Analysis

This study re-examines the results of Ciner (2001), who claims that the historically stable relationship between gold and silver has broken down in the 1990s. It is shown, using a longer run of data, for both cash and futures, that this finding may be unwarranted. In particular a recursive cointegration model is used to extract the evolution of the relationship over a 25 year period. The findings are that while there are periods when the relationship is weak, overall a stable relationship prevails.

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