The long-run relationship of gold and silver and the influence of bubbles and financial crises
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- Baur, D.G. & Tran, D.T. Empir Econ (2014) 47: 1525. doi:10.1007/s00181-013-0787-1
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This paper analyzes the long-run relationship between gold and silver prices. We closely follow Escribano and Granger (J Forecast 17:81–107, 1998) and extend their study. We use a longer sample period from 1970 to 2011 and study the role of bubbles and financial crises for the relationship between gold and silver prices. We find clear evidence for a co-integration relationship between gold and silver with gold prices driving the relationship. The analysis also indicates that the results are influenced by bubble-like episodes and financial crises.