Empirical Economics

, Volume 47, Issue 4, pp 1525–1541 | Cite as

The long-run relationship of gold and silver and the influence of bubbles and financial crises

  • Dirk G. Baur
  • Duy T. Tran


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.


Co-integration Nonlinear error correction Granger causality Gold Silver Bubbles Financial crisis 

JEL Classification

C22 G1 G110 


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Copyright information

© Springer-Verlag Berlin Heidelberg 2014

Authors and Affiliations

  1. 1.University of Technology, Sydney - Business SchoolSydneyAustralia

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