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

This paper analyzes the long-run relationship between gold and silver prices. We closely follow Escribano and Granger (J Forecast 17:81–107, <CitationRef CitationID="CR10">1998</CitationRef>) 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. Copyright Springer-Verlag Berlin Heidelberg 2014