This paper empirically examines the degree of persistence in four precious metal prices (i.e., gold, palladium, platinum, and silver) during the last four U.S. recessions. Unit root tests and fractional integration techniques suggest that gold still is the most prominent safe haven asset within...

The real convergence hypothesis in Australia, Canada, Japan and the UK is examined. For this purpose, the order of integration of the real GDP per capita series in these countries is examined as well as their differences with respect to the US which is used as a benchmark country. Both...

In this article we test for bubbles in the S&P 500 stock market index using monthly data over the period 1871m1-2004m6. We use fractional integration techniques, allowing for structural breaks and a nonlinear adjustment process of prices to dividends. We find a significant structural break...