dc.contributor.author |
Gil-Alana, Luis A.
|
|
dc.contributor.author |
Aye, Goodness Chioma
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.date.accessioned |
2015-10-05T08:00:43Z |
|
dc.date.issued |
2015-11 |
|
dc.description.abstract |
The study proposes an alternative modelling specification for the
real prices of gold and silver that allows the long run trend and cyclical
behaviour to be modelled simultaneously by incorporating two
differencing parameters in a fractional integration framework.
However, we also consider the separate cases of a standard I(d)
process, with a pole or singularity at the zero frequency and a cyclical
I(d) model that incorporates a single pole in the spectrum at
a non-zero frequency. We use annual data spanning from 1833 to
2013 for gold and 1792 to 2013 for silver. Based on the more flexible
model that permits a pole at both zero (trend) and non-zero
(cycle) frequencies, we find that in general the estimates associated
to the long run or zero frequency appear to be above 1 in case
of gold and below 1 for silver, while the order of integration associated
with the cyclical frequency is slightly above 0 in the majority
of the cases in the two series. Further, higher orders of integration
are associated to the long run component compared with the cyclical
one. The implications of these findings are highlighted. |
en_ZA |
dc.description.embargo |
2016-11-30 |
|
dc.description.librarian |
hb2015 |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/JIMF |
en_ZA |
dc.identifier.citation |
Gil-Alana, LA, Aye, GC & Gupta, R 2015, 'Trends and cycles in historical gold and silver prices', Journal of International Money and Finance, vol. 58, pp. 98-109. |
en_ZA |
dc.identifier.issn |
0261-5606 (print) |
|
dc.identifier.issn |
1873-0639 (online) |
|
dc.identifier.other |
10.1016/j.jimonfin.2015.08.003 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/50159 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2015 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Journal of International Money and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of International Money
and Finance, vol. 58, pp. 98-109, 2015. doi : 10.1016/j.jimonfin.2015.08.003. |
en_ZA |
dc.subject |
Gold and silver prices |
en_ZA |
dc.subject |
Cycles |
en_ZA |
dc.subject |
Persistence |
en_ZA |
dc.subject |
Long memory |
en_ZA |
dc.title |
Trends and cycles in historical gold and silver prices |
en_ZA |
dc.type |
Postprint Article |
en_ZA |