Trends and cycles in historical gold and silver prices

Show simple item record Gil-Alana, Luis A. Aye, Goodness Chioma Gupta, Rangan 2015-10-05T08:00:43Z 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 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.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

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