The presence of structural breaks in economic variables is one of the reasons why the cointegration analysis defined by Engle and Granger [4] is not always able to detect the existence of a long run relationship, even when this is supported by the economic theory. In such a view, Granger and Siklos [6] propose the concept of regime-sensitive cointegration. This paper presents further developments on regime-sensitive cointegration to investigate about the existence of a stable equilibrium relationship between the price of gold and silver over the period 1971-2004.

Regime-sensitive cointegration: the relationship between gold and silver

GEROLIMETTO, Margherita;PROCIDANO, Isabella
2010-01-01

Abstract

The presence of structural breaks in economic variables is one of the reasons why the cointegration analysis defined by Engle and Granger [4] is not always able to detect the existence of a long run relationship, even when this is supported by the economic theory. In such a view, Granger and Siklos [6] propose the concept of regime-sensitive cointegration. This paper presents further developments on regime-sensitive cointegration to investigate about the existence of a stable equilibrium relationship between the price of gold and silver over the period 1971-2004.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/26463
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