Establishing the evolving relationship between gold, palladium, platinum, and silver through dynamic cointegration techniques: Evidence from 1994-2008

College

Ramon V. Del Rosario College of Business

Department/Unit

Business Management

Document Type

Archival Material/Manuscript

Publication Date

8-2008

Abstract

This study explored the evolving relationship between the prices of precious metals for the period of 1994-2008. Applying the dynamic cointegration techniques that have emerged from the standard Johansen methodology, it was found that, except for intermittent periods, there is no cointegration between the prices of gold, palladium, platinum, and silver, either as a system or as pairs. Event analysis was used to investigate the forces that have affected the relationship of the prices of these precious metals. The analysis presented in this study can help investors in their diversification decisions and industrial firms in their inventory decisions.

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Disciplines

Business | Other Business

Keywords

Precious metals—Prices; Selling—Precious metals

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