The presence of structural breaks in economic variables is one of the reasons why the cointegration analysis defined by Engle and Granger  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  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.
|Titolo:||Regime-sensitive cointegration: the relationship between gold and silver|
|Data di pubblicazione:||2010|
|Appare nelle tipologie:||2.1 Articolo su rivista |
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