The price dynamics of gold and silver have long been a matter of popular concern and fascination. The objective of this study is to investigate the dynamics of the bivariate relationship between gold and silver prices. First, we investigate the spread, measured as the price difference between...

This paper models the monthly price volatilities of four precious metals (gold, silver, platinum and palladium prices) and investigates the macroeconomic determinants (business cycle, monetary environment and financial market sentiment) of these volatilities. Gold volatility is shown to be...

We examine the long term dynamic relation between inflation and the price of gold. We begin by showing that there is no cointegration between gold and inflation if the volatile period of the early 1980s is excluded from the data. However, we are also able to demonstrate that there is significant...

In this paper we investigate the return relations between major asset classes using data from both the US and the UK. Our first objective is to examine time variation in conditional correlations to determine when these variables act as a hedge against each other. Secondly, we provide evidence on...