Abstract:
This paper analyzes the relationship betweensilver price, gold price and U.S. dollar index and its change before and after the U.S. subprime mortgage crisis,especially focusing on the dynamics of silver price. The data used covers a period from January 2, 1986 to January 31, 2012. The methodology in this study includes cointegrated VAR model and Granger causality test. The findings show that there is a cointegration relationship between the three variables and silver price is unidirectionally Granger caused by the other two variables before the subprime crisis but such relationship has weakened after the subprime crisis.