The book I want to find is a children’s book. I am guessing it was published between the 1980s and early 1990s. The plot of the story is that these two girls (likely sisters) that are princesses and they find this mysterious red thread in their kingdom or castle. They often repeat “What is it? What is it? What could it be?” as they follow this red thread. Eventually the story ends with them finding where this red thread originated from, it was a large cat playing with a giant roll of red yarn. All pictures are cartoon drawings. I think it was a small hardcover book bound by that gold or silver lining.