Testing for mild explosivity and bubbles in LME non-ferrous metals prices
MetadataShow full item record
Altmetrics Handle Statistics
Altmetrics DOI Statistics
This paper applies the mildly explosive/multiple bubbles testing methodology developed by Phillips, Shi and Yu (2015a, International Economic Review, forthcoming) to examine the recent time series behaviour of the main six London Metal Exchange (LME) non-ferrous metals prices. We detect periods of mild explosivity in the cash and three-month futures price series in each of copper, nickel, lead, zinc and tin, but not in aluminium. We argue that convenience yield, though the formal counterpart to dividend yield in commodity markets, is not a useful basis on which to assess whether observed explosivity is indicative of bubbles (namely, departures of prices from their fundamental values). We construct other measures that provide evidence that suggests the observed explosivity in the non-ferrous metals market can be associated with tight physical markets.
Figuerola-Ferretti , I , Gilbert , C L & McCrorie , R 2015 , ' Testing for mild explosivity and bubbles in LME non-ferrous metals prices ' , Journal of Time Series Analysis , vol. 36 , no. 5 , pp. 763-782 . https://doi.org/10.1111/jtsa.12121
Journal of Time Series Analysis
(c) John Wiley & Sons Ltd. This is the peer reviewed version of the following article: Figuerola-Ferretti Isabel, Gilbert Christopher L., and McCrorie J. Roderick (2015), Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices, J. Time Ser. Anal, which has been published in final form at http://dx.doi.org/10.1111/jtsa.12121. This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
DescriptionFiguerola-Ferretti thanks the Spanish Ministry of Education and Science for support under grants MICINN ECO2010-19357, ECO2012-36559 and ECO2013-46395, and McCrorie, The Carnegie Trust for the Universities of Scotland under grant no. 31935.
Items in the St Andrews Research Repository are protected by copyright, with all rights reserved, unless otherwise indicated.