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Testing for mild explosivity and bubbles in LME non-ferrous metals prices
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dc.contributor.author | Figuerola-Ferretti, Isabel | |
dc.contributor.author | Gilbert, Christopher L. | |
dc.contributor.author | McCrorie, Roderick | |
dc.date.accessioned | 2016-02-03T00:11:41Z | |
dc.date.available | 2016-02-03T00:11:41Z | |
dc.date.issued | 2015-09 | |
dc.identifier | 159511251 | |
dc.identifier | 0f7e6024-333a-448a-9601-6be12ab9542e | |
dc.identifier | 84937974138 | |
dc.identifier | 000358696400012 | |
dc.identifier.citation | 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 | en |
dc.identifier.issn | 0143-9782 | |
dc.identifier.other | ORCID: /0000-0002-6838-7091/work/58531585 | |
dc.identifier.uri | https://hdl.handle.net/10023/8118 | |
dc.description | Figuerola-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. | en |
dc.description.abstract | 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. | |
dc.format.extent | 38 | |
dc.format.extent | 872297 | |
dc.language.iso | eng | |
dc.relation.ispartof | Journal of Time Series Analysis | en |
dc.subject | Mildly explosive process | en |
dc.subject | Recursive regression | en |
dc.subject | Generalized sup ADF test | en |
dc.subject | Economic bubbles | en |
dc.subject | Commodity prices | en |
dc.subject | Non-ferrous metals | en |
dc.subject | HB Economic Theory | en |
dc.subject | BDC | en |
dc.subject | R2C | en |
dc.subject.lcc | HB | en |
dc.title | Testing for mild explosivity and bubbles in LME non-ferrous metals prices | en |
dc.type | Journal article | en |
dc.contributor.sponsor | Carnegie Trust | en |
dc.contributor.institution | University of St Andrews. School of Economics and Finance | en |
dc.identifier.doi | 10.1111/jtsa.12121 | |
dc.description.status | Peer reviewed | en |
dc.date.embargoedUntil | 2016-09-01 | |
dc.identifier.grantnumber | 31935 | en |
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