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Testing for bubbles in LME Metals Markets
dc.contributor.author | Figuerola Ferretti Garrigues, Isabel Catalina | es-ES |
dc.contributor.author | McCrorie, Roderick | es-ES |
dc.contributor.author | Gilbert, Christopher L. | es-ES |
dc.date.accessioned | 2016-02-25T11:59:20Z | |
dc.date.available | 2016-02-25T11:59:20Z | |
dc.date.issued | 01/09/2015 | es_ES |
dc.identifier.issn | 0143-9782 | es_ES |
dc.identifier.uri | http://hdl.handle.net/11531/6538 | |
dc.description | Artículos en revistas | es_ES |
dc.description.abstract | No procede | es-ES |
dc.description.abstract | This article applies the mildly explosive/multiple bubbles testing methodology developed by Phillips et al. (2015a, InternationalEconomic Review, forthcoming) to examine the recent time series behaviour of the six main London Metal Exchangenon-ferrous metals prices. We detect periods of mild explosivity in the cash and 3-month futures price series in each of copper, nickel, lead, zinc and tin, but not in aluminium. We argue that convenience yield, although the formal counterpart to dividendyield in commodity markets, is not a useful basis on which to assess whether observed explosivity is indicative of bubbles. Weconstruct other measures that suggest the observed explosivity in the non-ferrous metals market can be associated with tight physical markets. | en-GB |
dc.format.mimetype | application/pdf | es_ES |
dc.language.iso | en-GB | es_ES |
dc.rights | es_ES | |
dc.rights.uri | es_ES | |
dc.source | Revista: Journal of Time Series Analysis, Periodo: 2, Volumen: 36, Número: 5, Página inicial: 763, Página final: 782 | es_ES |
dc.title | Testing for bubbles in LME Metals Markets | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.description.version | info:eu-repo/semantics/publishedVersion | es_ES |
dc.rights.holder | El Journal tiene los derechos de autor | es_ES |
dc.rights.accessRights | info:eu-repo/semantics/restrictedAccess | es_ES |
dc.keywords | No procede | es-ES |
dc.keywords | Mildly explosive process; recursive regression; generalized sup ADF test; economic bubbles; commodity prices; non-ferrous metals; | en-GB |
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