Testing for bubbles in LME Metals Markets
Fecha
01/09/2015Estado
info:eu-repo/semantics/publishedVersionMetadatos
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No procede 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.
Testing for bubbles in LME Metals Markets
Tipo de Actividad
Artículos en revistasISSN
0143-9782Palabras Clave
No procedeMildly explosive process; recursive regression; generalized sup ADF test; economic bubbles; commodity prices; non-ferrous metals;