Discerning trends in international metal prices in the presence of nonstationary volatility

Research output: Contribution to journal › Journal article › Research › peer-review

Standard

Discerning trends in international metal prices in the presence of nonstationary volatility. / Addison, Anthony John; Ghoshray, Atanu.

In: Resource and Energy Economics, 02.2023.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Addison, AJ & Ghoshray, A 2023, 'Discerning trends in international metal prices in the presence of nonstationary volatility', Resource and Energy Economics. https://doi.org/10.1016/j.reseneeco.2022.101334

APA

Addison, A. J., & Ghoshray, A. (2023). Discerning trends in international metal prices in the presence of nonstationary volatility. Resource and Energy Economics, [101334]. https://doi.org/10.1016/j.reseneeco.2022.101334

Vancouver

Addison AJ, Ghoshray A. Discerning trends in international metal prices in the presence of nonstationary volatility. Resource and Energy Economics. 2023 Feb. 101334. https://doi.org/10.1016/j.reseneeco.2022.101334

Author

Addison, Anthony John ; Ghoshray, Atanu. / Discerning trends in international metal prices in the presence of nonstationary volatility. In: Resource and Energy Economics. 2023.

Bibtex

@article{fa9fc7986f82436a8b43869d3bb3e66e,
title = "Discerning trends in international metal prices in the presence of nonstationary volatility",
abstract = "In this paper, we develop an empirical framework that allows us to trace out a time path of metal prices. This framework shows that unpredictable shifts in demand, extraction costs and discovery of reserves, make estimation of the slope of this underlying trend an empirical question. Further, the low elasticity of demand and supply cause large volatility in the prices, which makes estimation of the trend difficult. We estimate the trend in metal prices employing econometric procedures that are robust to the underlying order of integration of the data and allow for nonstationary volatility, which we note is a characteristic feature of metal prices. We further analyse whether metal prices are characterised by stochastic trends by conducting unit root tests that allow for nonstationary volatility. Applying these procedures on metal prices for over a century, we draw conclusions that relate to policy.",
keywords = "Faculty of Social Sciences, Metal prices, Persistence, Volatility, Trends",
author = "Addison, {Anthony John} and Atanu Ghoshray",
year = "2023",
month = feb,
doi = "10.1016/j.reseneeco.2022.101334",
language = "English",
journal = "Resource and Energy Economics",
issn = "0928-7655",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Discerning trends in international metal prices in the presence of nonstationary volatility

AU - Addison, Anthony John

AU - Ghoshray, Atanu

PY - 2023/2

Y1 - 2023/2

N2 - In this paper, we develop an empirical framework that allows us to trace out a time path of metal prices. This framework shows that unpredictable shifts in demand, extraction costs and discovery of reserves, make estimation of the slope of this underlying trend an empirical question. Further, the low elasticity of demand and supply cause large volatility in the prices, which makes estimation of the trend difficult. We estimate the trend in metal prices employing econometric procedures that are robust to the underlying order of integration of the data and allow for nonstationary volatility, which we note is a characteristic feature of metal prices. We further analyse whether metal prices are characterised by stochastic trends by conducting unit root tests that allow for nonstationary volatility. Applying these procedures on metal prices for over a century, we draw conclusions that relate to policy.

AB - In this paper, we develop an empirical framework that allows us to trace out a time path of metal prices. This framework shows that unpredictable shifts in demand, extraction costs and discovery of reserves, make estimation of the slope of this underlying trend an empirical question. Further, the low elasticity of demand and supply cause large volatility in the prices, which makes estimation of the trend difficult. We estimate the trend in metal prices employing econometric procedures that are robust to the underlying order of integration of the data and allow for nonstationary volatility, which we note is a characteristic feature of metal prices. We further analyse whether metal prices are characterised by stochastic trends by conducting unit root tests that allow for nonstationary volatility. Applying these procedures on metal prices for over a century, we draw conclusions that relate to policy.

KW - Faculty of Social Sciences

KW - Metal prices

KW - Persistence

KW - Volatility

KW - Trends

U2 - 10.1016/j.reseneeco.2022.101334

DO - 10.1016/j.reseneeco.2022.101334

M3 - Journal article

JO - Resource and Energy Economics

JF - Resource and Energy Economics

SN - 0928-7655

M1 - 101334

ER -

ID: 334006832