Modelling volatility persistence and asymmetry: A Study on selected Indian non-ferrous metals markets

Gil-Alana, Luís A.; Tripathy, Trilochan

doi:10.1016/j.resourpol.2014.02.004

Cited by 37 publications

(20 citation statements)

References 21 publications

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“…Due to rapid urbanization and industrialization in emerging economies, the global demand for scarce metals has increased steadily, resulting in imbalances in production and consumption. This phenomenon has also led to increases in speculative activities and price volatility [7]. Other research has established the predictability and safe harbor properties of precious metals, namely, platinum and palladium and revealed intermediate memory in their return structures, involving the instability of the persistency of returns in the long run [8].…”

Section: Introductionmentioning

confidence: 99%

The Relationship Between Prices of Various Metals, Oil and Scarcity

et al. 2018

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No consensus has been reached on the problem of solving resource depletion. A recognition of the fact that resources are not endless and the Earth is a finite globe reinforces the idea that the vision of continuous economic growth is not sustainable over time. The aim of this paper is to examine the efficacy of real prices as an indicator of metals and oil in consideration of growth tendencies in the Consumer Price Indexes. In addition, enhancing the current literature on commodity price interrelationships, the main contribution of this study is the substitution of different proxies in order to justify the effect of scarcity and crude oil changes on the examined metal group prices. In order to demonstrate the usefulness of scarcity as an indicator of real price deviations, the study has been conducted involving various non-renewable metals, i.e., copper, molybdenum, zinc, gold and platinum group metals. The real price indices and metal prices of the US market are constructed between 1913 and 2015. Moreover, additional econometric analyses are also carried out to discover whether prices of various metals associate with oil prices and scarcity, as the proxy of reserves-to-production ratio. The linear regression results seem to suggest that the effects of the R/P ratios are negatively correlated with each of the examined precious (gold, PGMs), mass consumable (copper, zinc) and doping agent (molybdenum) metals from 1991 to 2015. An increase in oil-prices is positively associated with the price levels of each non-renewable resource in the short-run. The findings of multivariate co-integration and Granger causality tests also suggest that pairwise and direct relationships among these variables seem to arise in the long-run. These findings indicate essential questions that must be addressed by future generations in order to appropriately solve scarcity problems.

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Section: Introductionmentioning

confidence: 99%

The Relationship Between Prices of Various Metals, Oil and Scarcity

et al. 2018

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“…Considering that volatility of financial returns is characterized by long-range dependence (see, e.g., Ding et al , 1993 ;Bollerslev and Mikkelsen , 1996 ;Granger , 1996 andGil-Alana et al , 2013;Gil-Alana and Tripathy , 2014; for more recent studies), generally explained by cross-sectional aggregation of clustered information arrival processes (Andersen and Bollerslev , 1997), we adopt an econometric framework designed to capture this persistent nature. Firstly, we investigate to what extent oil price and exchange rate volatility processes are fractionally cointegrated with the aim to capture the strength of the long-run relationship linking both markets.…”

Section: Introductionmentioning

confidence: 99%

On the risk comovements between the crude oil market and U.S. dollar exchange rates

Truchis

Keddad

2016

Economic Modelling

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ACL-2International audienceThis article examines the volatility dependence between crude oil market and four US dollar exchange rates by means of both fractional cointegration and copula techniques. The former exploits the long memory behavior of volatility processes to investigate whether they are tied through a common long-run equilibrium. The latter is complementary as it allows exploring whether the market volatility is linked over the short run. The cointegration results conclude in favor of long-run independence for the Canadian and Japanese exchange rates while few evidence of long-run dependence is found for the European and British exchange rates. Concerning the copula analysis, we conclude in favor of weak dependence when we consider the static copulas. Considering the time-varying copulas, it appears that dependence is sensitive to market conditions as we found increasing linkages just before the 2008 market collapse and more recently, in the aftermath of the European debt crisis

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“…Mineral price has volatility (Brunetti and Gilbert,1995;Eggert, 2001;McMillan and Speight, 2001;Watkins and McAleer, 2004;Dooley and Lenihan, 2005;Panas and Ninni, 2010;Arouri et al, 2012;Cochran et al, 2012;Ma, 2013;Arezki et al, 2014;Gil-Alana and Tripathy, 2014). Common features of commodity-producing countries are the enormous price swings that lead to equally enormous swings in export revenues, leading to boom-and-bust cycles that tend to persist for several years at a time (Mahmud and Basher, 2014).…”

Section: Introductionmentioning

confidence: 99%