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Duration and characteristics of metal price cycles

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  • Roberts, Mark C.
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    Abstract

    This paper addresses the fluctuations in real metal prices: are they simply random variations or do they display some degree of cyclicality? This study identifies peaks and troughs in the inflation adjusted prices for 14 metals, using monthly average data from January 1947 through December 2007. Duration dependence testing, which is performed on the expansions, contractions, and full cycles, finds many cases in which the duration of these phases are not purely random and have some degree of cyclicality. Additional characterization show that contractions generally persist longer than expansions (in contrast to macroeconomic cycles) that long-term real prices have been trendless, and that the amplitude of price changes over the phases has little regularity. For those performing this type of analysis, the appendices explain the procedures for dating turning points and assessing duration dependence.

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    Bibliographic Info

    Article provided by Elsevier in its journal Resources Policy.

    Volume (Year): 34 (2009)
    Issue (Month): 3 (September)
    Pages: 87-102

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    Handle: RePEc:eee:jrpoli:v:34:y:2009:i:3:p:87-102

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    Web page: http://www.elsevier.com/locate/inca/30467

    Related research

    Keywords: Metal prices Cyclicality of prices Duration of metal price cycles Commodity price cycles;

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    Cited by:
    1. David Matesanz Gomez & Guillermo J. Ortega & Benno Torgler & German Dabat, 2011. "Co-movements in commodity prices: A note based on network analysis," CREMA Working Paper Series 2011-21, Center for Research in Economics, Management and the Arts (CREMA).
    2. Auger, Felipe & Ignacio Guzmán, Juan, 2010. "How rational are investment decisions in the copper industry?," Resources Policy, Elsevier, vol. 35(4), pages 292-300, December.
    3. Kriechbaumer, Thomas & Angus, Andrew & Parsons, David & Rivas Casado, Monica, 2014. "An improved wavelet–ARIMA approach for forecasting metal prices," Resources Policy, Elsevier, vol. 39(C), pages 32-41.

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