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Determination of Copper Price Expectations in the International Market: Some Important Variables

Author

Listed:
  • Salles, Andre Assis de
  • Magrath, Raphael Sebastian
  • Malheiros, Matheus Manzani

Abstract

The purpose of this work is to identify variables that are relevant to the copper price setting in the international market. Thus statistical hypothesis tests and statistical tools that help to identify historical relevance and to measure the intensity of the impact of each variable on the copper price on several time horizons were applied. At the end, a regression model that aims to assess the combined effect of the considered time series was estimated. The global industrial production and the aluminum price showed the greatest evidences of being relevant to the copper price. The results suggest that copper stocks, foreign exchange rates and crude oil price should also be considered.

Suggested Citation

  • Salles, Andre Assis de & Magrath, Raphael Sebastian & Malheiros, Matheus Manzani, 2019. "Determination of Copper Price Expectations in the International Market: Some Important Variables," MPRA Paper 95812, University Library of Munich, Germany, revised 31 Aug 2019.
    • Handle: RePEc:pra:mprapa:95812
    as

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    References listed on IDEAS

    as
    1. Rodrigo A. Cerda, 2007. "Market power and primary commodity prices: the case of copper," Applied Economics Letters, Taylor & Francis Journals, vol. 14(10), pages 775-778.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    3. Javier García-Cicco & Roque Montero, 2011. "Modeling Copper Price: A Regime-Switching Approach," Working Papers Central Bank of Chile 613, Central Bank of Chile.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Bielak, Łukasz & Grzesiek, Aleksandra & Janczura, Joanna & Wyłomańska, Agnieszka, 2021. "Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling," Resources Policy, Elsevier, vol. 74(C).

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    More about this item

    Keywords

    Copper Price; Cointegration; Causality; Impulse Response Function.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • G1 - Financial Economics - - General Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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