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Understanding world metals prices--Returns, volatility and diversification

Listed author(s):
  • Chen, Mei-Hsiu
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    In recent times, the prices of internationally traded metals have reached record highs and there is considerable uncertainty regarding their future. This phenomenon is partially driven by strong demand from a small number of emerging economies, such as China and India. This paper uses a long time-series (1900-2007) on 21 metals prices to investigate their properties, and presents unique features of their volatility, including a decomposition into within- and between-group components. If most volatility is commodity-specific rather than "global", then metals-exporting dependent economies can smooth income via diversification.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0301-4207(10)00002-4
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    Article provided by Elsevier in its journal Resources Policy.

    Volume (Year): 35 (2010)
    Issue (Month): 3 (September)
    Pages: 127-140

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    Handle: RePEc:eee:jrpoli:v:35:y:2010:i:3:p:127-140
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30467

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