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What are metal prices like? Co-movement, price cycles and long-run trends

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  • Rossen, Anja

Abstract

The dynamics of metal prices are not only highly relevant for consumers due to their extensive uses in various industries, but also for a number of producing countries. For these countries, export earning are often the main source of revenues. Therefore, the precise examination of metal prices, their long and short-run cyclical behavior, and their co-movement is essential for economic planing and forecasting purposes. This study examines the dynamics of 20 monthly price series of a variety of mineral commodities during the past 100 years. Compared to early studies, who are either restricted to the history of the recent 50–60 years or are based on yearly data frequency, this data set is a huge advantage. Co-movement, short-run cycles and super cycles are analyzed by means of common statistical methods and compared to the results in the literature. Findings suggest that metal prices do not necessarily follow similar patterns. Although a common pattern is discernible within certain metal groups such as precious metals and non-ferrous metals, other metal groups like electrical metals and steel alloys can show very different price dynamics with respect to co-movement and short-run price cycles. However, the results in the literature concerning super cycles (1910–1938, 1938–1968, 1968–1996, 1996–ongoing) can usually be confirmed for the data set in this study.

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  • Rossen, Anja, 2015. "What are metal prices like? Co-movement, price cycles and long-run trends," Resources Policy, Elsevier, vol. 45(C), pages 255-276.
  • Handle: RePEc:eee:jrpoli:v:45:y:2015:i:c:p:255-276
    DOI: 10.1016/j.resourpol.2015.06.002
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    More about this item

    Keywords

    Metal prices; Co-movement; Price cycles; Super cycles;
    All these keywords.

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices

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