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Especuladores en el mercado del cobre

Author

Listed:
  • Jaramillo G., Patricio

    (Banco Central de Chile)

  • Selaive C., Jorge

    (Banco Central de Chile)

Abstract

In the last few years, we have observed a significant boot in copper prices which has been accompanied with a larger share of speculators. In fact, long positions of speculators increased from 25% in 2002 to 47% in 2005. In this work, we build a comprehensive weekly database with positions of non-commercials agents in the copper futures market for the period 1992 -2006, to analyze its association with the level and volatility of copper prices. Our results show that speculators do not have permanent effects on the level of prices, although they may play a significant role in short- term price variations. Once we explore the role in the amplitude of price fluctuations, we find a positive but no significant effect of these agents in the volatility. Based on the results, it is advisably to follow the positions of speculators to improve the understanding of short-term variations in copper and other commodity prices.// En el periodo reciente el precio del cobre ha mostrado una marcada tendencia alcista y una alta volatilidad, que han estado acompañadas por un incremento en la participación de agentes no comerciales o especuladores. Las compras de estos agentes pasaron de representar cerca de 25% del total de operaciones del mercado de futuros de cobre en el 2002 a 47% el 2005. En este artículo se analiza una extensa base de datos de frecuencia semanal de las posiciones de agentes no comerciales en el mercado de derivados de cobre durante el período 1992-2006. Los resultados señalan nulos efectos permanentes de las posiciones en las variaciones de corto plazo experimentadas por el mismo metal. Asimismo, se encuentran efectos positivos pero marginalmente no significativos en la volatilidad del precio. Basado en estos resultados es aconsejable continuar un seguimiento en las posiciiones de especuladores para entender las variaciones de corto plazo en el precio del cobre y de otros productos básicos.

Suggested Citation

  • Jaramillo G., Patricio & Selaive C., Jorge, 2008. "Especuladores en el mercado del cobre," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(300), pages 945-980, octubre-d.
  • Handle: RePEc:elt:journl:v:75:y:2008:i:300:p:945-980
    DOI: http://dx.doi.org/10.20430/ete.v75i300.424
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    More about this item

    Keywords

    precio del cobre; agentes especuladores; volatilidad; modelos de corrección de errores; mercado de derivados;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q30 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - General

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