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Comportamiento no lineal en series de productos primarios

Listed author(s):
  • Espinosa, Christian

    (Universidad Diego Portales)

  • Gorigoitía, Juan

    (Universidad de Santiago)

  • Maquieira, Carlos

    (Universidad Santo Tomás, Chile)

This paper uses the Hinich test to detect non-linearity windows on the series of daily closing prices of the commodities Copper, Gold, Palladium, Brent Oil, Silver, Platinum and Oil WTI. In addition, we use Wavelet theory to study either the scale or the scales that occur or accumulate the process of non-linearity. The results regarding the test of Hinichare consistent with those found in previous research, we confirm the phenomenon of non-linearity presence in series of prices of financial assets. Nevertheless, by breaking down the series using wavelet, we find evidence that there are periods of non-linearity that occur before the window of non-linearity. In addition, we find evidence that after a non-linear window the phenomenon of non-linearity does not fully disappeared butthere is still non-linear behavior in the windows of the next period, but at different scales. The results indicate the impossibility of building lineal models to predict expected prices for commodities and therefore it might be prudent to manage financial risk, not only for companies in hands of the private sector but also for those owned by the state.// En este artículo se emplea la prueba de Hinich para detectar ventanas de no linealidad sobre las series de rendimientos diarios de los productos primarios cobre, oro, paladio, petróleo Brent, plata, platino y petróleo WTI. Además, se utiliza la teoría de wavelets para estudiar la escala o las escalas temporales en que se produce o acumula el proceso de no linealidad.En cuanto a la prueba de Hinich los resultados obtenidos son compatibles con los encontrados en investigaciones anteriores, lo que confirma el fenómeno de omportamiento no lineal en series de activos financieros. Sin embargo, al descomponer la serie completa usando wavelets se encontró evidencia que existen periodos de no linealidad que se producen con anterioridad a la ventana no lineal detectada por la prueba de Hinich. Además, encontramos pruebas de que después de una ventana no lineal el fenómeno de no linealidad no se disipa por completo sino que sigue en ventanas del próximo periodo a escalas distintas de tiempo. Los resultados indican que no se pueden construir modelos lineales predictivos de precios, con lo cual podría hacer aconsejable gestionar el riesgo financiero, tanto para empresas pertenecientes al sector privado como aquellas en manos del Estado, de una manera distinta.

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Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

Volume (Year): LXXX (1) (2013)
Issue (Month): 317 (enero-marzo)
Pages: 143-168

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Handle: RePEc:elt:journl:v:80:y:2013:i:317:p:143-168
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