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Formation of Industrial Metal Markets: Fundamental Theory, Co-movement and Time-varying Dependencies

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  • Schischke, Amelie
  • Rathgebe, Andreas

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  • Schischke, Amelie & Rathgebe, Andreas, 2023. "Formation of Industrial Metal Markets: Fundamental Theory, Co-movement and Time-varying Dependencies," 2023 Conference, April 24-25, 2023, St. Louis, Missouri 379018, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:nccc23:379018
    DOI: 10.22004/ag.econ.379018
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    References listed on IDEAS

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    1. Ohashi, Kazuhiko & Okimoto, Tatsuyoshi, 2016. "Increasing trends in the excess comovement of commodity prices," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 48-64.
    2. Pesaran M.H. & Schuermann T. & Weiner S.M., 2004. "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 129-162, April.
    3. Harold Hotelling, 1931. "The Economics of Exhaustible Resources," Journal of Political Economy, University of Chicago Press, vol. 39(2), pages 137-137.
    4. Chen, Jinyu & Zhu, Xuehong & Zhong, Meirui, 2019. "Nonlinear effects of financial factors on fluctuations in nonferrous metals prices: A Markov-switching VAR analysis," Resources Policy, Elsevier, vol. 61(C), pages 489-500.
    5. Cuddington, John T. & Zellou, Abdel M., 2013. "A simple mineral market model: Can it produce super cycles in prices?," Resources Policy, Elsevier, vol. 38(1), pages 75-87.
    6. Stuermer, Martin, 2018. "150 Years Of Boom And Bust: What Drives Mineral Commodity Prices?," Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 702-717, April.
    7. West, Kenneth D. & Wong, Ka-Fu, 2014. "A factor model for co-movements of commodity prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 289-309.
    8. Gross, Marco & Binder, Michael, 2013. "Regime-switching global vector autoregressive models," Working Paper Series 1569, European Central Bank.
    9. Pindyck, Robert S & Rotemberg, Julio J, 1990. "The Excess Co-movement of Commodity Prices," Economic Journal, Royal Economic Society, vol. 100(403), pages 1173-1189, December.
    10. Peersman, Gert & Rüth, Sebastian K. & Van der Veken, Wouter, 2021. "The interplay between oil and food commodity prices: Has it changed over time?," Journal of International Economics, Elsevier, vol. 133(C).
    11. Deaton, Angus & Laroque, Guy, 2003. "A model of commodity prices after Sir Arthur Lewis," Journal of Development Economics, Elsevier, vol. 71(2), pages 289-310, August.
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