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بررسی سرریز ریسک پویا نامتقارن در بازار فلزات اساسی: شواهدی از مدیریت مواد مصرفی مجتمع صنایع مس شهید باهنر
[Examining Asymmetric Dynamic Risk Spillover in the Base Metals Market: Evidence from Material Management at Shahid Bahonar Copper Industries Complex]

Author

Listed:
  • Roudari, Soheil
  • Ahmadian- Yazdi, Farzaneh
  • Namazizadeh, Ehsan

Abstract

Industrial metals, particularly copper, zinc, lead, and nickel, play a pivotal role not only in determining the pricing of manufactured goods but also in ensuring the economic security of nations. Analyzing the return interconnections of these metals under varying market conditions is crucial. This study employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model over the period from January 1990 to May 2024 to examine the price fluctuations of these metals, which are essential inputs for Shahid Bahonar Copper Industries. The results indicate that zinc and lead are the primary risk transmitters in normal and bullish markets, whereas in bearish markets, zinc acts as the main transmitter and nickel as the primary receiver of volatility. Additionally, significant asymmetries in volatility transmission are observed between these metals during bullish and bearish conditions, with more pronounced effects during events such as the 2008 financial crisis (for copper and zinc) and the Russia-Ukraine war (for zinc and lead). This research also offers practical insights for industry managers, enabling them to determine optimal timing for purchasing raw materials and selling products based on the co-movement or divergence of metal prices. The proposed strategies focus on minimizing costs and maximizing profitability, providing a comprehensive framework for effectively managing volatility in metal markets.

Suggested Citation

  • Roudari, Soheil & Ahmadian- Yazdi, Farzaneh & Namazizadeh, Ehsan, 2024. "بررسی سرریز ریسک پویا نامتقارن در بازار فلزات اساسی: شواهدی از مدیریت مواد مصرفی مجتمع صنایع مس شهید باهنر [Examining Asymmetric Dynamic Risk Spillover in the Base Metals Market: Evidence from Material Management at Shahid Bahonar Copper Industrie," MPRA Paper 126957, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:126957
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    References listed on IDEAS

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    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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