Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle

Galán Gutiérrez, Juan Antonio, Labeaga, José M y Martín-García, Rodrigo . (2023) Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle. Resources Policy (2023) 81 - 103413

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Título Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle
Autor(es) Galán Gutiérrez, Juan Antonio
Labeaga, José M
Martín-García, Rodrigo
Materia(s) Economía
Abstract This paper is devoted to test agents’ behavior in the markets of hard commodities by trying to distinguish between managing future price structures to hedge their positions and speculating in on prices. We do a triple analysis: cointegration on the time series, structural breaks over the full time series and panel data. The analysis of the full series and the identification of structural breaks allows us to discover the connection between high prices and the negative futures price structure (backwardation) in rising prices scenarios of tin, copper, aluminium, and zinc. Moreover, we obtain that the base metals full matrix (price and futures price structure) is cointegrated in our analysis that uses panel data methods. We believe that these results are important for agents in the markets, as commodity traders or brokers, to maximize profits in their hedging positions.
Palabras clave Normal backwardation
Cointegration
Base metals
Hard commodities
Futures price structure
Editor(es) Elsevier
Fecha 2023-03
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Jagutierrez-0002
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Jagutierrez-0002
DOI - identifier https://doi.org/10.1016/j.resourpol.2023.103413
ISSN - identifier 0301-4207
Nombre de la revista Resources Policy
Número de Volumen 81
Publicado en la Revista Resources Policy (2023) 81 - 103413
Idioma eng
Versión de la publicación publishedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by-nc-nd/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales La versión publicada de este artículo, publicada por primera vez en Resources Policy (2023) 81 - 103413 , está disponible en línea en el sitio web de la editorial: Elsevier https://doi.org/10.1016/j.resourpol.2023.103413
Notas adicionales The published version of this article, first published in Resources Policy (2023) 81 - 103413 , is available online at the publisher's website: Elsevier https://doi.org/10.1016/j.resourpol.2023.103413

 
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Creado: Tue, 09 Apr 2024, 19:56:46 CET