Publicación: Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle
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Fecha
2023-03
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Atribución-NoComercial-SinDerivadas 4.0 Internacional
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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Elsevier
Resumen
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.
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Categorías UNESCO
Palabras clave
Normal backwardation, Cointegration, Base metals, Hard commodities, Futures price structure
Citación
Centro
Facultad de Ciencias Económicas y Empresariales
Departamento
Economía de la Empresa y Contabilidad