Dynamics Behind Cycles and Co-movements in Metal Prices: An Empirical Study Using Band-Pass Filters
作者： Matias Marañon , Mustafa Kumral
DOI: 10.1007/S11053-019-09535-Z
关键词:
摘要: After living one of the most intense metal price cycles, several ongoing macroeconomic phenomena with potential structurally redefining long-run supply and demand for metals, raising divergency regarding where prices are trending, it is suitable to evaluate dynamics in prices, especially focus on long cyclical components. This article studies detail components real base iron ore, gold, applying band-pass filters a novel decomposition over time series length as far 1800. The main findings are: (1) highly correlated among them proposed economic (2) short medium more relevant explaining deviations from their trend, but component not negligible, (3) co-movement metals strong all components, decreasing frequency increases, (4) either sideways or upward-trending depending assumptions correction US Consumer Price Index, which suggests that side these industries, best case, only offset cost increases by depletion.
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