{"title":"Time-varying and multi-scale analysis of copper price influencing factors based on LASSO and EMD methods","authors":"Yanqiong Liu , Yaoqi Guo , Qing Wei","doi":"10.1016/j.jcomm.2024.100388","DOIUrl":null,"url":null,"abstract":"<div><p>In this paper, we select 75 indicators to conduct a comprehensive analysis of the factors influencing the copper price along six dimensions: inventory, supply, demand, the macroeconomy, finance, and geopolitics. Facing the high-dimensionality problem, we use the least absolute shrinkage and selection operator (LASSO) regression model to select variables to measure the contribution of each category of factors. Furthermore, we identify the time-varying nature of the relationship among factors with rolling windows. Then, we decompose copper prices into different scales of fluctuations by means of empirical mode decomposition (EMD) and investigate the driving factors at each scale. The results show that financial and geopolitical factors have played an important role in copper pricing in recent years. The long-run fluctuation trend of copper prices is mainly determined by fundamental factors, while financial and geopolitical factors have a more direct impact on short-term fluctuations.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":null,"pages":null},"PeriodicalIF":3.7000,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Commodity Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2405851324000072","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper, we select 75 indicators to conduct a comprehensive analysis of the factors influencing the copper price along six dimensions: inventory, supply, demand, the macroeconomy, finance, and geopolitics. Facing the high-dimensionality problem, we use the least absolute shrinkage and selection operator (LASSO) regression model to select variables to measure the contribution of each category of factors. Furthermore, we identify the time-varying nature of the relationship among factors with rolling windows. Then, we decompose copper prices into different scales of fluctuations by means of empirical mode decomposition (EMD) and investigate the driving factors at each scale. The results show that financial and geopolitical factors have played an important role in copper pricing in recent years. The long-run fluctuation trend of copper prices is mainly determined by fundamental factors, while financial and geopolitical factors have a more direct impact on short-term fluctuations.
期刊介绍：
The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.
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