{"title":"Discerning trends in international metal prices in the presence of nonstationary volatility","authors":"Tony Addison , Atanu Ghoshray","doi":"10.1016/j.reseneeco.2022.101334","DOIUrl":null,"url":null,"abstract":"<div><p>In this paper, we develop an empirical framework that allows us to trace out a time path of metal prices. This framework shows that unpredictable shifts in demand, extraction costs and discovery of reserves, make estimation of the slope of this underlying trend an empirical question. Further, the low elasticity of demand and supply cause large volatility in the prices, which makes estimation of the trend difficult. We estimate the trend in metal prices employing econometric procedures that are robust to the underlying order of integration of the data and allow for nonstationary volatility, which we note is a characteristic feature of metal prices. We further analyse whether metal prices are characterised by stochastic trends by conducting unit root tests that allow for nonstationary volatility. Applying these procedures on metal prices for over a century, we draw conclusions that relate to policy.</p></div>","PeriodicalId":47952,"journal":{"name":"Resource and Energy Economics","volume":"71 ","pages":"Article 101334"},"PeriodicalIF":2.6000,"publicationDate":"2023-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Resource and Energy Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0928765522000513","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper, we develop an empirical framework that allows us to trace out a time path of metal prices. This framework shows that unpredictable shifts in demand, extraction costs and discovery of reserves, make estimation of the slope of this underlying trend an empirical question. Further, the low elasticity of demand and supply cause large volatility in the prices, which makes estimation of the trend difficult. We estimate the trend in metal prices employing econometric procedures that are robust to the underlying order of integration of the data and allow for nonstationary volatility, which we note is a characteristic feature of metal prices. We further analyse whether metal prices are characterised by stochastic trends by conducting unit root tests that allow for nonstationary volatility. Applying these procedures on metal prices for over a century, we draw conclusions that relate to policy.
期刊介绍:
Resource and Energy Economics provides a forum for high level economic analysis of utilization and development of the earth natural resources. The subject matter encompasses questions of optimal production and consumption affecting energy, minerals, land, air and water, and includes analysis of firm and industry behavior, environmental issues and public policies. Implications for both developed and developing countries are of concern. The journal publishes high quality papers for an international audience. Innovative energy, resource and environmental analyses, including theoretical models and empirical studies are appropriate for publication in Resource and Energy Economics.