A DYNAMIC ANALYSIS OF CAUSALITY BETWEEN PRICES ON THE METALS MARKET

被引：0

作者：

Slawomir, Smiech ^{[1
]}

Monika, Papiez ^{[1
]}

机构：

[1] Cracow Univ Econ, Fac Management, Dept Stat, PL-31510 Krakow, Poland

来源：

PROCEEDINGS OF THE INTERNATIONAL CONFERENCE QUANTITATIVE METHODS IN ECONOMICS (MULTIPLE CRITERIA DECISION MAKING XVI) | 2012年

关键词：

Granger causality; rolling regression; Toda - Yamamoto tests; metals market; TIME-SERIES; UNIT-ROOT;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The aim of the paper is to analyse causality between the prices of four different metals: gold, silver, platinum and copper. The analysis conducted in this paper is a dynamic one, and the data used consist of monthly prices of futures contracts traded from the period January 2000 January 2012. The assessment of causality was carried out with the use of rolling regression applied to VAR models, which allowed for the assessment of the stability of relations between metal prices. The results obtained indicate that causality changed in the period analysed. Initially the price of copper was the Granger cause of the prices of the remaining metals, while in the later period the price of platinum became the Granger cause of the prices of the remaining metals. Past prices of gold and silver did not improve the forecasts of prices of other metals.

引用

页码：221 / 225

页数：5

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