Determination of Copper Price Expectations in the International Market: Some Important Variables

Salles, Andre Assis de and Magrath, Raphael Sebastian and Malheiros, Matheus Manzani (2019): Determination of Copper Price Expectations in the International Market: Some Important Variables. Published in: Open Journal of Business and Management , Vol. 7, No. No.2 (13 February 2019): pp. 348-373.

Abstract

The purpose of this work is to identify variables that are relevant to the copper price setting in the international market. Thus statistical hypothesis tests and statistical tools that help to identify historical relevance and to measure the intensity of the impact of each variable on the copper price on several time horizons were applied. At the end, a regression model that aims to assess the combined effect of the considered time series was estimated. The global industrial production and the aluminum price showed the greatest evidences of being relevant to the copper price. The results suggest that copper stocks, foreign exchange rates and crude oil price should also be considered.

• Item Type: MPRA Paper
• Language: English
• Keywords: Copper Price, Cointegration, Causality, Impulse Response Function.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance; G - Financial Economics > G1 - General Financial Markets; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation; M - Business Administration and Business Economics ; Marketing ; Accounting ; Personnel Economics > M2 - Business Economics > M21 - Business Economics

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