苏慧(学),吴巧生：Investigating price fluctuations in copper futures: Based on EEMD and Markov-switching VAR mode.

我校3522vip浦京集团吴巧生老师在T1级别期刊——《Resources Policy》上发表题为“Investigating price fluctuations in copper futures: Based on EEMD and Markov-switching VAR model”。论文作者吴巧生为3522vip浦京集团教授、博士生导师。

Abstract /摘要：

Predictable global copper prices are crucial to the transition to a green economy. This paper examines the nonlinear characteristics between the international copper futures prices and their drivers, using combined Empirical Mode Decomposition (EEMD) and the Markov-switching VAR (MSVAR) models. We decompose the monthly international copper futures prices from January 2015 to October 2021 into its low-frequency and high-frequency components by using the EEMD method. In the next step, we employ the MSVAR to examine the nonlinear fluctuation of the international copper futures prices under different regimes. The results indicate that fluctuations of the international copper futures prices exhibit a dynamic regime switching patterns that is characterized as “expansion”, “plateau” and “contraction”. The long-term stability of the international copper futures prices is determined by factors associated with demand, especially demand for strategic metals. Both the London Metal Exchange (LME) copper stocks and the LME copper stock futures have a significant impact on the international copper futures prices in each regime. In several regimes, the global refined copper consumption has no significant effect on the international copper futures prices. The increase in copper turnover is the primary driver of the international copper futures prices during the contraction regime. Regarding the supply factor, an increase in global refined copper capacity would result in a rise in the international copper futures prices during the expansion regime. While a slump would occur during a plateau or contraction regime. The financial factor, reflected by non-commercial traders affects the international copper futures prices volatility differently under different regimes. The increase in speculation reduces the market volatility during regimes of expansion and contraction. In contrast, in plateau regime, speculation increases market volatility and activates the market. The broad dollar index has little impact on the international copper futures prices during each regime. The above conclusions indicate that we should focus on the fluctuations in the international copper futures prices that are caused by the demand for strategic metals and financial factors.

论文信息;

Title/题目:

Investigating price fluctuations in copper futures: Based on EEMD and Markov-switching VAR model

Authors/作者:

Su Hui; Zhou Na; Wu Qiaosheng; Bi Zhiwei; Wang Yuli

Keywords /关键词

Copper futures;Price fluctuations;Regime switching;MSVAR model;Ensemble empirical mode decomposition (EEMD)

DOI:10.1016/J.RESOURPOL.2023.103518

全文链接：

https://www.sciencedirect.com/science/article/pii/S030142072300226X?via%3Dihub