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Causality inference among base metal, rare metal and precious metal markets

Yinghui Ding, Shan Chen, Haoran Li, Qingru Sun, Hanyu Chen and Hui Yu

Resources Policy, 2023, vol. 85, issue PB

Abstract: The relationship among metal markets has become closer and more complicated. It is necessary to study the causal relationship among metal markets, and then identify the dominators and receivers in the transmission process of metal price fluctuations, which can facilitate product pricing and avoid risk. This paper aims to reveal the complex interaction structure and its time-varying characteristics existing among base metal, rare metal and precious metal markets. The results show that the causality among metal futures is mainly positive causality, and the strongest influencer and receiver is copper. The dark causality is first unveiled in this paper with the main influencer is nickel and the main receiver is cobalt. From the dynamic perspective, macroeconomic factors, political events and disputes and other factors lead to significant fluctuations of causality among metal markets, even cause clear mutations appear in several metal causal relationship. These findings can provide valuable reference for metal commodity pricing and decision making.

Keywords: Causal inference; Time-varying causality; Dark causality; Symbolic dynamics; Metal markets (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723007699

DOI: 10.1016/j.resourpol.2023.104058

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