بررسی سرریز ریسک پویا نامتقارن در بازار فلزات اساسی: شواهدی از مدیریت مواد مصرفی مجتمع صنایع مس شهید باهنر

Examining Asymmetric Dynamic Risk Spillover in the Base Metals Market: Evidence from Material Management at Shahid Bahonar Copper Industries Complex

Soheil Roudari, Farzaneh Ahmadian- Yazdi and Ehsan Namazizadeh

MPRA Paper from University Library of Munich, Germany

Abstract: Industrial metals, particularly copper, zinc, lead, and nickel, play a pivotal role not only in determining the pricing of manufactured goods but also in ensuring the economic security of nations. Analyzing the return interconnections of these metals under varying market conditions is crucial. This study employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model over the period from January 1990 to May 2024 to examine the price fluctuations of these metals, which are essential inputs for Shahid Bahonar Copper Industries. The results indicate that zinc and lead are the primary risk transmitters in normal and bullish markets, whereas in bearish markets, zinc acts as the main transmitter and nickel as the primary receiver of volatility. Additionally, significant asymmetries in volatility transmission are observed between these metals during bullish and bearish conditions, with more pronounced effects during events such as the 2008 financial crisis (for copper and zinc) and the Russia-Ukraine war (for zinc and lead). This research also offers practical insights for industry managers, enabling them to determine optimal timing for purchasing raw materials and selling products based on the co-movement or divergence of metal prices. The proposed strategies focus on minimizing costs and maximizing profitability, providing a comprehensive framework for effectively managing volatility in metal markets.

Keywords: Industrial metal; Risk management; Bullish and Bearish Markets; Cost management; Asymmetric TVP-VAR Model (search for similar items in EconPapers)
JEL-codes: E44 G14 G32 (search for similar items in EconPapers)
Date: 2024-10-18
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