 Time-varying and multi-scale analysis of copper price influencing factors based on LASSO and EMD methodsYanqiong Liu, Yaoqi Guo and Qing Wei Journal of Commodity Markets, 2024, vol. 34, issue C Abstract: In this paper, we select 75 indicators to conduct a comprehensive analysis of the factors influencing the copper price along six dimensions: inventory, supply, demand, the macroeconomy, finance, and geopolitics. Facing the high-dimensionality problem, we use the least absolute shrinkage and selection operator (LASSO) regression model to select variables to measure the contribution of each category of factors. Furthermore, we identify the time-varying nature of the relationship among factors with rolling windows. Then, we decompose copper prices into different scales of fluctuations by means of empirical mode decomposition (EMD) and investigate the driving factors at each scale. The results show that financial and geopolitical factors have played an important role in copper pricing in recent years. The long-run fluctuation trend of copper prices is mainly determined by fundamental factors, while financial and geopolitical factors have a more direct impact on short-term fluctuations. Keywords: Copper prices; Influencing factors; Time-varying impact; Multi-scale fluctuations; LASSO; EMD (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000072 DOI: 10.1016/j.jcomm.2024.100388 Access Statistics for this article Journal of Commodity Markets is currently edited by Marcel Prokopczuk, Betty Simkins and Sjur Westgaard More articles in Journal of Commodity Markets from Elsevier |
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