Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective
Michał Rubaszek (),
Zuzanna Karolak and
Resources Policy, 2020, vol. 65, issue C
We analyse the dynamics of real prices for main non-ferrous industrial metals: aluminium, copper, nickel and zinc. The estimates based on monthly data from 1980 to 2019 show that the prices are mean reverting and the pace of mean reversion is regime dependent. The results of the out-of-sample forecasting competition provide ample evidence that mean-reverting models deliver significantly better forecasts than the naive random walk. However, allowing for non-linearity by introducing threshold structure does not lead to further improvement in the quality of forecasts.
Keywords: Industrial metal prices; Forecasting; Autoregressive models; Threshold models (search for similar items in EconPapers)
JEL-codes: C22 C24 G17 Q31 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719305379
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