Modeling dynamics of metal price series via state space approach with two common factors

Vasyl Golosnoy and Anja Rossen

No 156, HWWI Research Papers from Hamburg Institute of International Economics (HWWI)

Abstract: In this paper we model the dynamics of 100 years long monthly price series of eight non-ferrous and precious metals. Applying the state space framework we impose and identify two common factors related to non-ferrous and precious metals, respectively, which exhibit quite distinct autoregressive dynamics. The preferred two common factor specifications outperform single common factor approaches which are usually used in the current literature. Furthermore, we provide interpretation for the extracted common factors by investigating their exposure to the major macroeconomic fundamentals.

Keywords: state space models; Kalman filter; non-ferrous metals; precious metals (search for similar items in EconPapers)
JEL-codes: C32 C52 E30 F00 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-mac
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Related works:
Journal Article: Modeling dynamics of metal price series via state space approach with two common factors (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:hwwirp:156

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