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Analysis of major properties of metal prices using new methods: Structural breaks, non-linearity, stationarity and bubbles

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  • Wahab, Bashir A.
  • Adewuyi, Adeolu O.

Abstract

This study investigates major properties of prices of metals (gold, silver, platinum, palladium and copper) such as structural breaks, non-linearity, stationarity, and bubble incidences during 1990–2021 For robustness of results, both daily and weekly data sets were used, while two conventional unit root tests and two recent stationarity tests (including a new one) that account for structural breaks and non-linearity were also employed. The recently introduced method of identifying and detecting price bubble was also used. Preliminary tests show that prices of the metals exhibit structural breaks and non-linearity during the study period. The traditional unit root tests reveal that prices of all the metals are not stationary I(1). The application of two unit root tests, that account for structural breaks and non-linearity, produced stationary results I(0) for the metals’ prices in all the periods. However, the result of new method is more robust than the earlier one especially when weekly data is considered alongside daily data for Platinum and Silver. Some incidences of price bubbles were also detected in the metal market during the period. A number of policy recommendations deduced from the empirical results are well discussed in the concluding part of the paper.

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  • Wahab, Bashir A. & Adewuyi, Adeolu O., 2021. "Analysis of major properties of metal prices using new methods: Structural breaks, non-linearity, stationarity and bubbles," Resources Policy, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002956
    DOI: 10.1016/j.resourpol.2021.102284
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