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A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets
The journal of futures markets, 2015-04, Vol.35 (4), p.339-356
Dolatabadi, Sepideh
Nielsen, Morten Ørregaard
Xu, Ke
2015
Volltextzugriff (PDF)
Details
Autor(en) / Beteiligte
Dolatabadi, Sepideh
Nielsen, Morten Ørregaard
Xu, Ke
Titel
A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets
Ist Teil von
The journal of futures markets, 2015-04, Vol.35 (4), p.339-356
Ort / Verlag
Hoboken: Blackwell Publishing Ltd
Erscheinungsjahr
2015
Quelle
Wiley Blackwell Single Titles
Beschreibungen/Notizen
In this paper, we apply the recently developed fractionally cointegrated vector autoregressive (FCVAR) model to analyze price discovery in the spot and futures markets for five non‐ferrous metals (aluminum, copper, lead, nickel, and zinc). The FCVAR model allows for long memory (fractional integration) in the equilibrium errors, and, following Figuerola‐Ferretti and Gonzalo (2010), we allow for the existence of long‐run backwardation or contango in the equilibrium as well, that is, a non‐unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the adjustment coefficients. In our empirical analysis, we use the data from Figuerola‐Ferretti and Gonzalo (2010), who conduct a similar analysis using the usual (non‐fractional) CVAR model. Our first finding is that, for all markets except copper, the fractional integration parameter is highly significant, showing that the usual, non‐fractional model is not appropriate. Next, when allowing for fractional integration in the long‐run equilibrium relations, fewer lags are needed in the autoregressive formulation, further stressing the usefulness of the fractional model. Compared to the results from the non‐fractional model, we find slightly more evidence of price discovery in the spot market. Specifically, using standard likelihood ratio tests, we do not reject the hypothesis that price discovery takes place exclusively in the spot (futures) market for copper, lead, and zinc (aluminum and nickel). © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:339–356, 2015
Sprache
Englisch
Identifikatoren
ISSN: 0270-7314
eISSN: 1096-9934
DOI: 10.1002/fut.21693
Titel-ID: cdi_proquest_miscellaneous_1667353871
Format
–
Schlagworte
Aluminum
,
Commodity markets
,
Commodity prices
,
Copper
,
Empirical research
,
Equilibrium
,
Futures
,
Futures market
,
Metals
,
Nonferrous metals
,
Prices
,
Regression analysis
,
Studies
,
Vector-autoregressive models
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