The Spillover Effects in the Base Metals Market with Emphasis on Technological Changes

Document Type : Research - Paper

Authors

1 M.Sc Student, Faculty of Management and Economics, University of Tarbiat Modares, Tehran, Iran

2 Assistant Professor, Faculty of Management and Economics, University of Tarbiat Modares, Tehran, Iran

3 Assistant Professor, Faculty of Finance and Accounting, College of Farabi, University of Tehran, Qom, Iran

Abstract

In the basic metals market, copper and aluminum are among the most popular metals in manufacturing and construction industries due to their uses in various industries. Given Iran's favorable rank in the production and export of copper and aluminum in the region, this study had investigated the factors affecting on their global prices in the short and long-term. Therefore, in the current research, an attempt has been made to investigate the short-term (with emphasis on the spillover effect) and long-term influencing factors on the prices of these two important metals using DECO-GARCH and NARDL models. According to the results of the DECO-GARCH model, in the short term, the price of oil, parallel metal markets such as nickel, alumina, and the dollar index with the stock index have a significant effect on the global prices of copper and aluminum. Also the existence of the spillover effect among them was confirmed. According to the results of the short-term model, the existence of the spillover effect in the models was confirmed. In fact, any fluctuation in any of the variables instantly affects the fluctuations of other variables. According to the results of the long-term model, oil price, economic growth, technological changes, industrial production index, prices of metals such as nickel and alumina, stock index, and automobile production index have a significant effect on the global prices of copper and aluminum.

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References

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History

  • Receive Date: 26 October 2021
  • Revise Date: 26 December 2022
  • Accept Date: 15 October 2022

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