Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/104543 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
HWWI Research Paper No. 156
Verlag: 
Hamburgisches WeltWirtschaftsInstitut (HWWI), Hamburg
Zusammenfassung: 
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.
Schlagwörter: 
state space models
Kalman filter
non-ferrous metals
precious metals
JEL: 
C32
C52
E30
F00
Dokumentart: 
Working Paper

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