Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/104543
Authors: 
Golosnoy, Vasyl
Rossen, Anja
Year of Publication: 
2014
Series/Report no.: 
HWWI Research Paper 156
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.
Subjects: 
state space models
Kalman filter
non-ferrous metals
precious metals
JEL: 
C32
C52
E30
F00
Document Type: 
Working Paper

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