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The price relationship between main-byproduct
metals from a multiscale nonlinear Granger
causality perspective
Highlights
• The relationships between the price of main-byproduct metal pairs are analyzed using a multiscale approach.
• The two-way nonlinear Granger causal relationships between
main-byproduct metal pairs are examined.
• The two-way nonlinear Granger causal relationships mainly exist
in short- and medium-term time scale.
• The effect of main metal price on byproduct metal is not as great as thought, and the effect of byproduct metal price is
underestimated.
Abstract
Basing on the relationship of joint production, we take lead-bismuth, lead-selenium, zinc-cadmium, and zinc-germanium as examples to study
the nonlinear Granger causal relationship between the prices of
main-byproduct metal pairs. The price relationship between the main
metal and byproduct metal is nonlinear and varies with the time
scales. Therefore, we use an Ensemble Empirical Modal Decomposition
method (EEMD) to break down the price series of the main metals and
byproduct metals into different frequency bands, and then test these
different frequency bands for nonlinear Granger causality. The results show that a two-way nonlinear Granger causal relationship exists
between the prices of the main metals and byproduct metals, and this
nonlinear Granger causal relationship is reflected primarily in the
short- and medium-term time scales. Moreover, the effect of the main
metal price on the price of the byproduct metal is not as significant as previously thought, and the influence of the byproduct metal price on the main metal price has been previously underestimated.
Keywords
Main metal;Byproduct metal;Price relationship;
Nonlinear Granger causality;EEMD
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