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The Study of the Relationship between the Worldindustrial Production and Copper Future Price in LME Based on STAR Model

Author: LiJia
Tutor: YuanGuiQiu
School: Zhejiang Technology and Business University
Course: Quantitative Economics
Keywords: World industrial production index Copper futures price STAR model
CLC: F414;F713.35
Type: Master's thesis
Year: 2008
Downloads: 149
Quote: 1
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Abstract

Since the London Metal Exchange (LME) in 1877 commenced business since the metal copper futures exchange has 131 years of history, has metal futures in the world, even the world's futures occupy an important position. In the 131 years of history, many scholars at home and abroad to take advantage of a variety of mathematical models and measurement methods, a large number of metal copper futures pricing model, the impact of the copper price factors, the laws governing the operation of the fluctuations in the price of copper and copper prices The depth and rich achievements in research, many meaningful conclusions. In which the study of the relationship between the world economy and the copper price, previous studies using GDP or GNP as a world economic variables between the overall world economy and copper prices, and just from the perspective of linear research on correlation and comovement collected data samples are mostly confined to the economy in Europe and the United States and other developed countries and regions. Its shortcomings is that: First, in recent years, emerging market countries, especially China's rapid economic growth, the incremental change in demand for copper has become an important factor to affect the pattern of world copper supply and demand, so if the sample is limited to Europe and the United States and other economic developed countries and regions apparently lack of representativeness; Second, the copper as an important industrial raw material, must be composed of the industrial production in the world economic components most closely, if only general study of copper prices and gross domestic product (GDP) or gross national product the relationship between the total value is clearly a lack of rationality; Finally, all indications have shown that: the correlation between copper prices and the world economy and comovement is not as linear models described so simple, but to a certain non-linear form of performance. To compensate for the lack of past scholars, this article uses the world's industrial production index as the world economic variables, collecting data for long-term coverage ratio of approximately 85% of the world's total economic output of 36 countries (including in particular the emerging market countries \five countries of the four countries \presents a simple linear relationship with the world's industrial production index is not, but the nonlinear description and simulation of this non-linear correlation between copper prices and the world economy from a more realistic point of view relationship, provide more valuable reference for managers and market investment entities.

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CLC: > Economic > Trade and Economic > Domestic Trade and Economic > The circulation of commodities and the market > Sale of goods > Futures Trading
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