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• W3198811606 endingPage "102284" @default.
• W3198811606 startingPage "102284" @default.
• W3198811606 abstract "This study investigates major properties of prices of metals (gold, silver, platinum, palladium and copper) such as structural breaks, non-linearity, stationarity, and bubble incidences during 1990–2021 For robustness of results, both daily and weekly data sets were used, while two conventional unit root tests and two recent stationarity tests (including a new one) that account for structural breaks and non-linearity were also employed. The recently introduced method of identifying and detecting price bubble was also used. Preliminary tests show that prices of the metals exhibit structural breaks and non-linearity during the study period. The traditional unit root tests reveal that prices of all the metals are not stationary I(1). The application of two unit root tests, that account for structural breaks and non-linearity, produced stationary results I(0) for the metals’ prices in all the periods. However, the result of new method is more robust than the earlier one especially when weekly data is considered alongside daily data for Platinum and Silver. Some incidences of price bubbles were also detected in the metal market during the period. A number of policy recommendations deduced from the empirical results are well discussed in the concluding part of the paper. • A newly proposed unit root test was used with both daily and weekly data sets. • The prices of the metals are characterized by structural breaks and non-linearity. • Accounting for the above features of metal prices in testing for unit root using the new method yields convergence. • Shocks due to structural changes in metal markets and non-linearity adjustment have temporary effect on the prices. • The occurrence of bubble is examined for the prices of metals." @default.
• W3198811606 created "2021-09-13" @default.
• W3198811606 creator A5001035287 @default.
• W3198811606 creator A5004672306 @default.
• W3198811606 date "2021-12-01" @default.
• W3198811606 modified "2023-09-27" @default.
• W3198811606 title "Analysis of major properties of metal prices using new methods: Structural breaks, non-linearity, stationarity and bubbles" @default.
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• W3198811606 doi "https://doi.org/10.1016/j.resourpol.2021.102284" @default.
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