Testing for Mild Explosivity and Bubbles in LME Non‐Ferrous Metals Prices

Abstract

This article applies the mildly explosive/multiple bubbles testing methodology developed by Phillips et al. (2015a, International Economic Review, forthcoming) to examine the recent time series behaviour of the six main London Metal Exchange non‐ferrous metals prices. We detect periods of mild explosivity in the cash and 3‐month futures price series in each of copper, nickel, lead, zinc and tin, but not in aluminium. We argue that convenience yield, although the formal counterpart to dividend yield in commodity markets, is not a useful basis on which to assess whether observed explosivity is indicative of bubbles. We construct other measures that suggest the observed explosivity in the non‐ferrous metals market can be associated with tight physical markets.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 56 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.