Price and volatility transmission between primary and scrap metal markets |
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| Institution: | 1. Departamento de Matemática, FCEyN - Universidad de Buenos Aires, Pabellón I, Ciudad Universitaria, Buenos Aires, Argentina;2. IMAS-CONICET, Argentina;1. Department of Chemical, Metallurgical and Materials Engineering, Tshwane University of Technology, P.M.B. X680, Pretoria, South Africa;2. Department of Mechanical Engineering, Covenant University, P.M.B 1023 Ota Nigeria;1. Faculty of Chemical Sciences Autonomous University of Chihuahua, Circuito Universitario 8, Campus II, Chihuahua, Chih. 31125,;2. Deparment of Chemical Engineering University of Guanajuato, Noria Alta S/N, Guanajuato,Gto., 36000, Mexico. |
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| Abstract: | The relationship between primary and scrap prices has been hypothesized for the most part as unidirectional, characterized by spillovers from primary to scrap prices. The purpose of this study is to evaluate empirically the dynamic interactions between primary and scrap metal prices through multivariate time series methods. In addition, the study expands the investigation at the level of volatility transmission, which has not been previously examined. The metal prices utilized are for copper, lead, and zinc for the period 1984–2001. The paper demonstrates differing long run and short run links. Scrap prices do not improve the long run interpretation of primary prices, but information flows from the scrap to the primary markets exist in the short run. Additionally, the copper and lead markets exhibit bidirectional information flows in terms of volatility transmission. The analysis provides valuable insight into the interactions of the primary and scrap metal sectors which can be used to improve forecasting and planning. |
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