Spillovers, integration and causality in LME non-ferrous metal markets
Abstract We examine the interrelationships in the global base metal markets over a 22 year period 1994–2016 using a variety of econometric methods. The results demonstrate the high intensity of both return and volatility spillovers across the selected markets. Furthermore, the degree of co-movements varies among time and frequencies. The study also contributes to the contagion literature since the results revealed the increase in co-movements after the financial crisis. Aluminium is found to be the driving force, with significant influence across all methodologies. The findings show that the behaviour of the non-ferrous metals is similar to other conventional asset classes, like equities and bonds, justifying the position that metals have become an investment class.
This paper measures economic linkages emanating from investment-led growth in eight different African countries with widely varying economic structures. To explore the importance of price effects in estimating these linkages, the paper employs two different methodologies for measuring the linkages, a fixed-price semi-input--output (SIO) model as well as a fully price-endogenous computable general equilibrium model (CGE). Regardless of the methodology used, indirect effects prove to be large. On average -- across countries and sectors -- inclusion of growth linkages nearly doubles estimated national income growth following an initial investment-led shock. Sectorally, investments in agriculture generate the largest impact on the poor. Copyright 2003, Oxford University Press.