Subsample stability, change detection and dynamics of oil and metal markets: A recursive approach

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dc.authorid0000-0002-5131-577X
dc.authorid0000-0002-1401-2016
dc.authorscopusid57204558870
dc.authorscopusid58035842700
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.authorShahbaz, Muhammad
dc.contributor.authorNapari, Ayuba
dc.contributor.otherYönetim Bilimleri Fakültesi, İktisat Bölümü
dc.date.accessioned2023-05-11T11:58:15Z
dc.date.available2023-05-11T11:58:15Z
dc.date.issued2023
dc.departmentİHÜ, Yönetim Bilimleri Fakültesi, İktisat Bölümü
dc.departmentİHÜ, Lisansüstü Eğitim Enstitüsü, İktisat Ana Bilim Dalı
dc.description.abstractThe analysis of historical price data for patterns and using such patterns for predictions and policy recommendations has become ubiquitous in the existing economics literature. These predictions and recommendations are premised on the stability of the statistical properties and inter-variable dynamics for which a single regime or few number of regimes can capture. This, however, is a strong assumption with serious repercussions if violated. In this study, the appropriateness of the stability assumption is questioned using various recursive regressions to test stability, consistency of stationarity and stability in inter-variable dynamics between crude oil, gold, silver, and platinum prices. Using monthly data sourced from the World Bank Commodity Price Data (Pink Sheet) from January 1, 9960 to March 2022, our empirical analysis found level prices of oil, gold, and platinum to be consistently non-stationary with rare exceptions. The level price of silver however is found to be inconsistent with multiple regime switches while the logged series of all variables yielded non-stationarity. The default is stationarity for all the variables when price series are logged differenced and/or differenced for oil, silver, and platinum. Differenced gold prices resulted in inconsistent stationarity with multiple regime changes. Even if rare, the stationarity of all the variables is dependent on time and sample size due to the inconsistence in the stationarity verdict. On the bi-variate relationship in the long run, only level silver prices are found to be cointegrated with oil while logged silver prices are inconsistently cointegrated with logged oil prices. Also, in the short-run, only log of oil prices is found to Granger cause log of silver prices. It is thus recommended that researchers and policy makers be tempered in extrapolating statistical findings in general and the price and interprice dynamics of oil, gold, silver and platinum into the future.
dc.identifier.citationKhan, A. I., Shahbaz, M. ve Napari, A. (2023). Subsample stability, change detection and dynamics of oil and metal markets: A recursive approach. Resources Policy, 83,1-16. https://dx.doi.org/10.1016/j.resourpol.2023.103601
dc.identifier.doi10.1016/j.resourpol.2023.103601
dc.identifier.endpage16
dc.identifier.issn0301-4207
dc.identifier.scopus2-s2.0-85153683406
dc.identifier.scopusqualityQ1
dc.identifier.startpage1
dc.identifier.urihttps://dx.doi.org/10.1016/j.resourpol.2023.103601
dc.identifier.urihttps://hdl.handle.net/20.500.12154/2256
dc.identifier.volume83
dc.identifier.wosWOS:000990908600001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakScopus
dc.indekslendigikaynakWeb of Science
dc.institutionauthorKhan, Asad ul Islam
dc.institutionauthorNapari, Ayuba
dc.institutionauthorid0000-0002-5131-577X
dc.institutionauthorid0000-0002-1401-2016
dc.language.isoen
dc.publisherElsevier
dc.relation.ispartofResources Policy
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Öğrenci
dc.relation.publicationcategoryÖğrenci
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmz20240905
dc.subjectConsistency
dc.subjectMetal Prices
dc.subjectOil Prices
dc.subjectSubsample Stability
dc.titleSubsample stability, change detection and dynamics of oil and metal markets: A recursive approach
dc.typeArticle
dspace.entity.typePublication
relation.isAuthorOfPublication5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isAuthorOfPublication.latestForDiscovery5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isOrgUnitOfPublication9d1809d1-3541-41aa-94ed-639736b7e16f
relation.isOrgUnitOfPublication.latestForDiscovery9d1809d1-3541-41aa-94ed-639736b7e16f

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