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Referencia 8904 |
| Título: |
Mercado del aluminio y la macroeconomía |
| Título original: |
Aluminium market and the macroeconomy |
| Autor: |
Boschi, M; Pieroni, L |
| Resumen: |
We propose a structural model of the interaction between the aluminium market and the macrocconomy incorporating the rational expectations hypothesis. Based on a competition a la Cournot, our model predicts that aluminium spot price and inventories will respond to macroeconomic shocks to line up supply to the demand level. The model also includes incomplete adjustments to shocks that occur near the delivery date of futures contracts with the implication of a likely high persistence in the aluminium spot price.
Estimation results show that the influence of the real exchange rate and the real interest rate on the aluminium price, though statistically significant, is small. We argue that this result is largely expected once we consider the peculiar features of the aluminium market. Further Support to this view is provided by the large persistence of the aluminium price response to its own shock and by the negligible contribution of stockholdings innovations to the price forecast error variance.
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| Idioma: |
Inglés |
País: |
Italy |
ISBN / ISSN: |
0161-8938 |
Año: |
2009 |
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| Tipo: |
Artículo |
| Área: |
Materiales y Materias primas > Aleaciones ligeras (aluminio, titanio, magnesio...)
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| Subsectores de aplicación: |
· Automoción e industria auxiliar
· Fabricación de productos metálicos, excepto maquinaria y equipo
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| Entidad: |
Univ Perugia, Dept Econ Finance & Stat, CAMA, I-06123 Perugia |
| Fuente: |
JOURNAL OF POLICY MODELING |
| Localización en fuente: |
Volume: 31 Issue: 2 Pages: 189-207 Published: MAR-APR |
| Descriptores: |
Metal commodities; Monetary transmission mechanism; Rational expectations hypothesis test; SVAR |
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