How Does the Us Economic Indicators Effect the Copper Prices : a Quantitative Analysis
how does the US Economic indicators Effect the Copper Prices : A Quantitative Analysis
abhishek jhunjhunwala
Economic indicators have major role on the prices of the commodities. A quantitative analysis was done to construct a model to predict the future prices of the commodities. Nineteen economic indicators were considered for our study based on CME rating. The analysis was done on base metals & the results of aluminium are presented here. In addition to effect of economic indicators the effect of the business cycles is also analysed in the present study. Secondary data was collected from different official sources & past two business cycles data was considered for analysis. A regression model was constructed by using SPSS to predict the future prices of aluminium. The price of aluminium mainly affected by economic indicators Imports, Industrial Production Capacity Utilisation (per cent), Consumer Sentiment Index & new privately owned housing units permits. To analyse business cycle effect two different models were considered one with business cycles after 1990 combined together & the other one with the recent business cycle. The effect of some economic indicators is different in different business cycles.
Key words : Economic Indicators, Copper Price, Business Cycle, Regression Analysis
Introduction
An economic indicator is a statistic about the economic performance of a country. Economic indicators allow analysis of the present economic performance & predictions of future performance. Economic indicators are the vital barometers that tell us what the economy is up to &, more importantly, in what direction it is likely to go in the future. These indicators describe the economic backdrop that will ultimately affect earnings, interest rates & inflation. They can also influence the future cost of loans, the security of our jobs & our overall standard of living. Even executives of various
abhishek jhunjhunwala
Economic indicators have major role on the prices of the commodities. A quantitative analysis was done to construct a model to predict the future prices of the commodities. Nineteen economic indicators were considered for our study based on CME rating. The analysis was done on base metals & the results of aluminium are presented here. In addition to effect of economic indicators the effect of the business cycles is also analysed in the present study. Secondary data was collected from different official sources & past two business cycles data was considered for analysis. A regression model was constructed by using SPSS to predict the future prices of aluminium. The price of aluminium mainly affected by economic indicators Imports, Industrial Production Capacity Utilisation (per cent), Consumer Sentiment Index & new privately owned housing units permits. To analyse business cycle effect two different models were considered one with business cycles after 1990 combined together & the other one with the recent business cycle. The effect of some economic indicators is different in different business cycles.
Key words : Economic Indicators, Copper Price, Business Cycle, Regression Analysis
Introduction
An economic indicator is a statistic about the economic performance of a country. Economic indicators allow analysis of the present economic performance & predictions of future performance. Economic indicators are the vital barometers that tell us what the economy is up to &, more importantly, in what direction it is likely to go in the future. These indicators describe the economic backdrop that will ultimately affect earnings, interest rates & inflation. They can also influence the future cost of loans, the security of our jobs & our overall standard of living. Even executives of various
References: Bernard Baumohl, (2005) The Secrets of Economic Indicators – Hidden Clues to Future Economic Trends and Investment Opportunities, Wharton School Publishing – Pearson Education. Andersen, Torben G., Tim Bollerslev, Francis X. Diebold, & Clara Vega, (2003) Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange, American Economic Review, Vol. 93, pp. 38-62. Chen, Yu-Chin, Kenneth Rogoff, & Barbara Rossi, (2008) Can Exchange Rates Forecast Commodity Prices? Economic Research Initiatives at Duke (ERID) Working Paper. Galati, Gabriele, & Corrine Ho, (2003) Macroeconomic News and the Euro/Dollar Exchange Rate Economic Notes, Vol. 32, No. 3, pp. 371–398. Roache, Shaun, (2008) Commodities and the Market Price of Risk, IMF Working Paper, No Rossi, Marco, (1998) Economic Announcements and the Timing of Public Debt Auctions, IMF Working Paper, No