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- Title
UWAGI O DZIAŁANIU PRAWA JEDNEJ CENY NA LONDYŃSKIEJ GIEŁDZIE METALI.
- Authors
Chylińska, Marta
- Abstract
This paper reports the results of testing for validity of the law of one price with respect to copper at the London Metal Exchange. In doing so a cost-of-carry model is estimated and validated on monthly sampled data exhibiting its spot and 3, 15 and 27-month futures prices from the period January 1998--December 2011. The main findings include that the spot and futures prices exhibit common stochastic trends and their log spreads have cointegraiting properties. Since the structure of the latter is autoregressive they reflect time-varying liquidity (risk) premium
- Subjects
PURCHASING power parity; COMMODITY futures; SPOT prices; METAL prices; LIQUIDITY (Economics)
- Publication
Econometrics / Ekonometria, 2013, Vol 4, Issue 42, p130
- ISSN
1507-3866
- Publication type
Article