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A Decomposition Analysis Of Base Metal Prices: Comparing The Effect Of Detrending Methods On Trend Identification And Cyclical Components, Mahmoodreza Modirroosta

Dissertations, Master's Theses and Master's Reports - Open

This thesis analyzes the long-term trend behavior and cyclical components of real base metal prices. A decomposition approach is used to separate the real prices of base metals into a time trend and cyclical components. In this regard, linear and quadratic detrending methods along with Hodrick-Prescott and Baxter-King filters are applied to the base metal prices. Linear and quadratic trendlines are good estimates of the trend component and easy to interpret if the coefficients of estimated trends are significant and the coefficient of determination is relatively high. The Hodrick-Prescott and Baxter-King filters are good fits to the price series, but …