Causality inference among base metal, rare metal and precious metal markets

Abstract

The relationship among metal markets has become closer and more complicated. It is necessary to study the causal relationship among metal markets, and then identify the dominators and receivers in the transmission process of metal price fluctuations, which can facilitate product pricing and avoid risk. This paper aims to reveal the complex interaction structure and its time-varying characteristics existing among base metal, rare metal and precious metal markets. The results show that the causality among metal futures is mainly positive causality, and the strongest influencer and receiver is copper. The dark causality is first unveiled in this paper with the main influencer is nickel and the main receiver is cobalt. From the dynamic perspective, macroeconomic factors, political events and disputes and other factors lead to significant fluctuations of causality among metal markets, even cause clear mutations appear in several metal causal relationship. These findings can provide valuable reference for metal commodity pricing and decision making.