The impact of macroeconomic variables in mineral commodity prices cycle

Abstract

This paper assesses the impact of some macroeconomic variables in the prices of five commodities: aluminium, copper, lead, tin and zinc. Three macroeconomic variables were chosen for seven economies of the OECD plus China: index of industrial production, exchange rates and interest rates. By means of the Kalman Filter, a common component for these series was extracted and then related to the macroeconomic indicators. After that, with Hodrick-Presctott and Band-Pass Filters, the results were sensitised. It was found that there is a common component influencing the prices for these metals. The main difference is in tin prices, which can be explained by specific aspects of its market.