Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metalsn Prices

摘要

This article applies the mildly explosive/multiple bubbles testing methodology developed by Phillips et al. (2015a, International Economic Review, forthcoming) to examine the recent time series behaviour of the six main London Metal Exchange non-ferrous metals prices. We detect periods of mild explosivity in the cash and 3-month futures price series in each of copper, nickel, lead, zinc and tin, but not in aluminium. We argue that convenience yield, although the formal counterpart to dividend yi