Data for: Nonlinear effects of financial factors on fluctuations in nonferrous metals prices: A Markov-switching VAR analysis
Our dataset consists of monthly data from August 2004 to October 2016 on international copper futures prices (P_CU), global refined copper production (GRCP), global refined copper consumption (GRCC), China’s copper imports (CCI), the percent position held by non-commercial traders (NCPP), federal funds rate (FFR), broad dollar index (BDI), and crude oil prices (COP). The copper futures closing prices of the LME are selected to represent international copper futures prices. Changes in global copper supply and demand are reflected by the global refined copper production and global refined copper consumption selected based on monthly data provided by the International Copper Study Group (ICSG, http://www.icsg.org/). We select China’s copper imports to represent “Chinese factor”, and these data are obtained from the average monthly data of copper ore and concentrate provided by China’s customs authorities. Following Sanders et al. (2004) and Fan and Xu (2011), we use the percent position held by non-commercial traders (NCPP) to measure the financial speculation, which is calculated by (non-commercial long position+ non-commercial short position+2* non-commercial spread position)/ (2* total open interest), the data are sourced from the Commodity Futures Trading Commission (CFTC). We use the federal funds rate as a proxy variable for the interest rate. The change in USD exchange rate is measured by the broad dollar index issued by the Federal Reserve Board, and it measures the change in the exchange rate of USD against a basket of foreign currencies. Regarding the oil price variable, as it is generally considered to be a good proxy for the global oil price market, we use the West Texas Intermediate (WTI) crude oil futures prices for the empirical analysis. The data on international copper futures prices, federal funds rate, broad dollar index and WTI crude oil prices are obtained from the WIND database. To eliminate heteroscedasticity, all the variables except financial speculation and federal funds rate are expressed in natural logarithms.