Abstract

ESPINOSA MENDEZ, Christian; GORIGOITIA GALLARDO, Juan  and  MAQUIEIRA VILLANUEVA, Carlos. Comportamiento no lineal en series de productos primarios. El trimestre econ [online]. 2013, vol.80, n.317, pp.143-168. ISSN 2448-718X.

This paper uses the Hinich test to detect non-linearity windows on the series of daily closing prices of the commodities Copper, Gold, Palladium, Brent Oil, Silver, Platinum and Oil WTI. In addition, we use Wavelet theory to study either the scale or the scales that occur or accumulate the process of non-linearity.

The results regarding the test of Hinichare consistent with those found in previous research, we confirm the phenomenon of non-linearity presence in series of prices of financial assets. Nevertheless, by breaking down the series using wavelet, we find evidence that there are periods of non-linearity that occur before the window of non-linearity. In addition, we find evidence that after a non-linear window the phenomenon of non-linearity does not fully disappeared butthere is still non-linear behavior in the windows of the next period, but at different scales. The results indicate the impossibility of building lineal models to predict expected prices for commodities and therefore it might be prudent to manage financial risk, not only for companies in hands of the private sector but also for those owned by the state.

Keywords : no linealidad; prueba de Hinich; teoría de wavelet; productos primarios.