This article investigates the dynamics of information transmission between spot and futures copper markets by extending the Garbade and Silber (1983) model and estimating it within a Vector Logistic Smooth Transition AutoRegressive (VLSTAR) framework. Using copper data—including cyclical prices, returns, conditional volatility, and Value at Risk---we show that the futures market consistently leads information flows, with its dominance intensifying during crisis periods. Financial information is more extensively transmitted across markets than non-financial information, although only the latter exhibits regime-dependent behavior. During crises, market risk tends to remain localized, whereas return uncertainty diffuses more broadly across markets. These findings support the policy recommendation of allowing a moderate and controlled increase in spot prices to stimulate investment and prevent abrupt spikes in futures prices, which could destabilize the real economy and hinder progress in the energy transition.
Mot(s) clé(s)
Copper prices; Spot and futures markets; Price discovery function; Information spillovers; Non-linear modelling
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