基于MSVAR模型的有色金属价格波动影响因素的非线性效应研究

doi:10.16381/j.cnki.issn1003-207x.2016.04.006

中国管理科学 ›› 2016, Vol. 24 ›› Issue (4): 45-53.doi: 10.16381/j.cnki.issn1003-207x.2016.04.006

基于MSVAR模型的有色金属价格波动影响因素的非线性效应研究

钟美瑞^1,2, 谌杰宇¹, 黄健柏^1,2, 谌金宇¹

1. 中南大学商学院, 湖南长沙 410083;
2. 中南大学金属资源战略研究院, 湖南长沙 410083

收稿日期:2014-10-19 修回日期:2015-05-16 出版日期:2016-04-20 发布日期:2016-04-29
通讯作者: 黄健柏(1954-),男(汉族),湖南临武人,中南大学商学院教授,博士生导师,研究方向:行为契约理论、产业经济学、资本运营、企业经营战略,E-mail:jbhuang@mail.csu.edu.cn. E-mail:jbhuang@mail.csu.edu.cn
基金资助:
国家社会科学基金重大项目(13&ZD024,13&ZD169,14&ZDB136);国家自然科学基金面上资助项目(71573282);教育部人文社会科学研究项目(13YJAZH149);湖南省自然科学基金资助项目(2015JJ2182);湖南省教育厅开放基金资助项目(15K133);中南大学研究生自主探索创新基金(2014zzts124,2015zzts005)

Nonlinear Effect Studies of Influence Factors of Nonferrous Metals Price Fluctuation Based on MSVAR Model

ZHONG Mei-rui^1,2, CHEN Jie-yu¹, HUANG Jian-bai^1,2, CHEN Jin-yu¹

1. School of Business, Central South Universtiy, Changsha 410083, China;
2. Institute of Metal Resources Strategy, Changsha 410083, China

Received:2014-10-19 Revised:2015-05-16 Online:2016-04-20 Published:2016-04-29

摘要/Abstract

摘要： 由于新兴市场需求增长和指数化投资同时出现在金属期货市场上,且供需因素与金融因素相互作用使得有色金属价格形成机制更为复杂,呈现出非线性、动态性以及结构异化等特征。基于此背景,本文提炼供需因素与金融因素影响有色金属价格波动的作用机理,选取2000年2月至2014年3月的月度数据,并构建MSVAR模型以铜为例展开实证分析。结果表明:铜价波动存在显著的区制转换特征,即膨胀期、平稳期、低迷期三种状态;三种状态下,金融因素都可以很好地解释期铜价格波动,但作用机制明显不同,而"中国因素"则被明显夸大,与原有研究结论相左;短期内各个因素在不同区制下对国际期铜价格的影响在作用方向、持续时间、作用强度上表现出显著的差异性。这些研究结论与构建的非线性计量经济模型为解释大宗商品金融化提供了新的思路与分析工具。

关键词: 有色金属, 价格波动, MSVAR模型, 区制转换

Abstract: Owing to the simultaneous appearance of growth demand in emerging markets and indexing investment in metal futures market and interaction between supply and demand factors and financial factor, the pricing mechanism of nonferrous metals becomes more complex presenting characteristics such as nonlinearity, dynamics and structure dissimilation. Based on the above background, the pricing mechanism of nonferrous metals affected by supply and demand factors and financial factors is put forward. Monthly data from February 2000 to March 2014 is selected and MSVAR model is constructed to do empirical analysis as the example of copper. The results show that the price fluctuation of copper owns the feature of regime switching, namely, inflation period, depression period and steady period. During each period, financial factors could explain price violation completely while in different mechanism, and Chinese factor is apparently exaggerated, which is different from the previous studies.In the short term, each factor's impacts on international copper futures prices under different regimes have significant difference in function direction, duration and function strength. The conclusions and the nonlinear econometric models established provide new thinking and analysis tool for commodity financialization explanation.

Key words: nonferrous metals, price fluctuation, MSVAR model, regime switching

中图分类号:

F830.91

钟美瑞, 谌杰宇, 黄健柏, 谌金宇. 基于MSVAR模型的有色金属价格波动影响因素的非线性效应研究[J]. 中国管理科学, 2016, 24(4): 45-53.

ZHONG Mei-rui, CHEN Jie-yu, HUANG Jian-bai, CHEN Jin-yu. Nonlinear Effect Studies of Influence Factors of Nonferrous Metals Price Fluctuation Based on MSVAR Model[J]. Chinese Journal of Management Science, 2016, 24(4): 45-53.

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基于MSVAR模型的有色金属价格波动影响因素的非线性效应研究

Nonlinear Effect Studies of Influence Factors of Nonferrous Metals Price Fluctuation Based on MSVAR Model

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