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。
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.
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