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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。
Due to the emerging market demand growth and index investment appear in the metal futures market at the same time, and the interaction between supply and demand factors and financial factors makes the formation mechanism of non-ferrous metals more complex, showing characteristics of nonlinear, dynamic and structural alienation. Based on this background, this paper extracts the mechanism of supply and demand factors and financial factors that affect the price volatility of non-ferrous metals, selects the monthly data from February 2000 to March 2014, and builds the MSVAR model to take the example of copper for empirical analysis. The results show that there are significant characteristics of zonal conversion in the fluctuation of copper price, ie, the three states of expansion phase, steady phase and downturn. Under the three conditions, the financial factors can well explain the copper price fluctuation but the mechanism of action is obviously different In the short term, the influence of various factors on the international copper prices in different districts shows significant differences in the direction, duration and intensity of the action. These findings and the constructed nonlinear econometric model provide new ideas and analysis tools for explaining the financialization of commodities.