摘要
本文以2000年2月至2014年12月的月度数据为样本,利用广义脉冲响应函数与方差分解系统考察投机、广义美元指数和美国联邦基金利率对国际期铜价格的动态影响,并引入供需因素进行对比分析。实证结果显示:对国际期铜价格波动影响最大的是广义美元指数;2004年以后,金融因素对国际期铜价格波动的贡献程度远远大于供需因素,其中投机行为的作用明显提高,这表明金融因素对国际期铜价格的变化起了显著作用。
Taking the monthly data from February 2000 to December 2014 as a sample, the paper systematically investi- gated the dynamic effects of speculation, generalized US dollar index and US federal funds rate on the international fu- tures copper prices and introduced the supply and demand factors to carry out a comparative analysis using the general- ized impulse response function and variance decomposition. The empirical results show： the greatest impact of fluctua- tions in international futures copper prices is the generalized dollar index; after 2004, the contribution of financial factors to the international futures copper price volatility is much greater than the supply and demand factors, among which the role of speculation has improved significantly, meaning that financial factors played a significant role on the international futures copper price changes.
出处
《商业研究》
CSSCI
北大核心
2015年第8期52-58,共7页
Commercial Research
基金
国家社科基金重大项目"金属矿产资源国际市场价格操纵问题与我国定价权研究"
项目编号:13&ZD169
关键词
价格波动
VAR模型
脉冲响应函数
方差分解
price volatility
VAR model
impulse response function
variance decomposition
