金融因素对期铜价格波动影响的实证研究  

An empirical study on the effect of financial factors on copper futures price volatility

作　　者：朱学红[1,2] 冯宇文 郭尧琦[2,3] 

机构地区：[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 [3]中南大学数学与统计学院,湖南长沙410083

出　　处：《中南大学学报（社会科学版）》2015年第2期124-129,共6页Journal of Central South University：Social Sciences

基　　金：国家社会科学基金重大项目(13&ZD169);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(12JJ4077)

摘　　要：采用VEC模型和EGARCH模型实证研究金融因素和沪铜期货价格之间的关系,传导分析结果显示:汇率、外汇储备和货币供给量的变动通过不同的传导方式对期铜价格产生影响,在短期内各变量的变动均会使得期铜价格产生较明显的波动;而从长期来看,汇率和外汇储备的冲击效果会逐渐消失,但货币供给量的冲击效果具有很长的持续性。根据风险分析结果和信息冲击曲线得出,期铜价格波动的风险主要来源于外汇储备的变动,并且金融因素对期铜价格波动的影响具有明显的非对称性。By adopting VEC model and EGARCH model, the study empirically analyzes the relationship between financial factors and SHFE copper futures market prices volatility. The results show that changes in the exchange rate, foreign exchange reserves and money supply will affect copper prices distinctly in different ways. In the short term, copper price will fluctuate drastically under the above impact. In the long-term, the impact of the exchange rate and foreign exchange reserves will gradually disappear, while the effect of money supply shocks will last for long. According to the results of the risk analysis and impact curves, the risk of copper price volatility mainly derives from changes in foreign reserves, and the impact of copper price volatility exerted by financial factors has a significant feature of asymmetry.

关 键 词：期铜价格 汇率 外汇储备 货币供应量 VEC模型 EGARCH模型 

分 类 号：F830[经济管理—金融学]