我国钼精矿价格波动特性研究:基于GARCH簇模型的实证分析  

Research on price fluctuation characteristics of molybdenum concentrates in China:an empirical analysis based on GARCH cluster model

作　　者：卢才武[1,2] 黄玉森 徐家越 阮顺领[1,2] LU Caiwu;HUANG Yusen;XU Jiayue;RUAN Shunling(School of Management,Xi an University of Architecture and Technology,Xi an 710055,China;School of Resources Engineering,Xi an University of Architecture and Technology,Xi an 710055,China)

机构地区：[1]西安建筑科技大学管理学院,陕西西安710055 [2]西安建筑科技大学资源工程学院,陕西西安710055

出　　处：《中国矿业》2020年第12期61-67,共7页China Mining Magazine

基　　金：国家社会科学基金西部项目资助(编号:18XGL010);陕西省社科基金项目资助(编号:2018S12);西安市社科规划基金资助(编号:19J15)。

摘　　要：针对我国优势矿产钼资源存在着"优势不优"的行业现象,以国内钼精矿2003年1月—2019年5月历史月度价格为数据样本,运用GARCH簇模型探讨波动特征背后的动因。研究结果表明:国内钼精矿市场存在着高风险高收益的行业特征,在价格波动上具有明显的集簇性,市场上涨跌信息会引起不同的市场冲击,但这些波动冲击并不具有长期效应。结果映射出,"优势不优"现象的客观原因在于,当前我国钼精矿产业链存在着纵向偏短、横向较为集中的特点;主观原因在于,参与主体在进行投资时,存在着投机心理,且缺乏一定的市场信息获取和风险应对能力。结果启示:积极开拓钼矿产业下游市场,助力产业升级改造;构建钼矿产业链公共信息发布平台,降低市场负面冲击效应。In view of the industry phenomenon of"poor advantages"in the molybdenum resources of China’s dominant minerals,the historical monthly price of domestic molybdenum concentrates from January to September 2019 is used as a data sample,and the GARCH cluster model is used to explore the motivation behind the wave characteristics.The research results show that the domestic molybdenum concentrate market has high-risk and high-yield industry characteristics,and it has obvious clustering in price fluctuations.The market ups and downs will cause different market shocks,but these fluctuations do not have long-term effect.The results are that the objective reason of the phenomenon of"unfavorable advantage"is that the current domestic molybdenum concentrate industrial chain has the characteristics of vertical shortness and horizontal concentration.The subjective reason is that the participating subjects have speculative psychology when investing.And lack of certain market information acquisition and risk response capabilities.The results of the revelation are:to actively explore the downstream market of the molybdenum mining industry,and help the industrial upgrading;to construct a public information release platform for the molybdenum industry chain to reduce the negative impact of the market.

关 键 词：钼精矿 价格 波动特性 GARCH簇模型 

分 类 号：F407.1[经济管理—产业经济]