国际铜价波动对中国工业经济的结构性冲击——基于MSVAR和TVP-SVAR-SV模型  

Structural shocks of international copper price fluctuation on China’s industrial economy:Based on MSVAR and TVP-SVAR-SV models

作　　者：沈俊杰 黄书培 SHEN Junjie;HUANG Shupei(School of Economics and Management,China University of Geosciences(Beijing),Beijing 100083,China;Key Laboratory of Carrying Capacity Assessment for Resource and Environment,Ministry of Natural Resources,Beijing 100083,China)

机构地区：[1]中国地质大学(北京)经济管理学院,北京100083 [2]自然资源部资源环境承载力评价重点实验室,北京100083

出　　处：《资源科学》2022年第5期994-1008,共15页Resources Science

基　　金：国家自然科学基金项目(41801106;71991480);国家自然科学基金基础科学中心项目(72088101)。

摘　　要：铜是重要的工业原材料。近几年国际铜价出现频繁而剧烈的波动,成本的变动将影响中国工业经济的平稳发展。为了探究国际铜价对中国工业经济的结构性冲击,本文采用马尔科夫区制转移模型(MSVAR)和波动率向量自回归模型(TVP-SVAR-SV),将国际铜价格结构性冲击分解为供应冲击、总需求冲击、投机需求冲击、特殊需求冲击,然后利用2004年8月—2019年12月的LME期铜价格数据,分析了国际铜价波动对中国工业经济指数(包括工业品进口价格指数IMPI、工业增加值IAV、工业品出厂价格指数PPI)的时变影响。结果表明:①不同国际铜价冲击在相同区制、滞后期、特殊时期对中国工业经济的影响有较大差异。总需求冲击是对中国工业经济指数中IAV和PPI的影响作用最强;供应冲击在不同区制下都对工业品进口和出厂价格上涨都起反向冲击作用;投机需求冲击加剧工业品进口和出厂价格波动,在金融危机期间表现更加明显。②铜价格结构性冲击对工业经济各个指标的影响程度呈现工业品进口价格指数>工业品出厂价格指数>工业增加值。此外,各种冲击产生的影响维持时间限于短期(4个月),中长期影响较弱且影响方向与短期作用效果相反。这些发现有助于市场监管者防范国际铜价波动风险,为工业部门生产和工业品价格调整及投资者投资提供参考。Copper is an important raw material for industries.In recent years,international copper price has fluctuated frequently and violently.In order to explore the structural shocks of international copper price on China’s industrial economy,this study used the Markov-switching vector autoregression(MSVAR)model and the volatility vector autoregressive model(TVP-SVARSV)to decompose the structural shocks of international copper futures prices into supply shocks,aggregate demand shocks,speculative demand shocks,and specific demand shocks.Then,using the London Metal Exchange(LME)copper price data from August 2004 to December 2019,we analyzed the time-varying shocks on China’s industrial economic index(including import price index IMPI,industrial added value IAV,and producer price index PPI).The empirical results show that:(1)The international copper price shocks on China’s industrial economy has different performances in different regional systems,lag periods and special periods.Aggregate demand shocks had the strongest impact on IAV and PPI.Supply shocks had a reverse impact on price rise under different regimes.Speculative demand shocks exacerbated the fluctuations in the import and ex factory prices of industrial products,which became more pronounced during the financial crisis.(2)The structural shocks of copper price on the industrial sector presented a pattern of industrial products’import price index>producer price index>industrial added values.The duration of various shocks was limited to the short term(four months),and the medium and long-term impact was weak and the direction of shocks was opposite to the short-term effect.These findings may help market regulators to prevent the risk of international copper price fluctuations and make production and price adjustments in the industrial sector,and provide some suggestions for investors to make related investments.

关 键 词：国际铜价 工业经济 价格波动 结构性冲击 马尔科夫区制转移模型 波动率向量自回归模型 中国 

分 类 号：F424[经济管理—产业经济] F764.2F416.32