我国有色金属期货市场价格泡沫实时预警研究——基于上确界ADF检验方法的分析  

Research on Real time Early Warning of Price foam in China’s Non ferrous Metal Futures Market——ADF test method based on supremum

作　　者：杨艳军[1] 唐迪 Yang Yanjun;Tang Di

机构地区：[1]中南大学商学院

出　　处：《价格理论与实践》2022年第12期114-117,202,共5页Price:Theory & Practice

摘　　要：识别和预警有色金属的价格泡沫对维护我国资源安全,推动经济平稳运行有着重要的作用。本文基于右尾单位根检验和双重递归回归构建有色金属期货市场价格泡沫实时检测模型,并设计了实时预警系统。研究结果表明:铜、铝、锌、铅期货市场上均出现了价格泡沫事件;金融危机期间,铜、铝的泡沫存续时间最长,金融因素、投机因素等更容易导致价格泡沫事件的出现。应基于价格泡沫检测结果,构建实时预警系统,设置警情标准参考值,并对不同品种的警情等级设置不同的警报响应机制。Identifying and warning the price foam of nonferrous metals plays an important role in maintaining China’s resource security and promoting the smooth operation of the economy. Based on the right tail unit root test and double recursive regression, this paper constructs a real-time detection model of price foam in the nonferrous metal futures market, and designs a real-time early warning system. The results show that there are price foam in copper, aluminum, zinc and lead futures markets;During the financial crisis, copper and aluminum foam last the longest, and financial factors, speculative factors, etc. are more likely to lead to the emergence of price foam. Based on the price foam detection results, a real-time early warning system should be built, the reference value of alarm standard should be set, and different alarm response mechanisms should be set for different types of alarm levels.

关 键 词：有色金属 价格泡沫 实时预警 价格机制 期货市场 

分 类 号：F724.5[经济管理—产业经济] F764.2