摘要
国际有色金属价格与美元指数是研究宏观经济形势的重要参考指标,两者之间的联动效应是宏观经济中的一个重要现象。利用金融市场中的高频数据,通过构建DCC-GARCH模型计算了美元指数与5种有色金属价格的动态相关系数,并且将动态相关系数序列进行经验模态分解。对美元指数与有色金属价格进行Granger因果关系检验。结果显示:美元指数与国际有色金属价格之间存在显著的相关性;美元指数与铜、铅、锌、镍4种有色金属价格之间存在显著的非线性Granger因果关系,与铝价格之间存在非对称的Granger因果关系。依据实证研究结果,得出以下结论:美元指数与有色金属价格之间并不一定是负相关的关系;美元指数对有色金属价格的影响具有局部性;交易量与相关系数的大小及其波动性呈正向关系;有色金属价格与美元指数之间的相关性与经济周期有较强的同步性;美元指数与铜、铅、锌、镍4种有色金属价格之间存在着非线性的双向影响传导机制;美元指数与铝价之间的影响是非对称的关系,美元指数对铝价的影响为线性传导机制,铝价对美元指数的影响为非线性传导机制。
International non-ferrous metals prices and U.S. dollar index are important reference indicators for studying the macroeconomic situation, and the linkage effect between them is an important phenomenon in macro-economy. In this paper, using high-frequency data in the financial market, the dynamic correlation coefficient between the dollar index and five kinds of non-ferrous metal prices were calculated by constructing a DCC-GARCH model. And an empirical mode decomposition on the dynamic correlation coefficient was made. Finally, the Granger causality test was carried out about the dollar index and the prices of non-ferrous metals. The results show that there was a significant correlation between the dollar index and the international non-ferrous metal prices; there was a significant nonlinear Granger causality relationship between the dollar index and copper, lead, zinc, nickel;there existed an asymmetric causal relationship between aluminum price and Granger. According to the results of the empirical research, this paper draws the following conclusions： there is not necessarily a negative correlation between the dollar index and non-ferrous metal prices; the dollar index has a local influence on non-ferrous metal prices; there is a positive relationship between the size of the trading volume, volatility and the correlation coefficient; correlation has strong synchronism with the economic cycle;there is a nonlinear two-way transmission mechanism between the dollar index and copper, lead, zinc, and nickel; the influence of the dollar index on aluminum price is asymmetric. The influence of the US dollar index on aluminum price is linear transmission mechanism, and the influence of aluminum price on the dollar index is nonlinear conduction mechanism.
作者
朱永光
袁沛
徐德义
成金华
尤喆
ZHU Yongguang1, YUAN Pei2, XU Deyi3, CHENG Jinhua3, YOU Zhe1(1.School of Economics and Management, China University of Geosciences, Wuhan Hubei 430074, China ; 2.Department of Mathematics and Statistics, York University, Toronto M3JIP3, Canada; 3.Resources Enrironmental Economic Research Center, China university of Geosciences,Wuhan Hubei 430074, Chin)
出处
《北京理工大学学报（社会科学版）》
CSSCI
北大核心
2018年第2期77-86,共10页
Journal of Beijing Institute of Technology：Social Sciences Edition
基金
国家自然科学基金资助项目(41272362,41572315)
国土资源部地质调查专项基金资助项目(121201103000150114)
关键词
国际有色金属价格
美元指数
动态相关关系
经验模态分解
international non-ferrous metals price
U.S, dollar index
dynamic correlation
empirical mode decomposition
