Study on the Industry Influence Effect of Nonferrous Metal Market Financialization from the Perspective of Time-varying

doi:10.12005/orms.2020.0077

Abstract

Abstract: This paper constructs a SVAR model of representative upstream, midstream and downstream industry in the nonferrous metal industry chain with the monthly data from August 2006 to December 2016, and decomposes the structural impact of nonferrous metal price fluctuations into supply shocks, economic aggregate demand shocks, financial speculation shocks and preventive demand shocks, which empirically examine the industry influence effect and relative importance of nonferrous metal market financialization. In addition, this paper further uses the TVP-SVAR-SV model to examine the impact of financialization on the output of different sectors in the nonferrous metal industry chain. The results show that: 1) With the deepening of the financialization in the nonferrous metals market, the price fluctuation of nonferrous metals will inhibit the output of the nonferrous metal industry chain, and there are varieties among the nonferrous metals due to the different degree of financialization; 2)The impact of nonferrous metal price fluctuations brought about by financialization on the output of nonferrous metal industry chain has obvious time-varying characteristics, and there are obvious differences in the degree of influence and duration of time at different time scales and different time points. 3)International finance crisis to a certain extent, has enhanced the suppression effect of nonferrous metal market financialization on the output of the nonferrous metals industry.

Key words: industry chain, nonferrous metal, financialization, SVAR, TVP-SVAR-SV

摘要： 本文采用2006年8月至2016年12月的月度数据,选择具有代表性的上中下游行业构建SVAR模型,并将有色金属价格波动的结构性冲击分解为供给冲击、经济总需求冲击、金融投机冲击及预防性需求冲击,实证考察有色金属市场金融化的行业影响效应及相对重要性,在此基础上,进一步利用TVP-SVAR-SV模型,考察金融化对有色金属产业链各环节产出影响的时变性及结构性变化。结果发现:随着有色金属市场金融化的日益深化,其带来的有色金属价格波动会抑制有色金属产业链产出,且在不同有色金属品种中,由于金融化程度的差异,其抑制效应具有差异性;此外,金融化带来的有色金属价格波动对有色金属产业链产出的影响呈现显著的时变性特征,并在不同时间尺度与不同时点的影响程度与持续时间存在明显的差异性,国际金融危机在一定程度上增强了有色金属市场金融化对有色金属行业产出的抑制效应。

关键词: 产业链, 有色金属, 金融化, SVAR, TVP-SVAR-SV

CLC Number:

F830.91

ZHOU Ying-zhe, HUANG Jian-bai, CHEN Jin-yu. Study on the Industry Influence Effect of Nonferrous Metal Market Financialization from the Perspective of Time-varying[J]. Operations Research and Management Science, 2020, 29(3): 177-189.

周颖哲, 黄健柏, 谌金宇. 时变视角下有色金属市场金融化的行业影响效应研究[J]. 运筹与管理, 2020, 29(3): 177-189.

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