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多尺度非线性格兰杰因果视角下主金属与副产品金属间价格关系研究

http://www.newdu.com 2020/9/22 《资源政策》2020,69 邵留国 胡… 参加讨论

    

    The price relationship between main-byproduct
    metals from a multiscale nonlinear Granger
    causality perspective
    Highlights
    ? The relationships between the price of main-byproduct metal pairs are analyzed using a multiscale approach.
    ? The two-way nonlinear Granger causal relationships between
    main-byproduct metal pairs are examined.
    ? The two-way nonlinear Granger causal relationships mainly exist
    in short- and medium-term time scale.
    ? The effect of main metal price on byproduct metal is not as great as thought, and the effect of byproduct metal price is
    underestimated.
    Abstract
    Basing on the relationship of joint production, we take lead-bismuth, lead-selenium, zinc-cadmium, and zinc-germanium as examples to study
    the nonlinear Granger causal relationship between the prices of
    main-byproduct metal pairs. The price relationship between the main
    metal and byproduct metal is nonlinear and varies with the time
    scales. Therefore, we use an Ensemble Empirical Modal Decomposition
    method (EEMD) to break down the price series of the main metals and
    byproduct metals into different frequency bands, and then test these
    different frequency bands for nonlinear Granger causality. The results show that a two-way nonlinear Granger causal relationship exists
    between the prices of the main metals and byproduct metals, and this
    nonlinear Granger causal relationship is reflected primarily in the
    short- and medium-term time scales. Moreover, the effect of the main
    metal price on the price of the byproduct metal is not as significant as previously thought, and the influence of the byproduct metal price on the main metal price has been previously underestimated.
    Keywords
    Main metal;Byproduct metal;Price relationship;
    Nonlinear Granger causality;EEMD
    

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    邵留国,中南大学商学院,中南大学金属资源战略研究院。
    胡文琴,中南大学商学院。
    邵留国,胡文琴,杨丹辉.多尺度非线性格兰杰因果视角下主金属与副产品金属间价格关系研究,资源政策[J],2020,69:101846
    
    

Tags:多尺度非线性格兰杰因果视角下主金属与副产品金属间价格关系研究  
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