战略性金属矿产价格冲击对行业产出的影响——基于TVP-FAVAR模型的时变分析

doi:10.18402/resci.2020.08.12

摘要/Abstract

摘要：

本文基于产业安全视角,采用2006年8月—2018年12月的月度数据,将影响战略性金属矿产价格波动的直接和间接因素同时融入统一的分析架构中,并构建TVP-FAVAR实证分析模型,提炼出反映战略性金属行业波动本质的综合因素,全视角分析供给冲击、经济需求冲击、战略性金属特定需求冲击以及金融投机冲击导致的战略性金属矿产价格波动对战略性金属行业产出的影响及时变特征。结果显示：①战略性金属矿产价格冲击的行业影响效应具有时变性,在不同时间尺度与不同时间点,其影响效应呈现异质性;②供给冲击对战略性金属矿采选业产出的影响最大,而经济需求冲击主要影响战略性金属冶炼及压延加工业产出;③战略性金属矿产价格波动对中国战略性金属行业特别是战略性金属矿采选业产出产生显著抑制作用,严重影响了中国战略性金属产业安全,在当前中美贸易战背景下,其负面影响更为显著。

关键词: 产业安全, 战略性金属矿产, 价格, TVP-FAVAR模型

Abstract:

Based on the perspective of industrial security, this study used monthly data from August 2006 to December 2018 to incorporate factors that directly or indirectly affect the price fluctuations of strategic metals into a unified framework of analysis, and constructed a time varying parameter factor augmented vector autoregressive (TVP-FAVAR) model to conduct a comprehensive analysis of the dynamic impacts of supply shocks, economic demand shocks, strategic metal-specific demand shocks, and financial speculative shocks on the strategic metal industry’s output. The results show that the impacts of strategic metal price shocks on the strategic metal industry are time-varying. At different temporal scales and at different points in time, the effects are heterogeneous. Among the four types of shocks, supply shocks affect most in the output of strategic metal ore mining and dressing industry. The output of the strategic metal smelting and rolling processing industry is mainly affected by economic demand shocks; fluctuations in the price of strategic metals have a significant inhibitory effect on China’s strategic metal industry output, especially that of the strategic metal ore mining and dressing industry, which has severely affected the security of the strategic metal industry, and is particularly significant in the context of the current Sino-US trade war.

Key words: industrial security, strategic metal, price, TVP-FAVAR model

钟美瑞, 宋婉婷. 战略性金属矿产价格冲击对行业产出的影响——基于TVP-FAVAR模型的时变分析[J]. 资源科学, 2020, 42(8): 1580-1591.

ZHONG Meirui, SONG Wanting. Impact of strategic metal price shocks on industrial output:Time-varying analysis based on the TVP-FAVAR model[J]. Resources Science, 2020, 42(8): 1580-1591.

图/表 9

表1

四种结构性冲击指标"

结构性冲击	指标	参考文献
供给冲击（15个指标）	矿铜产量、精炼铜产量、粗铜产量、精铝产量、矿铅产量、精炼铅产量、矿锌产量、锌锭产量、矿镍产量、精炼镍产量、矿锡产量、精炼锡产量、矿钼产量、矿金产量、矿银产量	Kilian^[15]、 Chen等^[23]、 Chen等^[24]、成金华等^[26]
需求冲击（20个指标）	G7工业生产指数、OECD工业生产指数、欧洲工业生产指数、欧盟工业生产指数、欧元区工业生产指数、美国工业生产指数、英国工业生产指数、法国工业生产指数、德国工业生产指数、意大利工业生产指数、加拿大工业生产指数、韩国工业生产指数、印度工业生产指数、俄罗斯工业生产指数、土耳其工业生产指数、墨西哥工业生产指数、巴西工业生产指数、阿根廷工业生产指数、日本工业生产指数、中国工业增加值增速	成金华等^[3]、Kilian^[15]、 Chen等^[23]、Chen等^[24]
金融投机冲击（27个指标）	黄金非商业多头持仓数量、黄金非商业空头持仓数量、黄金非商业套利持仓数量、黄金非商业多头持仓数量占比、黄金非商业多头持仓交易者数量、黄金非商业空头持仓数量占比、黄金非商业空头持仓交易者数量、黄金非商业套利持仓数量占比、黄金非商业套利持仓交易者数量、银非商业多头持仓数量、银非商业空头持仓数量、银非商业套利持仓数量、银非商业多头持仓数量占比、银非商业多头持仓交易者数量、银非商业空头持仓数量占比、银非商业空头持仓交易者数量、银非商业套利持仓数量占比、银非商业套利持仓交易者数量、铜非商业多头持仓数量、铜非商业空头持仓数量、铜非商业套利持仓数量、铜非商业多头持仓数量占比、铜非商业多头持仓交易者数量、铜非商业空头持仓数量占比、铜非商业空头持仓交易者数量、铜非商业套利持仓数量占比、铜非商业套利持仓交易者数量	Chen等^[23]、Chen等^[24]、程慧等^[25]、成金华等^[26]
特定需求冲击（10个指标）	LME铜价、COMEX铜价、LME铝价、LME锌价、LME铅价、LME镍价、LME锡价、COMEX黄金价格、COMEX银价、LME基本金属指数	Chen等^[23]、程慧等^[25]、成金华等^[26]

表1

表2

表3

表4

模型参数估计结果"

参数	均值	标准差	95%下限	95%上限	Geweke	无效因子
(F1, F2, F3, F4, MDIO)
$(∑ β) 1$	0.0227	0.0025	0.0184	0.0282	0.3940	8.9900
$(∑ β) 2$	0.0225	0.0025	0.0183	0.0280	0.5530	8.4700
$(∑ α) 1$	0.0856	0.0296	0.0448	0.1553	0.2910	63.0000
$(∑ α) 2$	0.0819	0.0285	0.0431	0.1536	0.4110	40.3400
$(∑ h) 1$	0.2307	0.0994	0.0826	0.4458	0.1120	125.9800
$(∑ h) 2$	0.3005	0.1075	0.1331	0.5631	0.7390	78.8300
(F1, F2, F3, F4, SRPIO)
$(∑ β) 1$	0.0224	0.0026	0.0180	0.0282	0.8430	9.3600
$(∑ β) 2$	0.0223	0.0024	0.0182	0.0277	0.2850	6.9100
$(∑ α) 1$	0.0924	0.0360	0.0478	0.1845	0.2700	49.9100
$(∑ α) 2$	0.0808	0.0278	0.0422	0.1522	0.4440	68.5100
$(∑ h) 1$	0.2144	0.1027	0.0732	0.4922	0.9980	93.2800
$(∑ h) 2$	0.2848	0.1074	0.1196	0.5234	0.7190	89.2800

表4

图1

图2

图3

图4

表5

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成分	特征值	相应特征值与后一项的差	解释比例/%	累积特征值	累积解释比例/%
F₁	18.7199	9.5132	26.00	18.7199	26.00
F₂	9.2068	3.3967	12.79	27.9267	38.79
F₃	5.8100	0.8670	8.07	33.7367	46.86
F₄	4.9431	1.6926	6.87	38.6798	53.72

F₁	R²值	F₂	R²值
全球金矿产量	0.9181	金属价格指数	0.5785
全球精炼铜产量	0.8961	OECD工业生产指数	0.5480
土耳其工业生产指数	0.8910	LME铜价格	0.5223
铜空头持仓数量	0.7832	欧洲工业生产指数	0.5195
铜多头交易者数量	0.7691	COMEX铜价格	0.5070
铜多头持仓数量	0.7633	LME铝价格	0.4774
全球精炼铅产量	0.7500	G7工业生产指数	0.4593
全球粗铜产量	0.7429	欧元区工业生产指数	0.4397
铜套利交易者数量	0.7410	欧盟工业生产指数	0.4393
全球锌锭产量	0.7319	德国工业生产指数	0.3728
F₃	R²值	F₄	R²值
LME锌价格	0.2911	黄金多头交易者数量	0.6561
金属价格指数	0.2587	黄金套利交易者数量	0.5961
国际银价	0.2354	白银多头交易者数量	0.5362
LME镍价格	0.2184	铜空头交易者数量	0.4646
COMEX铜价格	0.2118	墨西哥工业生产指数	0.1909
LME铜价格	0.2102	巴西工业生产指数	0.1622
欧洲工业生产指数	0.2049	G7工业生产指数	0.1556
欧盟工业生产指数	0.2013	铜套利持仓数量	0.1439
黄金多头持仓占比	0.1951	白银套利交易者数量	0.1385
欧元区工业生产指数	0.1840	美国工业生产指数	0.1295

		F₁	F₂	F₃	F₄
战略性金属矿采选业	1期后	0.9649	0.9483	0.0013	0.0206
	6期后	4.9907	1.6149	4.5906	0.1088
	12期后	15.3628	1.7278	6.2489	0.1125
战略性金属冶炼及压延加工业	1期后	0.0015	1.4739	0.0209	0.7189
	6期后	0.4379	4.1489	1.8196	0.5419
	12期后	2.2578	6.4372	2.2867	0.5118