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中国社会科学院工业经济研究所

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

2020年09月22日来源: 《资源政策》2020,69    作者: 邵留国 胡文琴 杨丹辉

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

 

 

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

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