摘要
将国家风险(ICRG)指数作为国家政治风险的测度,运用随机波动时变参数结构向量自回归(TVP-SVAR-SV)模型,研究政治风险对铜价波动的时变影响。结果表明:政治风险对铜价波动具有时变影响,并且这种影响在近年来有逐渐增强的趋势;政治风险对铜价波动的影响具有国别异质性,其中出口国的政治风险对铜价的冲击效应更强且持续时间更长;从风险来源来看,由外部冲突和内部冲突导致的政治风险对铜价波动的贡献率最大;政治风险对铜价波动的影响在金融危机、欧债危机和特朗普选举期间达到峰值。
Using the International Country Risk Guide(ICRG)index to represent countries’political risk,the time-varying effect of political risk on copper prices was examined based on the time-varying parameter structural vector autoregression with stochastic volatility(TVP-SVAR-SV)model.The empirical results show that the impact of political risk on copper prices is time-varying and has tended to increase gradually in recent years.There are significant country-level differences in the impact of political risk on copper prices.Political risk has a stronger and longer-lasting impact on copper prices in exporting countries.In terms of risk sources,external and internal conflicts contribute most to international copper price fluctuations in the sample period.The impact of political risk on copper prices reaches an extreme level during the international financial crisis,the European debt crisis,and the election of Donald Trump.
作者
唐静
黄健柏
张宏伟
罗玉梅
Jing TANG;Jian-bai HUANG;Hong-wei ZHANG;Yu-mei LUO(School of Business,Central South University,Changsha 410083,China;Institute of Metal Resources Strategy,Central South University,Changsha 410083,China;School of Mathematics and Statistics,Central South University,Changsha 410083,China)
基金
financial supports from the National Natural Science Foundation of China(Nos.71633006,71874210,71874207,71974208)
the Natural Science Founda-tion of Hunan Province,China(No.2020JJ5784)
the Innovation-Driven Foundation of Central South University,China(No.2020CX049)。
