基于GRACH-MIDAS模型的地缘政治不确定性对国际稀土价格波动影响的理论与政策研究

Theory and Policy Research on the Influence of Geopolitical Uncertainty on International Rare Earth Price Fluctuation Based on GRACH-MIDAS Model

地缘政治是影响国际稀土价格的因素之一,稀土的战略意义被拔高到一个新的层面,我国虽然稀土资源存储量与稀土商品出口量位居世界第一,但是在世界稀土定价方面并无绝对话语权。基于此背景,本文采用GRACH-MIDAS模型,分解波动率为低频地缘政治风险系数与高频经济变量,构造综合混频数据抽样的广义自回归条件异方差(GRACH-MIDAS)模型,精准测度地缘政治不确定性对稀土价格波动的影响。

Geopolitics is one of the factors that affects the international price of rare earths,and the strategic significance of rare earths has been elevated to a new level.Although China's reserves of rare earth resources and exports of rare earth commodities rank fi rst in the world,it has no absolute right of speech in the pricing of rare earth in the world.Based on this background,this paper adopts the GRACH-MIDAS model to decompose the volatility into low-frequency geopolitical risk coefficient and high-frequency economic variables,and constructs the generalized autoregressive conditional heteroscedasticity(GRACH-MIDAS)model of comprehensive mixed frequency data sampling to accurately measure the impact of geopolitical uncertainty on rare earth price volatility.