关键稀土元素价格波动测度研究——基于带季节的ARIMA模型分析

Research on Price Fluctuation Measurement of Key Rare Earth Elements——Analysis of ARIMA Model with Seasons

稀土作为关键战略资源,镨、钕、铽、镝也称为“关键稀土元素”广泛应用于新兴战略产业,其价格波动对稀土整个产业链的发展影响深远。准确预测稀土价格波动,能有效降低经营风险,增强供应链稳定安全。基于2007-2022年月度数据,采用带季节的ARIMA模型对镨、钕、铽、镝价格进行拟合,依据变异率模型测算价格波动并探究其对微观稀土企业价值的影响。研究发现,(1)带季节的ARIMA模型能够较为准确地预测稀土元素的价格走势,适合中短期稀土价格预测。(2)在样本研究区间内,价格波动程度最大的区间为2011-2012年;其次是2008-2009年和2020-2021年;整体上看,镨、钕的价格波动程度大于铽、镝。(3)运用双向固定效应模型对价格波动与2014-2020年我国稀土上市公司企业价值进行回归,发现钕、铽价格若出现较大波动不利于提升稀土企业价值,镨、镝则相反,这主要与稀土元素的价值占整个矿山价值的比重、市场需求及价格走势具有一定的关联性。

Rare earth is a key strategic resource,and praseodymium,neodymium,terbium,and dysprosium,also known as“key rare earth elements”,are widely used in emerging strategic industries.Their price fluctuations have a profound impact on the development of the entire rare earth industry chain.Accurately predicting fluctuations in rare earth prices can effectively reduce operational risks and enhance supply chain stability and security.Based on monthly data from 2007 to 2022,a seasonal ARIMA model was used to fit the prices of praseodymium,neodymium,terbium,and dysprosium.The volatility of prices was calculated using a rate of variation model and its impact on the value of micro rare earth enterprises was explored.Research has found that the seasonal ARIMA model can accurately predict the price trend of rare earth elements,making it suitable for short and medium term rare earth price forecasting.(2)Within the sample study range,the range with the highest degree of price volatility is from 2011 to 2012;Next are the years 2008-2009 and 2020-2021;Overall,the price fluctuation of praseodymium and neodymium is greater than that of terbium and dysprosium.(3)Using a bidirectional fixed effect model to regress price fluctuations with the enterprise value of rare earth listed companies in China from 2014 to 2020,it was found that significant fluctuations in neodymium and terbium prices are not conducive to enhancing the value of rare earth enterprises,while praseodymium and dysprosium are the opposite.This is mainly related to the proportion of rare earth element value in the entire mine val-ue,market demand,and price trends.