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| 文章编号：1672-3104(2025)01-0107-16 |
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多时间尺度下载体金属铜及其伴生金属市场溢出效应研究 |
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吴巧生，王昱力，毕致玮 |
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（中国地质大学(武汉)经济管理学院，湖北武汉，430074） |
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| 摘 要： 关键金属是战略性新兴产业的关键原材料，其重要性日益凸显。多数关键金属矿产常以伴生状态存在，产量受载体金属约束，研究载体金属与伴生金属的价格影响关系，对于化解价格波动带来的风险尤为重要。采用多元小波与DY溢出指数研究载体金属铜及其伴生金属镍、锡、黄金之间的市场关联与溢出效应，结果显示，短期时间尺度下铜-镍相关性更强，长期时间尺度下铜-锡相关性更强。在不同时间尺度下，铜-镍、铜-锡金属对之间存在较强的共同运动。DY溢出结果显示，在各时间尺度下，铜与伴生金属市场存在双向溢出效应；铜是伴生金属市场风险的最大贡献者，且最容易受到伴生金属市场的冲击；在中长期的时间尺度下，铜与伴生金属的溢出幅度变化更大，分散组合投资效益差。 |
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| 关键词： 载体金属；伴生金属；小波分析方法；溢出效应 |
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Multi-time scale study on the spillover effects of copper and its byproduct metals market |
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WU Qiaosheng, WANG Yuli, BI Zhiwei |
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（School of Economics and Management, China University of Geosciences, Wuhan 430074, China） |
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| Abstract: Critical metals constitute the critical raw materials of strategic emerging industries, and their importance is increasingly prominent. Most critical metal minerals often exist in the associated state, and the output is constrained by host metals, so studying the price impact relationship between carrier metals and byproduct metals is particularly important for resolving the risks caused by price fluctuations. The present study, by adopting multiple wavelet and Diebold Yilmaz spillover index, investigates into the market association and spillover effect between carrier metal copper and its associated metals nickel, tin and gold. Multivariate wavelet results show that the copper-nickel correlation is stronger in short-term time scales and the copper-tin correlation is stronger in long-term time scales, and that there is a strong common motion between copper-tin metal pairs at different time scales. The DY spillover results show that there is a bidirectional spillover effect between the copper and associated metal market in all time scales, and that copper is the largest contributor to the associated metal market risk in the associated metal market and is the most vulnerable to the impact of copper and the associated metal and the diversification portfolio is poor. |
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Key words: host metal; byproduct metal; multivariate wavelet; spillovers |
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