| 人民币国际化与有色金属价格变动的非线性关系（英文） |
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| 引用本文： | 朱学红,张梓滔,张宏伟,汪秋芬. 人民币国际化与有色金属价格变动的非线性关系（英文）[J]. 中国有色金属学会会刊, 2020, 30(7): 1991-2000. DOI: 10.1016/S1003-6326(20)65356-0 |
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| 作者姓名： | 朱学红 张梓滔 张宏伟 汪秋芬 |
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| 作者单位： | 1. 中南大学商学院;2. 中南大学金属资源战略研究院;3. 中南大学数学与统计学院 |
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| 基金项目： | Projects (71874210,71633006,71874207,71974208) supported by the National Natural Science Foundation of China； |
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| 摘 要： | 运用非线性Granger因果关系检验和DCC-GARCH模型,对人民币国际化和有色金属价格变动之间的关联性进行实证研究。结果表明:人民币国际化与有色金属价格变动之间的关联是复杂的非线性机制;在2009年7月开展人民币结算试点之前,人民币国际化与有色金属价格变动之间互不影响;然而,在人民币结算试点开展后,人民币国际化与铜价的互动表现为双向性;对铝而言,存在由铝价变动到人民币国际化的单向非线性因果关系。此外,受经济金融危机等极端事件的影响,人民币国际化与有色金属价格变动并不总是表现出正向关联,有时也呈现负相关性。
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| 关 键 词： | 人民币国际化 有色金属 非线性Granger因果关系 DCC-GARCH模型 |
| 收稿时间： | 2019-09-10 |
Nonlinear correlation between RMB internationalization and nonferrous metal prices |
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| Affiliation: | 1. Integrated Policy Analysis Group, Federal Reserve Bank of New York, 33 Liberty Street, New York, NY 10045, United States;2. NBER, United States;3. Geneva Graduate Institute of International and Development Studies, Switzerland;4. CEPR, United Kingdom;1. School of International Trade and Economics, Central University of Finance and Economics, Xueyuan South Road No. 39, Haidian District, Beijing 100081, China;2. Center for Global Economy and Sustainable Development, China;3. School of Finance, Renmin University of China, Zhongguan Cun Road No. 59, Haidian District, Beijing 100872, China;4. School of Economics, Fudan University, 600 Guoquan Rd, Shanghai 200086, China;5. University of California, Davis;6. Sunway University, Kuala Lumpur;7. Chinese Academy of Social Sciences, Beijing;1. Graduate School of Public Policy, University of Tokyo, Tokyo, Japan;2. Asian Development Bank Institute, Kasumigaseki Building 8F, 3-2-5 Kasumigaseki, Chiyoda-ku, Tokyo 100-6008, Japan |
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| Abstract: | The correlation between Renminbi (RMB) internationalization and nonferrous metal prices was studied using the nonlinear Granger causality test and the dynamic conditional correlation-generalized autoregressive conditional heteroskedastic (DCC-GARCH) model. The results indicate that the relationship between RMB internationalization and nonferrous metal prices reflects a complex nonlinear mechanism. There was no mutual influence between RMB internationalization and nonferrous metal prices prior to the trials of the RMB settlement in the cross-border trade in July 2009. Since then, however, a bidirectional causal relationship between RMB internationalization and the price of copper and a unidirectional causal relationship from the price of aluminum to RMB internationalization were examined. In addition, due to the impact of extreme events, such as economic and financial crises, RMB internationalization and nonferrous metal prices are not always positively correlated but are rather occasionally negatively correlated. |
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| Keywords: | RMB internationalization nonferrous metals nonlinear Granger causality test DCC-GARCH model |
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