基本有色金属期货市场价格波动实证分析

依据铜、铝和锌三种典型性基本有色金属在金融危机前后的期货价格波动数据，运用分解-合成框架和时变TVP-VAR分析模型，考量影响基本有色金属期货价格波动重大事件和长期趋势价格波动的因素及价格时变特征。结果发现：铜、铝和锌三种基本有色金属期货的价格走势基本一致，且与中国宏观经济密切相关，其价格的最低点都出现在金融危机期间，而价格的最高点基本都出现在经济繁荣期；基本有色金属价格存在同涨同跌关系，而且涨跌幅基本趋势相一致。鉴此，可以对具有周期变化特征的基本有色金属价格走势进行预测，并规避价格波动的风险。

Empirical Analysis on Price Fluctuation of Basic Nonferrous Metal Futures Market

According to the basic nonferrous metal futures prices before and after the financial crisis cyclical swings typical stage, copper, aluminum and zinc three varieties of representative data, using the decomposition synthesis framework and time-varying TVP-VAR analysis model, considerations affect basic events and non-ferrous metals futures price volatility and price fluctuations in the price of long-term trend factors time-varying characteristics. The results show that the price trend of copper, aluminum and zinc futures is basically the same and closely related to China''s macro economy. The lowest point of the futures price occurred during the financial crisis, while the highest point of the futures price basically occurred during the economic boom. Basic non-ferrous metal prices with the relationship between the rise and fall, and the basic trend of the rise and fall consistent.