中國(guó)有色金屬學(xué)報(bào)(英文版)
Transactions of Nonferrous Metals Society of China
| Vol. 30 No. 7 July 2020 |
（1. School of Business, Central South University, Changsha 410083, China;
2. Institute of Metal Resources Strategy, Central South University, Changsha 410083, China;
3. School of Mathematics and Statistics, Central South University, Changsha 410083, China）
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.
Key words: RMB internationalization; nonferrous metals; nonlinear Granger causality test; DCC-GARCH model
