- 學位論文
銅價格預測模式績效之研究
A Study on the Performance of Copper Price Forecast Model
摘要
在人類文化歷史中，銅一直都為重要的工業原物料，不但是商業金屬之代表，更是全球期貨交易市場的主要契約商品之一，其需求量與經濟情勢息息相關，而對於銅產品製造產業來說，銅價變動勢必為其最關心的獲利指標之一，因此，如何正確預估國際銅價走勢一直是部分學者進行研究的重要目標之一。1997年亞洲金融危機爆發，導致亞洲地區銅價急遽下跌；而相反的，當1999年亞洲地區經濟趨於好轉時，銅價又逐步回升，因此，經濟景氣之良窳有助於準確預估國際銅價，可以增進原物料投資人與銅生產業者的獲利。本研究以2008年1月至2011年12月的美元匯率、原油價格、美國GDP成長率、美國工業生產成長率作為實證研究之迴歸模型的解釋變數，用以探討2011年1月至12月影響銅價的因素，接著以RMSE、MAPE以及Theil's U等三種預測績效評估指標以檢測此迴規模型之預測能力，而藉由實證結果可發現此模型具有一定程度的預測能力，並可提供投資者或決策者作為一個參考的準則。
並列摘要
Copper has always been an important industrial raw material, it not only represent one of the commercial metals, but also be an essential investment in the future global market. Its demand is closely related to the economic situation. The copper products industry is mostly concerned with the price fluctuation. Therefore, the estimate of the international copper price has been one of the research of academia and investor. In 1997, the Asian financial crisis caused the copper price to fall sharply in the Asian area, however, the Asian economy got better in 1999, the copper price gradually increased. Therefore, economic situation can affect the price of copper and if we could estimate the copper price correctly, then the profits of investors and the copper producers could be enhanced. This empirical study, uses the U.S. dollar, the oil price, the sulfuric acid price between January 1995 and December 2011 as explanatory variables of a regression model. The model helps us analyze and predict the price of copper between January 2011 and December 2011. Next, in order to detect the predictive ability of this regression model, we use RMSE, MAPE and Theil's U. These three prediction performance evaluation indicators evaluate the model and the empirical results. The finding shows that this model has a certain degree of forecasting power. Therefore, it can provide decision-makers with a reference criterion.