鎳價決定機制與影響因素之實證分析

鎳是地殼裡第五常見的金屬元素，是製作不銹鋼的主要原料之一，全球鎳消費量有75%用於製造不銹鋼。鎳、鉻金屬約佔不銹鋼原料成本70%~80%間，其中鎳的單價約為鉻的5~6倍，因此鎳價通常被認為是造成不銹鋼價格變動的主要原因。本研究由文獻整理歸納出影響鎳價相關因素，再依據所欲探討影響國際鎳價主要影響因素蒐集實證所需資料，依所蒐集資料檢定出有影響之因素，依序為單根檢定，落後期數判定，共整合檢定，建立向量自我迴歸(VAR)或向量誤差修正模型(VECM)，再依據Granger因果關係檢定有影響之因素，運用實證結果加以分析建立影響機制。根據Granger因果關係檢定的分析：銅現貨價變動、OECD全球景氣領先指標變動、廣義貿易加權美元指數變動對預測鎳現貨價變動有幫助。經由實證數據所估計之向量誤差修正模型(VECM)時間序列結果顯示：鎳現貨價變動受銅現貨價變動落後二期、廣義貿易加權美元指數變動落後一期顯著正向影響，OECD全球景氣領先指標變動落後一期非常顯著正向影響，澳洲Newcastle煤價變動落後二期顯著負向影響。

關鍵字

鎳價；單根檢定；共整合檢定； VECM ； Granger因果關係檢定

並列摘要

Nickel is the fifth most common metal element in the earth's crust and one of the main raw materials for making stainless steel. 75% of global nickel consumption is used to make stainless steel. Nickel and chrome metals account for about 70% to 80% of the cost of stainless steel raw materials. The unit price of nickel is about 5-6 times that of chromium. Therefore, nickel price is generally considered to be the main reason for the price change of stainless steel. This study sorts out the factors affecting nickel price by literature, and collects the information needed for empirical evidence according to the main influencing factors affecting international nickel price. According to the collected data, the influential factors are determined, which are the unit root test, the VAR lag order selection criteria, the co-integration test, the vector self-regression (VAR) or the vector error correction model (VECM) is established, and then the influence factors are determined according to the Granger causality test, and the empirical results are used to analyze and establish the influence mechanism. According to the Granger causality test analysis: changes in copper spot prices, changes in the OECD global economic leading indicators, and changes in the generalized trade-weighted US dollar index are helpful in predicting changes in nickel spot prices. The vector error correction model (VECM) time series results estimated by empirical data show that the change in nickel spot price is positive impacted and significantly affected by the change of copper spot price behind the second period and the generalized trade-weighted US dollar index behind the first period, and very significantly affected by the change of the OECD global leading indicator behind the first period. The change in nickel spot price is negative impacted and significantly affected by the change of Australia Newcastle coal price behind the second period.