中国有色金属学报(英文版)
Transactions of Nonferrous Metals Society of China
| Vol. 31 No. 8 August 2021 |
（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:Using the International Country Risk Guide (ICRG) index to represent countries’ political risk, the time-varying effect of political risk on copper prices was examined based on the time-varying parameter structural vector autoregression with stochastic volatility (TVP-SVAR-SV) model. The empirical results show that the impact of political risk on copper prices is time-varying and has tended to increase gradually in recent years. There are significant country-level differences in the impact of political risk on copper prices. Political risk has a stronger and longer-lasting impact on copper prices in exporting countries. In terms of risk sources, external and internal conflicts contribute most to international copper price ？uctuations in the sample period. The impact of political risk on copper prices reaches an extreme level during the international financial crisis, the European debt crisis, and the election of Donald Trump.
Key words: political risk; copper prices; time-varying impact; TVP-SVAR-SV model
