首页|铁矿石价格、国际航运与中国股票市场间的时变溢出效应——来自TVP-VAR-DY模型的证据

铁矿石价格、国际航运与中国股票市场间的时变溢出效应——来自TVP-VAR-DY模型的证据

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采用时频参数向量自回归(TVP-VAR)连通性方法,使用2017年1月4日至2023年3月6日的日度数据探讨铁矿石价格、国际航运与中国股票市场间的时变溢出效应.实证结果表明:国际航运是最强烈的溢出效应;中国股票市场是溢出效应的传导因素;铁矿石价格是主要的接收者.整个溢出效应是时变的,在危机时期溢出效应显著增强,在特殊时期溢出与接收关系会发生短暂的改变.
Time-varying Spillover Effects between Iron Ore Price,International Shipping and Chinese Stock Market:Evidence from the TVP-VAR-DY Model
The time-frequency parameter vector autoregressive(TVP-VAR)connectivity method is used to explore the time-varying spillover effects between iron ore prices,international shipping and China's stock market using daily data from Jan.4,2017 to Mar.6,2023.The empirical results show that international shipping is the strongest spillover effect.China's stock market is the transmission factor of spillover effect.The iron ore price is the main recipient.The overall spillover effect is time-varying,and in times of crisis spillover effects are significantly enhanced,in the special period,the relationship between overflow and reception will change briefly.

iron oreshipping marketChina stock marketresource securityTVP-VAR-DY(time-varying parameter vector auto regression-dividend yield)

曹文屹

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河北地质大学经济学院,石家庄 050031

铁矿石 航运市场 中国股票市场 资源安全 TVP-VAR-DY(时频参数向量自回归-股息收益率)

2024

科技和产业
中国技术经济学会

科技和产业

影响因子:0.361
ISSN:1671-1807
年,卷(期):2024.24(17)
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