基于TVP-VAR模型的有色金属价格时变相关性研究  

Time-varying Correlation of Non-ferrous Metal Prices Based TVP-VAR Model

作　　者：吴丹[1] 胡振华[1] 

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《财经理论与实践》2017年第3期64-70,共7页The Theory and Practice of Finance and Economics

基　　金：国家自然科学基金面上项目(71072079)

摘　　要：基于TVP-VAR模型,考量有色金属价格时变相关性。结果显示,铜价、铝价及锌价之间存在显著的正向相关关系;一种有色金属价格发生变化,其他两种有色金属的价格通常出现正向响应,并且这种响应的强度是时变的。时点脉冲函数结果表明,不同时点下有色金属价格之间的相关关系是不同的,但大多时点下表现为正相关关系。This paper uses a time-varying coefficient vector autoregression model （TVP- VAR） to analyze the nonlinear dynamic relationship between the prices of the three major non- ferrous metals （copper,aluminum and zinc）. Then it selects representative time point to analyze at different time points of the specific impact situation between non-ferrous metal prices.The em- pirical findings indicate that there was a significant positive correlation between the price of cop- per, aluminum and zinc prices.Changes in one of non-ferrous metals prices, the other two non-fer- rous metal prices usually appears positive response, and the intensity of this response is time- varying. In addition, point impulse function results also show that at different time points the cor- relation between the price of non-ferrous metals are different, but in most cases points showed positive correlation.

关 键 词：有色金属价格 时变相关性 TVP-VAR模型 

分 类 号：F830.93[经济管理—金融学]