“一带一路”倡议下航运与贸易联动——基于DCC-MSV模型  

Shipping-Trade Correlation in the Belt and Road Practice:Based on DCC-MSV Model

作　　者：孙司琦 孙佳会 余思勤[1] SUN Siqi;SUN Jiahui;YU Siqin(School of Economics&Management,Shanghai Maritime University,Shanghai 201306,China)

机构地区：[1]上海海事大学经济管理学院,上海201306

出　　处：《中国航海》2020年第3期118-122,128,共6页Navigation of China

基　　金：国家自然科学基金(71601113);国家社会科学基金(17BGL015)。

摘　　要：为研究"一带一路"倡议下贸易与航运市场的联动性和波动溢出效应,采用"一带一路"贸易额指数(Belt and Road Trade Volume Index,IBRTV)和"海上丝绸之路"出口集装箱运价指数(Maritime Silk Road Export Container Freight Index,IMSRECF),运用基于Gibbs抽样的模型参数估计法,建立一般化的动态条件相关系数多元随机波动率(Dynarnic Conditional Correlation-MSV, DCC-MSV)模型。研究结果表明:"一带一路"倡议下贸易市场和航运市场波动持续性强,集聚性明显;"一带一路"贸易额与"海上丝绸之路"集装箱运价收益率存在负相关关系,总体相关性不高;其波动性存在正的双向溢出效应,集装箱运价对贸易额的溢出效应较明显。With Gibbs sampling-based model parameter estimation,a DCC-MSV(Dynarnic Conditional Correlation-MSV)model is built to detect the time-varying correlation between shipping and trade and between their dynamic volatility in the context of the Belt and Road practice.IBRT(Belt and Road Trade Volume Index)and IMSRECF(Maritime Silk Road Export Container Freigh Index)are used to reflect the trade and shipping respectively.The empirical studies show that persistence of volatility is strong while only weak negative lead-lag relationship can be seen.There is a certain bidirectional volatility spillover between IMSRECF and IBRT,the former to IBRT is more observable.

关 键 词：水路运输 波动溢出效应 海上丝绸之路 DCC-MSV模型 MCMC算法 

分 类 号：F752.8[经济管理—国际贸易] F125[经济管理—产业经济]