全域面板协整与空间面板误差修正建模方法及其应用  

Global Panel Cointegration and Spatial Panel Error Correction Modeling Method and Its Application

作　　者：杨晓伟[1] 徐建军[2] YANG Xiao-wei;XU Jian-jun(Business School,Ningbo City College of Vocational Technology,Ningbo 315100,China;College of Science and Technology,Ningbo University,Ningbo 315300,China)

机构地区：[1]宁波城市职业技术学院商学院,浙江宁波315100 [2]宁波大学科学技术学院,浙江宁波315300

出　　处：《数学的实践与认识》2022年第2期34-44,共11页Mathematics in Practice and Theory

基　　金：教育部人文社会科学研究青年基金项目(17YJCZH218,16YJCZH124);浙江省高校重大人文社科项目攻关计划资助项目(2016QN005);浙江省社科联研究课题(2021N109);浙江省文化和旅游厅科研与创作项目(2020KYY032)。

摘　　要：传统的面板协整和误差修正模型只考虑了变量的非平稳特征,而忽视了变量的空间依赖性.若变量兼有非平稳和横截面依赖特征,有必要引入全域面板协整与空间面板误差修正建模方法.关于中国金融发展与对外贸易关系分析就是一个很好的例证.在考虑了面板数据的非平稳性和横截面依赖双重特征的前提下,我国金融发展、利用外资、基础设施建设与对外贸易之间存在全域协整关系,而非局部协整关系;当对外贸易的短期变化偏离均衡状态时,全域误差修正机制同时从时间和空间两个维度,而非仅从时间维度,促使失衡系统重回到均衡状态.研究证实了长期内金融支持对外贸易的直接影响和空间外溢效应显著,而短期内仅直接影响显著,这为人们正确认识二者关系提供了新的证据.The traditional panel cointegration and error correction models only consider the non-stationary characteristics of variables,but ignore the spatial dependence of variables.If the variables have both non-stationary and cross-section dependent characteristics,it is necessary to introduce global panel cointegration and spatial panel error correction modeling methods.The analysis of the relationship between China ’s financial development and foreign trade in this paper is a good example.Considering the non-stationary and cross-sectional dependence of panel data,there is a global cointegration relationship between China s financial development,utilization of foreign capital,infrastructure construction and foreign trade,rather than a local cointegration relationship.When the short-term changes of foreign trade deviate from the equilibrium state,the role of the global error correction mechanism will promote the unbalanced system to return to the equilibrium state from the time and space dimensions.This study confirms that the direct impact and spatial spillover effect of financial development on foreign trade are significant in the long run,but only the direct effects is significant in the short term.It provides new evidence for people to correctly understand the relationship between them.

关 键 词：全域面板协整 空间误差修正模型 空间外溢 金融发展 对外贸易 

分 类 号：F224[经济管理—国民经济] F752F832