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  

Time-varying Spillover Effects between Iron Ore Price,International Shipping and Chinese Stock Market:Evidence from the TVP-VAR-DY Model

作　　者：曹文屹 CAO Wenyi(School of Economics,Hebei GEO University,Shijiazhuang 050031,China)

机构地区：[1]河北地质大学经济学院,石家庄050031

出　　处：《科技和产业》2024年第17期169-174,共6页Science Technology and Industry

摘　　要：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。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.

关 键 词：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) 

分 类 号：F830.9[经济管理—金融学]