基于TVP VAR模型的有色金属价格时变相关性研究

吴丹; 胡振华

基于TVP VAR模型的有色金属价格时变相关性研究

引用本文：吴丹，胡振华.基于TVP VAR模型的有色金属价格时变相关性研究[J].财经理论与实践,2017,(3):64-70

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作者	单位
吴丹，胡振华	（中南大学商学院，湖南长沙410083）

中文摘要: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。

中文关键词:有色金属价格时变相关性 TVP VAR模型

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

Abstract: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 empirical findings indicate that there was a significant positive correlation between the price of copper，aluminum and zinc prices.Changes in one of non ferrous metals prices，the other two non ferrous 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 correlation between the price of non ferrous metals are different，but in most cases points showed positive correlation.

keywords:Non ferrous metals price Time varying correlation TVP VAR model

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