基于TVP VAR模型的有色金属价格时变相关性研究

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.

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

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.