摘要
如何构造空间权重矩阵是当前空间计量经济学的核心问题。本文利用符号化转移熵提出一种新的空间权重矩阵构建方式,并基于此构建空间似不相关模型对欧债危机期间欧洲主权信用评级下调冲击我国金融市场的空间效应和跨市场效应进行了研究。结果表明我国金融市场间确实存在显著的空间效应。而且四个金融市场均受到了欧洲主权信用评级下调的冲击,并发生了跨市场效应。同时相比传统空间权重矩阵,新的矩阵在捕捉空间效应上更具有适用性和有效性。
Currently how to construct the spatial weight matrix is the key problem of the spatial econometrics. In this paper we propose a new method to construct the spatial weight matrix by using symbolic transfer entropy, and then based on it, we build the Spatial-SUR model to study the spatial and cross-market effects among Chinese financial markets caused by the impacts of sovereign credit rating downgrades during the European debt crisis period. The empirical results show that there indeed are sig- nificant spatial effects between China＇s financial markets. Meanwhile all the four sub-financial markets suffered from the im- pacts of the sovereign credit rating downgrades of Europe, and occurred the cross-market effects between them. And compared to the traditional spatial weight matrix, the new spatial weight matrix is more applicable and effective in capturing the spatial effects.
出处
《投资研究》
CSSCI
2017年第11期133-144,共12页
Review of Investment Studies
基金
国家社会科学基金项目(14BJY174)
关键词
主权信用评级下调
符号化转移熵
空间权重矩阵
跨市场效应
Sovereign credit rating downgrade
Symbolic transfer entropy
Spatial weight matrix
Spatial cross-market effects
