国际市场冲击下中国有色金属市场波动效应——一个空间经济的视角

China's Non-ferrous Metal Markets Volatility Influenced by International Market——A Spatial Economic Perspective

通过构建平滑机制转移空间面板模型探讨了在国际市场冲击下国内25个区域性有色金属市场的波动效应。结果表明:国际市场对国内有色金属市场的冲击表现出明显的非线性特征;国内有色金属市场表现出了空间异质性:相比国内其他地区的市场,在受到相同强度的国际市场冲击后,呼和浩特、上海和西安等地的市场会出现更大的震荡,这导致了跨地区套利机会;国内区域性有色金属市场表现出了空间依赖性:市场波动具有空间扩散效应,呼和浩特、上海、杭州、济南、长沙和西安等地市场的波动扩散效应最为显著。波动扩散效应具有明显的地理区位特征,随着地理距离的增加扩散效应会逐渐减小。

This paper constructs a endogenous structural break smooth transfer autoregressive spatial panel model and analy- zes prices panel data from 25 local non-ferrous metal markets. The resuhs include ： the impact of international market vola- tility on internal markets shows palpable nonlinear characteristics. There exists spatial heterogeneity. Compared with other regions, after receiving the same intensity of external shocks, the markets in Hohhot, Shanghai and Xi＇an would be greater volatility resulting in a short term inter-regional arbitrage opportunities. There exists spatial dependence and spatial diffusion effects among China＇s local non-ferrous metals markets. The diffusion effects in Hohhot, Shanghai, Changsha and Xi＇an are more prominent than those in the other regions. The effects have obvious geographical characteristics, but as the distance in- creases, they will diminish.