基于VAR的中国沿海及长江集装箱运价指数波动相关性分析

Correlation analysis of China’s coastal and Yangtze River container freight index fluctuations based on VAR

以沿海集装箱运价指数和长江集装箱运价指数月度数据为研究样本,在剔除季节性因子影响后,利用两者的趋势循环序列建立了4阶滞后期VAR模型对沿海及长江集装箱运价的波动相关性进行实证分析。结果显示,沿海及长江集装箱运价均有明显的季节性波动特征,且长江集装箱运价波动相对沿海集装箱运价波动较为滞后;其中沿海集装箱运价能够Granger引起长江集装箱运价变化;经过脉冲响应函数分析,沿海及长江集装箱运价指数对自身及对方变化产生的冲击均较为敏感,受自身变化冲击产生的波动幅度较为剧烈,但沿海集装箱运价波动对长江集装箱运价造成的影响更为显著,表明沿海集装箱运价对长江集装箱运价影响较大。

Taking the monthly data of coastal container freight index and Yangtze River container freight index as research samples,after eliminating the influence of seasonal factors,this paper uses their trend cycle series to establish a fourth-order lagged VAR model to empirically analyze the fluctuation correlation of coastal and Yangtze River container freights.The results show that the coastal and Yangtze River container freights have obvious seasonal fluctuation characteristics,and the fluctuation of Yangtze River container freight lags behind the fluctuation of coastal Yangtze River container freight;among them,the coastal container freight can cause the change of Yangtze River container freight through Granger;through the analysis of impulse response function,the coastal and Yangtze River container freight indexes are more sensitive to the impact of their own and the other’s changes,and the range caused by their own changes is more intense,but the impact of coastal container freight fluctuations on the Yangtze container freight is more significant,indicating that the coastal container freight has a greater influence on the Yangtze River container freight.