基于时变空间权重矩阵的经济空间冲击效应分析——以重大金融事件为背景的实证检验
Analysis of Economic Space Impact Effect Based on Time Variable Space Weight Matrix—Empirical Test on the Background of Major Financial Events
DOI: 10.12677/BGlo.2021.91002, PDF,   
作者: 田 伟：电子科技大学，经济与管理学院，四川 成都
关键词: 时变空间权重矩阵；金融事件；冲击效应；Time Varying Space Weight Matrix； Financial Event； Impact Effect
摘要: 本文通过构建时变权重空间矩阵，利用变权重面板空间回归模型研究了次贷危机、欧债危机和脱欧公投几个重大事件对28个国家的股票市场的冲击效应。结果表明股票市场与各国债券市场之间存在着显著的风险传染和投资转移行为，通过分段估计详细分析了各个事件的具体影响。通过比较建立的空间权重矩阵，表明时变空间权重矩阵要优于固定权重的空间矩阵并确定了最优的空间权重矩阵形式。
Abstract: By constructing time-varying weight space matrix and using variable weight panel spatial regres-sion model, we studied the impact of several major events of subprime mortgage crisis, European debt crisis and off European referendum on the stock market of 28 countries. The results show that there are significant risk contagion and investment transfer behavior between stock market and bond market. The specific influence of each event is analyzed in detail by piecewise estimation. By comparing the spatial weight matrix, it is shown that the time-varying spatial weight matrix is bet-ter than the fixed weight spatial matrix, and the best form of spatial weight matrix is determined.
文章引用：田伟. 基于时变空间权重矩阵的经济空间冲击效应分析——以重大金融事件为背景的实证检验[J]. 商业全球化, 2021, 9(1): 13-20. https://doi.org/10.12677/BGlo.2021.91002

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