AI 中文总结
本文提出一种用于检验协整系统平滑结构变化的计量经济学框架，经2022年俄乌冲突前后相关市场数据验证，该方法可区分离散体制转变与平滑演化，发现相关市场协整关系发生了平滑变化。
AI 中文摘要
本文开发了一个计量经济学框架，用于分析在已知干预时点后协整系统中的平滑结构变化。我们考虑一个向量误差修正模型，其中协整秩和干预前的协整结构通过稳定的干预前子样本识别。在干预后，调整系数和协整向量均允许作为重新标度时间的函数平滑演化，这通过核加权的局部降秩方法进行估计。该分析直接在协整VAR/VECM系统中构建，保留了长期关系和短期误差修正动态的处理。通过使用分解Π(δ)=α(δ)β(δ)'，该方法将均衡关系的变化与调整速度的变化分离开来。我们还分别提供了参数一致性和干预后参数平滑性的两个检验。将该方法应用于2022年2月24日俄罗斯入侵乌克兰前后的能源市场、外汇市场和黄金市场指数，说明了所提方法如何区分离散的体制转变与干预后的平滑演化。结果表明，布伦特原油价格、美元兑欧元即期汇率和瑞士信贷纳斯达克黄金价格指数之间的协整关系在战争爆发后发生了平滑变化，而非干预前时期的恒定长期协整系统。
英文摘要
This paper develops an econometric framework for analysing smooth structural change in cointegrated systems following a known intervention time. We consider a vector error-correction model in which the cointegration rank and the pre-intervention cointegrating structure are identified from a stable pre-intervention subsample. After the intervention, both the adjustment coefficients and the cointegrating vectors are allowed to evolve smoothly as functions of rescaled time, which are estimated using kernel-weighted local reduced-rank methods. The analysis is formulated directly in a cointegrated VAR/VECM system, which preserves the treatment of long-run relations and short-run error-correction dynamics. By working with the decomposition $Π(δ)=α(δ)β(δ)'$, the method separates changes in the equilibrium relation from those in the speed of adjustment. We also provide two tests for the parameter consistency and the post-intervention parameter smoothness respectively. An empirical application to energy market, foreign-exchange, and gold-market index around the 24 February 2022 Russia's invasion of Ukraine illustrates how the proposed approach distinguishes between a discrete regime shift and smooth post-intervention evolution. The results suggest that cointegrating relation among the price of Brent crude oil, the spot exchange rate (USD/EUR), and the Credit Suisse NASDAQ Gold Price Index has smoothly changed after the outbreak of war, instead of a constant long-run conintegration system in the pre-intervention period.
