一篮子货币对人民币汇率预测——VAR与 ARIMA 比较分析

当前学术界针对汇率的预测方法众多,但经过整理,目前的研究主要为针对汇率本身的单变量研究,如ARCH、GARCH 等模型或者组合模型。但是影响汇率波动的原因众多,无论是 ARCH 还是 GARCH,或者小波分析等单变量模型的核心前提假设,都是认为当前的序列值蕴含了未来的数值变化规律,从当前时间序列的内在规律为基础,挖掘未...     

最低工资的价格传递效应——基于VAR模型的实证分析

利用VAR模型对最低工资标准的价格传递效应进行了分析。估计结果显示,最低工资标准对北京市城市居民消费价格的影响程度非常低且不具有统计显著性。最低工资标准没有通过影响平均工资进而造成通货膨胀压力,可以紧密联系价格的变动适时调整最低工资标准以保障劳动者的基本生活。     

货币政策与企业债务融资：总量序列分析

基于货币政策传导机制理论,采用2000年至2010年季度总量数据,运用向量自回归技术,对货币政策与企业债务融资的关系进行考察,研究结果显示：货币总量变化对银行信贷、企业财务状况、债务融资的时间序列变化具有显著的解释力;债务融资的动态调整因企业规模不同而存在差异。这表明,货币总量可以作为货币政策的有效代理变量,同时,企业可以依据货币总量的变化、银行资产的调整,权变地选择债务结构,应对自身财务状况的变化。     

人民币汇率波动与物价水平关系研究——基于VAR模型的实证分析

汇率作为一国货币对外价格的直接体现,反映一国货币在国际上的购买力水平;物价水平,作为货币的另一种经济计量,反应一国货币的对内价格.在人民币国际化不断深化的背景下,本文通过研究汇率波动、利率变动之间的关系,综合考虑国内生产总值、国际市场原油价格以及广义货币供给量等因素,得出三大指数与国内生产总值、人民币名义有效汇率指数、人民币存款利率、广义货币发行量、国际市场原油价格以及房地产市场繁荣程度呈现长期协整关系,短期内消费者价格指数对人民币汇率的冲击波动剧烈,并在10期之后趋于平稳;生产者价格指数与零售价格指数对人民币汇率的冲击呈现平稳下降趋势.     

北京地区能源消费与经济增长关系研究——基于VAR模型的实证分析

北京作为全国的政治、经济、文化中心,能源问题日益突出。能源稀少,对外依赖性强,能源需求量大是其显著特点。实证研究表明,经济增长对能源需求存在正向的较长期影响,能源需求的增加对经济增长产生微弱的负面影响,同时经济增长对能源消费的影响小于能源消费对经济增长的影响。     

河北省人口老龄化对经济增长的动态分析 ——基于VAR模型

本文通过建立向量自回归(VAR)模型,运用ADF单位根检验、协整检验、脉冲响应函数等实证方法,研究河北省人口老龄化与经济增长之间的长期动态关系。结果表明,河北省人口老龄化不利于经济增长,无论是从居民消费角度考虑还是从居民储蓄角度考虑,人口老龄化对经济增长都存在长期持续的负向影响。     

基于VAR的金融业支持对新疆中小企业发展的影响分析

采用1980～2009年的时序数据,通过建立向量自回归模型分析新疆金融业水平与新疆中小企业发展之间的动态影响关系,并在对VAR模型进行残差检验和稳定性检验的基础上,运用脉冲响应函数和预测方差方法进行经济计量分析。研究结果表明:新疆中小企业发展对银行业规模冲击有正向响应,并趋向稳定,对银行业活跃程度有负向响应然后转向正向响应,对金融效率冲击有正向响应。     

Divisia加权货币供应量作为货币政策中介目标有效性研究——基于LSTAR模型的实证分析

本文在货币需求函数稳健性为货币政策中介目标有效性标准的假设基础上,结合货币政策传导过程中的非对称性,构建具有非对称性的LSTAR模型。货币政策中介目标的选择有不同统计口径的货币供应量,采用M1、M2和Divisia加权M1、M2时,货币需求函数稳健性具有差异性;利用构建的LSTAR模型,使用M1、M2和测算Divisa加权M1、M2对相应LSTAR模型进行实证分析,发现Divisa加权的货币供应量作为货币政策中介目标比不加权的更为有效,而就货币供应量层次分析,Divisa加权的M2比M1更有效。     

基于多元线性回归模型预测分析的实例研究

本文通过一家小型服装经营店一年的员工薪酬、宣传费用和流动资金与销售额的数据,通过多元回归预测模型预测在未来某一月份的销售额情况。结论也符合服装店的实际情况,说明该模型用于预测销售额是有效的,能较好的分析销售额的变化规律也可以为未来投资提供参考。     

生育政策对我国人口总量影响的干预ARIMA模型分析

本文利用干预时序模型方法,简明扼要地对我国建国以来的人口发展趋势建立了动态模型,并预测了未来几年我国人口发展的趋势。结果表明,此模型很好地解释了我国人口发展的动态结构,可为促进我国人口政策的调整与扩展提供较好的参考依据。     

Financial Innovation and Divisia Monetary Aggregates: Comment on Ford, Peng, Mullineux (1992)

This note shows that there is an error in the mathematical argument deployed by Ford et al . (1992). Once this is corrected, we see that, remarkably, the standard opportunity cost based weighting system remains appropriate even in the face of non-neutral technical change .     

Does Liquidity Matter? Properties of a Divisia Monetary Aggregate in the Euro Area*

This paper builds a quarterly Divisia monetary aggregate for the euro area using area‐wide data over the sample period from 1980 to 2000, finding two main results. First, it is found that the demand for this monetary aggregate has been well behaved and relatively stable over the last two decades. Secondly, the Divisia‐weighed monetary aggregate is found to have interesting information content from a forward‐looking perspective. This lends support to the view that money and – in a broader sense – liquidity services should be assigned an important role in shaping monetary policy in the euro area, although the policy maker is not interested in monetary aggregates per se.     

Leaning into the Wind: A Structural VAR Investigation of UK Monetary Policy*

This paper adapts Uhlig's [Journal of Monetary Economics (2005) forthcoming] sign restriction identification methodology to investigate the effects of UK monetary policy using a structural vector autoregression (VAR). It shows that shocks which can reasonably be described as monetary policy shocks have played only a small role in the total variation of UK monetary and macroeconomic variables. Most of the variation in UK monetary variables has been due to their systematic reaction to other macroeconomic shocks, namely non‐monetary aggregate demand, aggregate supply, and oil price shocks. We also find, without imposing any long run identifying restrictions, that aggregate supply shocks have permanent effects on output.     

Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach

This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model uses the short rate and the common components of a large number of macroeconomic variables as factors. Precisely, the dynamics of the short rate are modeled with a Factor-Augmented Vector Autoregression and the term structure is derived using parameter restrictions implied by no-arbitrage. The model has economic appeal and provides better out-of-sample yield forecasts at intermediate and long horizons than a number of previously suggested approaches. The forecast improvement is highly significant and particularly pronounced for short and medium-term maturities.     

顾客资产价值预测模型及其在营销决策中的应用

顾客是企业经营中最为重要的资源或资产,也是企业获取利润和持续成长的基石。然而作为一种资产如何对其进行度量一直困扰着学界和业界。本文利用作业成本法的原理,将“获取成本”和“保留成本”按照每一顾客来归集和分配。在分析影响顾客资产价值的主要因素的基础上,构建了顾客资产的价值评价模型,并介绍了在营销决策中的应用。     

Weak Identification of Forward‐looking Models in Monetary Economics*

Recently, single‐equation estimation by the generalized method of moments (GMM) has become popular in the monetary economics literature, for estimating forward‐looking models with rational expectations. We discuss a method for analysing the empirical identification of such models that exploits their dynamic structure and the assumption of rational expectations. This allows us to judge the reliability of the resulting GMM estimation and inference and reveals the potential sources of weak identification. With reference to the New Keynesian Phillips curve of Galí and Gertler [Journal of Monetary Economics (1999) Vol. 44, 195] and the forward‐looking Taylor rules of Clarida, Galí and Gertler [Quarterly Journal of Economics (2000) Vol. 115, 147], we demonstrate that the usual ‘weak instruments’ problem can arise naturally, when the predictable variation in inflation is small relative to unpredictable future shocks (news). Hence, we conclude that those models are less reliably estimated over periods when inflation has been under effective policy control.     

Assessing the Transmission of Monetary Policy Using Time‐varying Parameter Dynamic Factor Models*

This article extends the current literature which questions the stability of the monetary transmission mechanism, by proposing a factor‐augmented vector autoregressive (VAR) model with time‐varying coefficients and stochastic volatility. The VAR coefficients and error covariances may change gradually in every period or be subject to abrupt breaks. The model is applied to 143 post‐World War II quarterly variables fully describing the US economy. I show that both endogenous and exogenous shocks to the US economy resulted in the high inflation volatility during the 1970s and early 1980s. The time‐varying factor augmented VAR produces impulse responses of inflation which significantly reduce the price puzzle. Impulse responses of other indicators of the economy show that the most notable changes in the transmission of unanticipated monetary policy shocks occurred for gross domestic product, investment, exchange rates and money.     

The Qualitative and Quantitative Models for Performance Measurement Systems: The Agile Service Development

A decision model for selection using analytic hierarchy process (AHP), however, they did not consider interdependence property but consider independence property among alternatives or criteria. It could become inadequate in measurement of actual performance of the decision process. In order to reduce the decision gap, this paper considers when independence among different elements of a system assumption is violated and takes into account the degree of the interdependence among them. The fuzzy analytic network process (FANP) approach with agile theory is developed to apply in analyzing the new service development in the wholesale center. The FANP could not only offer a hierarchy framework more efficiency and accuracy but also improve human judgment on the importance of requirements involving imprecise and vague. The technique has proved useful for comparing the importance among the determinants of agile for new service development in decision maker’s mind, including agile cost, time, robustness and scope. The empirical result points out that “Diverse designs” of new service development is the best choice for the wholesale center, following as “Service extended” and “Technological core”.     

货币流量分析框架下的稳健财政政策预期效果研究

本文通过货币流量分析的方法对稳健财政政策的预期效果进行研究，以考察各宏观经济变量在稳健财政政策下，对产出或收入的影响。研究结果表明，央行调整货币政策，应考虑其对财政的影响，否则，难以达到预期的效果；稳健财政政策的实施，将为我国政府深化收入分配政策的结构性改革提供宽松的经济与社会环境，有利于中央财政加大对经济欠发达地区的支出力度；稳健的财政政策更有利于政府实行总量控制下的结构调整，优化产业结构，达到稳健财政政策预期的效果；实施稳健财政政策，防止了在长期过程中“紧缩效应”的显现，降低了财政风险，进而避免经济波动所产生的社会福利损失。