本文選題：通貨膨脹預(yù)測(cè) + 貨幣政策��； 參考：《湖南大學(xué)》2013年碩士論文

【摘要】：通貨膨脹是全球性難題,各國(guó)央行均害怕高通貨膨脹會(huì)給經(jīng)濟(jì)帶來損失。為有效地控制高通貨膨脹的發(fā)生,穩(wěn)定物價(jià)水平,許多國(guó)家使用新的技術(shù)工具控制通貨膨脹工具——通貨膨脹預(yù)測(cè)。特別是在那些實(shí)行了通貨膨脹目標(biāo)制的國(guó)家,這種工具越來越受重視。而在沒有實(shí)行通貨膨脹目標(biāo)制的國(guó)家,通貨膨脹預(yù)測(cè)也被其央行視為貨幣政策的重要參考。對(duì)于央行來說,由于貨幣政策的效果存在時(shí)滯,在通貨膨脹發(fā)生時(shí)制定貨幣政策無法達(dá)到控制通脹的效果。但如果中央銀行在制定貨幣政策時(shí),能定期提前預(yù)測(cè)準(zhǔn)確的通貨膨脹率,并在不同時(shí)點(diǎn)上掌握通貨膨脹的發(fā)展趨勢(shì),從而能制定超前的貨幣政策,維持長(zhǎng)期物價(jià)的穩(wěn)定,則有利于維持國(guó)內(nèi)經(jīng)濟(jì)長(zhǎng)期平穩(wěn)的發(fā)展,并提高貨幣政策的有效性。 本文在國(guó)外通貨膨脹預(yù)測(cè)研究已有的基礎(chǔ)上,探討一種新的通貨膨脹預(yù)測(cè)方法,即GDFM模型預(yù)測(cè)方法。GDFM模型是一種統(tǒng)計(jì)類預(yù)測(cè)模型,其利用頻域分析方法和滯后算子多項(xiàng)式刻畫經(jīng)濟(jì)系統(tǒng)中多個(gè)因子的動(dòng)態(tài)性,并允許隨機(jī)擾動(dòng)項(xiàng)同期非正交,充分考慮了經(jīng)濟(jì)系統(tǒng)中各變量間的相互聯(lián)系,更好地刻畫經(jīng)濟(jì)系統(tǒng)的真實(shí)情況。在本文的實(shí)證部分,根據(jù)我國(guó)2001年1月至2010年12月的居民消費(fèi)價(jià)格指數(shù)及其分類、工業(yè)生產(chǎn)者出廠價(jià)格指數(shù)、匯率、出進(jìn)口、貨幣供給、消費(fèi)稅等37個(gè)與通貨膨脹有關(guān)的經(jīng)濟(jì)變量月度數(shù)據(jù),建立GDFM模型對(duì)我國(guó)通貨膨脹進(jìn)行樣本外預(yù)測(cè)。實(shí)證結(jié)果表明,GDFM模型很好地預(yù)測(cè)我國(guó)通貨膨脹。通過在絕對(duì)誤差,相對(duì)誤差以及均方根誤差預(yù)測(cè)評(píng)價(jià)指標(biāo)上的比較,得出GDFM模型的預(yù)測(cè)效果優(yōu)于ARIMA(4,1,12)預(yù)測(cè)模型的結(jié)論。
[Abstract]:Inflation is a global problem, and central banks fear that high inflation will cause economic losses. In order to effectively control the occurrence of high inflation and stabilize the price level, many countries use new technical tools to control inflation-inflation forecast. Especially in countries where inflation targets are in place, the tool is gaining ground. In countries that do not target inflation, inflation forecasts are seen by central banks as an important reference for monetary policy. For central banks, because of the delay in the effect of monetary policy, when inflation occurs, monetary policy can not achieve the effect of controlling inflation. However, if the central bank can regularly predict the accurate rate of inflation in advance when formulating monetary policy, and grasp the development trend of inflation at different points in time, so that it can formulate an advanced monetary policy and maintain long-term price stability. It will help to maintain a stable domestic economy, and improve the effectiveness of monetary policy. In this paper, a new inflation forecasting method, I. E. GDFM model forecasting method. GDFM model is a kind of statistical forecasting model, is discussed on the basis of the existing research on inflation prediction abroad. The method of frequency domain analysis and the polynomial of delay operator are used to characterize the dynamics of many factors in the economic system, and the random perturbation terms are allowed to be nonorthogonal simultaneously, and the interrelation among the variables in the economic system is fully considered. Better portray the real situation of the economic system. In the empirical part of this paper, according to the consumer price index and its classification from January 2001 to December 2010, industrial producer price index, exchange rate, import, money supply, Based on the monthly data of 37 inflation-related economic variables, the GDFM model is established to forecast the inflation in China. The empirical results show that the GDFM model can well predict inflation in China. By comparing the prediction indexes of absolute error, relative error and root mean square error, it is concluded that the prediction effect of GDFM model is better than that of Arima (41 / 12) model.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F822.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前9條

1 肖曼君;劉時(shí)輝;;基于產(chǎn)出缺口的菲利普斯曲線對(duì)我國(guó)通脹預(yù)測(cè)的研究[J];財(cái)經(jīng)理論與實(shí)踐;2011年03期

2 鄭挺國(guó);王霞;蘇娜;;通貨膨脹實(shí)時(shí)預(yù)測(cè)及菲利普斯曲線的適用性[J];經(jīng)濟(jì)研究;2012年03期

3 肖曼君;夏榮堯;;中國(guó)的通貨膨脹預(yù)測(cè):基于ARIMA模型的實(shí)證分析[J];上海金融;2008年08期

4 趙琳;張s，

本文編號(hào)：1804674