發(fā)布時(shí)間：2017-12-26 23:31

  本文關(guān)鍵詞：基于VAR模型的我國(guó)虛擬經(jīng)濟(jì)指數(shù)構(gòu)建研究　出處：《中國(guó)礦業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 虛擬經(jīng)濟(jì)指數(shù) VAR模型 預(yù)測(cè)

【摘要】：在當(dāng)前我國(guó)虛擬經(jīng)濟(jì)迅速發(fā)展的背景下，有效把握虛擬經(jīng)濟(jì)的整體運(yùn)行狀況實(shí)屬必要,而目前國(guó)內(nèi)外研究多集中于對(duì)反映一國(guó)金融市場(chǎng)形勢(shì)的金融狀況指數(shù)（FCI）的構(gòu)建研究，相對(duì)缺乏對(duì)虛擬經(jīng)濟(jì)指數(shù)的探索�；诖�，本文在借鑒金融狀況指數(shù)研究的基礎(chǔ)上嘗試構(gòu)造虛擬經(jīng)濟(jì)指數(shù)（VEI），以實(shí)現(xiàn)對(duì)虛擬經(jīng)濟(jì)整體發(fā)展情況的綜合測(cè)度。設(shè)計(jì)出包含利率、匯率、股票價(jià)格、債券價(jià)格、房地產(chǎn)價(jià)格以及期貨成交額、貨幣供應(yīng)量等價(jià)格和非價(jià)格變量的新的經(jīng)濟(jì)狀況描述指標(biāo)-虛擬經(jīng)濟(jì)指數(shù)VEI，運(yùn)用基于VAR模型的廣義脈沖響應(yīng)函數(shù)方法對(duì)我國(guó)虛擬經(jīng)濟(jì)指數(shù)的構(gòu)建進(jìn)行了實(shí)證研究，并從通貨膨脹和經(jīng)濟(jì)增長(zhǎng)兩個(gè)角度，運(yùn)用跨期相關(guān)分析、格蘭杰因果檢驗(yàn)、線性圖形分析、循環(huán)式方程預(yù)測(cè)等方法，對(duì)所構(gòu)建的VEI指數(shù)對(duì)于未來(lái)實(shí)體經(jīng)濟(jì)運(yùn)行的預(yù)測(cè)效果進(jìn)行檢驗(yàn)分析。 實(shí)證結(jié)果表明：第一，在所構(gòu)建的虛擬經(jīng)濟(jì)指數(shù)中，，股票價(jià)格、貨幣供應(yīng)量所占權(quán)重較大，分別為33.4047%、20.7728%，說(shuō)明貨幣增發(fā)是導(dǎo)致我國(guó)通脹的主要原因，股票市場(chǎng)影響消費(fèi)需求的財(cái)富效應(yīng)正逐漸增強(qiáng)，對(duì)VEI指數(shù)本身及其變動(dòng)趨勢(shì)的解釋表明所構(gòu)建的指數(shù)變動(dòng)趨勢(shì)與我國(guó)虛擬經(jīng)濟(jì)發(fā)展的實(shí)際狀況相符；第二，VEI指數(shù)對(duì)于未來(lái)經(jīng)濟(jì)的通脹情況具有很好的領(lǐng)先和預(yù)期作用，領(lǐng)先期大致為5-6期，而對(duì)經(jīng)濟(jì)增長(zhǎng)的預(yù)測(cè)能力十分有限，虛擬經(jīng)濟(jì)指數(shù)對(duì)未來(lái)實(shí)體經(jīng)濟(jì)的預(yù)期作用主要體現(xiàn)在經(jīng)濟(jì)運(yùn)行中的通貨膨脹領(lǐng)域而非經(jīng)濟(jì)增長(zhǎng)領(lǐng)域。
[Abstract]:In the current rapid development of China's fictitious economy background, effectively grasp the overall operation status of the virtual economy is necessary, but the present studies focus on the reflection of the situation of a country's financial markets and financial conditions index (FCI) of the construction, the relative lack of exploration of the virtual economy index. Based on this, this paper tries to construct the virtual economy index (VEI) based on the study of the financial situation index, so as to achieve the comprehensive measurement of the overall development of the virtual economy. The design of a new economic situation including interest rate and exchange rate, stock prices, bond prices, real estate prices and futures transactions, such as money supply price and non price variables describing the index - virtual economy index VEI, using generalized impulse on the construction of China's fictitious economy index and makes an empirical study on the response function method VAR model based on, and from two angles of inflation and economic growth, using cross correlation analysis, Grainger causality test, linear graph analysis, cyclic equation prediction method, the construction of the VEI index for predicting the future effect of the real economy running test.
【學(xué)位授予單位】：中國(guó)礦業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F830

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本文編號(hào)：1339343