發(fā)布時間：2019-06-05 15:53

【摘要】：自改革開放以來，我國經(jīng)濟持續(xù)迅猛發(fā)展，但投資型經(jīng)濟增長的局面始終未得到徹底的扭轉(zhuǎn)，由此引發(fā)的經(jīng)濟泡沫問題也始終存在。要使我國經(jīng)濟在世界經(jīng)濟持續(xù)低迷的環(huán)境下仍保持健康快速的發(fā)展，必須充分發(fā)揮消費在經(jīng)濟增長中的主導(dǎo)拉動作用，因為只有最終的消費才是實實在在的經(jīng)濟增長。中國的貸款余額居亞洲第二，其中消費信貸所占比重不斷攀升，但總體比率仍低于發(fā)達國家，，可見消費信貸在我國存在著巨大的發(fā)展空間。中國十八大以來，經(jīng)濟政策從平穩(wěn)快速增長轉(zhuǎn)變?yōu)槌掷m(xù)健康增長，消費信貸作為一項有力的宏觀調(diào)控措施，在刺激需求、加快商品流通等方面的作用越來越受到重視。并且消費信貸的發(fā)展特征、方向和趨勢與國民經(jīng)濟的發(fā)展息息相關(guān)，因此，研究消費信貸的發(fā)展規(guī)律，深入探討消費信貸的時間序列特征對實現(xiàn)這一經(jīng)濟政策的平穩(wěn)健康轉(zhuǎn)變具有重大而長遠的意義。 本論文以ARFIMA模型實證分析為基礎(chǔ)，以當(dāng)前國內(nèi)外經(jīng)濟形勢為背景，以消費信貸的長記憶特征為研究對象，系統(tǒng)的考察論證了我國的消費信貸的序列相關(guān)性。一方面對西方經(jīng)典消費理論進行了闡述，這是消費信貸得以發(fā)生和發(fā)展的理論基礎(chǔ)，應(yīng)用這一理論就目前對消費信貸的研究背景以及研究成果進行了全面的分析，并總結(jié)了我國消費信貸發(fā)展的現(xiàn)實狀況，在此基礎(chǔ)上得出了我國消費信貸的發(fā)展對宏觀經(jīng)濟的影響；另一方面通過分析我國消費信貸對宏觀經(jīng)濟影響的VAR模型檢驗結(jié)果，可知消費信貸對經(jīng)濟增長有明顯的促進作用，但這一研究方法過程中去除了消費信貸序列的長記憶性，忽視了序列間的長期相關(guān)性的影響，存在明顯的缺點。為了深入研究消費信貸序列的長期相關(guān)性，基于長記憶相關(guān)理論模型，本文以2007年1月-2012年12月的國內(nèi)消費信貸月度增長額為樣本，進行了實證研究。實證具體從三個方面展開：第一，序列的平穩(wěn)性檢驗方面，本文采用了KPSS，PP檢驗法聯(lián)合檢驗的方式；第二，長記憶性檢驗方面，本文采用R/S分析法，計算Hurst指數(shù)，判別序列的長記憶性特征；第三，長記憶模擬和估計方面，采用了ARFIMA模型的方法，定階模型為ARFIMA(0,d,1)，通過估計參數(shù)d確定消費信貸時間序列的相關(guān)性特征。最后通過對以上過程得出的結(jié)果進行分析，考察消費信貸的序列是否為分整過程，是否存在長期穩(wěn)定的相關(guān)性，即長記憶性。 本文通過實證得出結(jié)論：我國消費信貸時間序列存在明顯的長記憶特性。消費信貸的長記憶特性，無論對宏觀經(jīng)濟調(diào)控，還是微觀經(jīng)濟個體都有無法忽視的影響，因此，未來不但要加大對消費信貸時間序列相關(guān)性的研究，更應(yīng)該加強對消費信貸長記憶的應(yīng)用性研究。
[Abstract]:Since the reform and opening-up, China's economy has been developing rapidly, but the situation of investment-type economic growth has not been completely reversed, and the problem of economic bubble caused by this has always existed. In order to maintain the healthy and rapid development of our economy in the world economy, we must give full play to the leading role of consumption in the economic growth, because only the final consumption is the real economic growth. China's loan balance is second in Asia, and the proportion of consumer credit is rising, but the overall ratio is still lower than that of the developed countries. It is seen that consumer credit has a huge development space in our country. Since the 18-year-old China, the economic policy has changed from a stable and fast-growing to a sustained and healthy growth, and consumer credit, as a powerful macro-control measure, has become more and more important in stimulating demand and accelerating the circulation of commodities. And the development characteristics, direction and trend of consumer credit are closely related to the development of the national economy. This paper is based on the positive analysis of ARIMA model, based on the current domestic and foreign economic situation, and based on the long-memory character of consumer credit as the research object, the study of the system demonstrates the sequence correlation of consumer credit in our country. This paper, on the one hand, expounds the western classical consumption theory, which is the theoretical basis of the development and development of the consumer credit. The application of this theory is a comprehensive analysis of the research background and the research results of the consumer credit, and summarizes the reality of the development of consumer credit in China. On the basis of this, the influence of the development of consumer credit on the macro-economy is derived; on the other hand, through the analysis of the results of the VAR model test on the macro-economic impact of consumer credit in China, it can be seen that consumer credit has a significant effect on economic growth. In the process of this study, the long memory of the consumer credit sequence is removed, and the influence of the long-term correlation between the sequences is ignored, and there is a clear shortage. In order to study the long-term correlation of consumer credit, based on the long-memory-related theory model, this paper makes an empirical research on the monthly growth of consumer credit in January-December,2007. In this paper, the method of joint inspection of KPSS and PP test is used in this paper. In the second and the long memory test, the R/ S analysis method is used to calculate the Hurst index and the long memory character of the sequence. 3. In the aspect of long memory simulation and estimation, the ARFIMA model is used, the order model is ARFIMA (0, d,1), and the correlation of the consumer credit time series is determined by the estimation parameter d. Finally, through the analysis of the result of the above process, whether the sequence of consumer credit is the whole process, whether there is a long-term and stable correlation, that is, long memory On the basis of the positive conclusion, this paper concludes that the time series of consumer credit in China has a significant long-term record. The long-memory character of consumer credit can not be ignored by the macro-economic regulation or the micro-economic individual, so it is not only to increase the study of the correlation of the time series of consumer credit, but also to strengthen the application of the long-term memory of consumer credit.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.4;F224

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本文編號：2493641