發(fā)布時(shí)間：2017-12-27 08:23

  本文關(guān)鍵詞：基于EEMD-JADE模型的PMI與PPI結(jié)構(gòu)分析及傳導(dǎo)機(jī)制　出處：《數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究》2017年04期 　論文類型：期刊論文

  更多相關(guān)文章： 模態(tài)分解 特征矩陣 Granger檢驗(yàn) PMI PPI

【摘要】：研究目標(biāo):構(gòu)建采購(gòu)經(jīng)理指數(shù)PMI和生產(chǎn)者價(jià)格指數(shù)PPI結(jié)構(gòu)分量間的傳導(dǎo)機(jī)制。研究方法:使用PMI和PPI同比序列進(jìn)行集合經(jīng)驗(yàn)?zāi)B(tài)分解(EEMD)得到固有模態(tài)序列作為觀察信號(hào),采用特征矩陣聯(lián)合近似對(duì)角化算法(JADE)提取獨(dú)立信號(hào)分量序列并通過(guò)游程判定法重構(gòu)出不同頻率的結(jié)構(gòu)分量,最后進(jìn)行Granger因果檢驗(yàn)。研究發(fā)現(xiàn):PMI和PPI重構(gòu)出的高中低頻三個(gè)結(jié)構(gòu)分量分別反映短期波動(dòng)、中期波動(dòng)和長(zhǎng)期波動(dòng)。Granger因果檢驗(yàn)表明,高頻分量中PPI和PMI互為因果關(guān)系,傳導(dǎo)時(shí)長(zhǎng)為1期;中頻分量中PMI是PPI的因且先行4期;低頻分量PPI是PMI的因且先行10期。研究創(chuàng)新:將時(shí)頻分析方法 EEMD-JADE聯(lián)合算法引入經(jīng)濟(jì)領(lǐng)域。研究?jī)r(jià)值:為經(jīng)濟(jì)量化調(diào)控政策提供導(dǎo)向和理論依據(jù)。
[Abstract]:Research objectives: to construct the transmission mechanism between the purchasing manager index PMI and the producer price index (PPI) PPI structure. Research methods: ensemble empirical mode decomposition using PMI PPI sequence (EEMD) and an intrinsic mode sequence as the observation signal, the characteristic matrix of joint approximate diagonalization algorithm (JADE) to extract the independent component signal sequence and reconstruct the structure through the run method of determining the components of different frequency, finally, Granger causality test. It is found that the three structural components of high and low frequency restructured by PMI and PPI reflect short-term fluctuations, medium-term fluctuations and long-term fluctuations, respectively. The Granger causality test shows that PPI and PMI are mutually causation in high-frequency components. The transmission time is 1 periods. In the intermediate frequency components, PMI is PPI and the first 4 phases; the low frequency component PPI is PMI, and the first 10 phases. Research Innovation: the time frequency analysis method EEMD-JADE joint algorithm is introduced into the economic field. Research value: provide guidance and theoretical basis for the economic quantitative regulation policy.
【作者單位】： 暨南大學(xué)經(jīng)濟(jì)學(xué)院統(tǒng)計(jì)學(xué)系;
【基金】：國(guó)家哲學(xué)社會(huì)科學(xué)基金項(xiàng)目“時(shí)間序列分解與中國(guó)經(jīng)濟(jì)下行壓力下的風(fēng)險(xiǎn)識(shí)別及預(yù)警研究”(16BJY014) 教育部人文社會(huì)科學(xué)基金青年項(xiàng)目“中國(guó)居民消費(fèi)價(jià)格指數(shù)數(shù)據(jù)質(zhì)量?jī)?yōu)化與通貨膨脹治理”(13YJC910004) 中央高�；究蒲袠I(yè)務(wù)費(fèi)“中國(guó)季節(jié)調(diào)整模型建構(gòu)與環(huán)比增長(zhǎng)率測(cè)算” 高�；究蒲袠I(yè)務(wù)費(fèi)“中國(guó)季節(jié)調(diào)整模型建構(gòu)與環(huán)比增長(zhǎng)率測(cè)算”(332201412614801);“中國(guó)CPI數(shù)據(jù)質(zhì)量新框架下的系統(tǒng)優(yōu)化”(332201512615309)的資助
【分類號(hào)】：F222.3
【正文快照】： 引言及文獻(xiàn)述評(píng)伴隨著經(jīng)濟(jì)總量持續(xù)增大,物價(jià)波動(dòng)愈加劇烈和頻繁,我國(guó)政府決策游移于擴(kuò)張性與緊縮性的宏觀政策之間,力圖通貨膨脹被控制在可接受范圍的同時(shí)維持經(jīng)濟(jì)的穩(wěn)定增長(zhǎng),把社會(huì)損失降低到最低。采購(gòu)經(jīng)理指數(shù)(Purchase　Manager　Index,PMI)反映制造業(yè)總體經(jīng)濟(jì)走勢(shì)的變化，

本文編號(hào)：1340922