我国货币供应时序结构的奇异谱分析

徐海云; 陈黎明; 向书坚

我国货币供应时序结构的奇异谱分析

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引用本文：徐海云,陈黎明,向书坚.我国货币供应时序结构的奇异谱分析[J].财经理论与实践,2010,(1):

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徐海云陈黎明向书坚

中南财经政法大学信息学院;桂林理工大学理学院;

基金项目:教育部新世纪优秀人才支持计划项目(NCET20720855)

中文摘要:时间序列的结构分析是深入研究原始序列的重要前提。应用奇异谱分析并以极大熵谱估计为辅助,对我国广义货币供应量M2进行时间序列结构分析,结果显示:改革开放以来,我国广义货币供应量M2除了趋势项外,还具有周期分别约为10年、4～5年和3年,方差解释能力依次为23.22%、7.48%和3.44%的主周期波动成分;所有的周期波动成分的振幅均随时间而增大;长期趋势在改革开放前期增长速度较慢,而在中后期增长速度较快。

中文关键词:广义货币供应周期波动奇异谱分析极大熵谱估计

Singular Spectrum Analysis on the Structure of the Time Series of Money Supply in China

XU Hai-yun1 2 CHEN Li-ming1 XIANG Shu-jian1

1.School of Information;Zhongnan University of Economics and Law;Wuhan 430060;China;2. School of Mathematics and Physics;Guilin University of Technology;Guilin 541004;China

Abstract:The analysis of time series structure is an important premise for studying the original series. This paper performs the analysis of the time series structure of Chinese broad money (M2) supply using singular spectrum analysis with comparing to maximum entropy spectral estimation (MESE). The results show that since China's reform and opening up,the time series of M2 supply have the oscillatory components with the periods of about 10,4~5 and 3 years except for the long term trend,whose ratios of variances con...

keywords:Broad Money Supply Cyclical Fluctuation Singular Spectrum Analysis Maximum Entropy Spectral Estimation

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