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

【摘要】：通貨膨脹是全球性難題,各國央行均害怕高通貨膨脹會給經(jīng)濟帶來損失。為有效地控制高通貨膨脹的發(fā)生,穩(wěn)定物價水平,許多國家使用新的技術(shù)工具控制通貨膨脹工具——通貨膨脹預(yù)測。特別是在那些實行了通貨膨脹目標制的國家,這種工具越來越受重視。而在沒有實行通貨膨脹目標制的國家,通貨膨脹預(yù)測也被其央行視為貨幣政策的重要參考。對于央行來說,由于貨幣政策的效果存在時滯,在通貨膨脹發(fā)生時制定貨幣政策無法達到控制通脹的效果。但如果中央銀行在制定貨幣政策時,能定期提前預(yù)測準確的通貨膨脹率,并在不同時點上掌握通貨膨脹的發(fā)展趨勢,從而能制定超前的貨幣政策,維持長期物價的穩(wěn)定,則有利于維持國內(nèi)經(jīng)濟長期平穩(wěn)的發(fā)展,并提高貨幣政策的有效性。 本文在國外通貨膨脹預(yù)測研究已有的基礎(chǔ)上,探討一種新的通貨膨脹預(yù)測方法,即GDFM模型預(yù)測方法。GDFM模型是一種統(tǒng)計類預(yù)測模型,其利用頻域分析方法和滯后算子多項式刻畫經(jīng)濟系統(tǒng)中多個因子的動態(tài)性,并允許隨機擾動項同期非正交,充分考慮了經(jīng)濟系統(tǒng)中各變量間的相互聯(lián)系,更好地刻畫經(jīng)濟系統(tǒng)的真實情況。在本文的實證部分,根據(jù)我國2001年1月至2010年12月的居民消費價格指數(shù)及其分類、工業(yè)生產(chǎn)者出廠價格指數(shù)、匯率、出進口、貨幣供給、消費稅等37個與通貨膨脹有關(guān)的經(jīng)濟變量月度數(shù)據(jù),建立GDFM模型對我國通貨膨脹進行樣本外預(yù)測。實證結(jié)果表明,GDFM模型很好地預(yù)測我國通貨膨脹。通過在絕對誤差,相對誤差以及均方根誤差預(yù)測評價指標上的比較,得出GDFM模型的預(yù)測效果優(yōu)于ARIMA(4,1,12)預(yù)測模型的結(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.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F822.5

【參考文獻】

相關(guān)期刊論文 前9條

1 肖曼君;劉時輝;;基于產(chǎn)出缺口的菲利普斯曲線對我國通脹預(yù)測的研究[J];財經(jīng)理論與實踐;2011年03期

2 鄭挺國;王霞;蘇娜;;通貨膨脹實時預(yù)測及菲利普斯曲線的適用性[J];經(jīng)濟研究;2012年03期

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

4 趙琳;張s，

本文編號：1804674