本文選題：動(dòng)態(tài)因子模型 + TVP-FAVAR模型　； 參考：《華中科技大學(xué)》2016年碩士論文

【摘要】：通過(guò)從高維經(jīng)濟(jì)信息集中提取共同因子,以此識(shí)別驅(qū)動(dòng)宏觀(guān)經(jīng)濟(jì)系統(tǒng)變化的共同因素,動(dòng)態(tài)因子模型(DFM)在過(guò)去十年引起了學(xué)者們極大的關(guān)注,已然發(fā)展為了宏觀(guān)計(jì)量經(jīng)濟(jì)學(xué)的重要分支。在動(dòng)態(tài)因子模型的理論研究方面,目前最新的研究熱點(diǎn)為對(duì)基本動(dòng)態(tài)因子模型的拓展和識(shí)別因子的經(jīng)濟(jì)學(xué)含義兩個(gè)方向,相對(duì)應(yīng)的分別是TVP-FAVAR模型和DHFM模型。從國(guó)外研究來(lái)看,這兩類(lèi)模型在宏觀(guān)經(jīng)濟(jì)政策分析中均具有強(qiáng)大的應(yīng)用價(jià)值。從國(guó)內(nèi)看來(lái),研究這兩類(lèi)模型的文獻(xiàn)極少。在此背景下,本文深入研究了動(dòng)態(tài)因子模型最新拓展形成的前沿方法:TVP-FAVAR模型和DHFM模型。本文的研究?jī)?nèi)容分為兩個(gè)層次:一是模型理論的介紹,二是方法論成果的創(chuàng)新性應(yīng)用。本文的主要結(jié)論如下:第一,在利用TVP-FAVAR模型對(duì)我國(guó)貨幣流動(dòng)性效應(yīng)分析的應(yīng)用研究中,本文構(gòu)建了115維宏觀(guān)經(jīng)濟(jì)信息集并從中提取宏觀(guān)共同因子,以此建立了因子增廣的時(shí)變參數(shù)向量自回歸模型(TVP—FAVAR),對(duì)中國(guó)1996—2014年間的貨幣流動(dòng)性效應(yīng)進(jìn)行了研究。實(shí)證結(jié)果表明:3個(gè)宏觀(guān)因子基本能刻畫(huà)我國(guó)宏觀(guān)經(jīng)濟(jì)的動(dòng)態(tài)特征,中國(guó)的貨幣流動(dòng)性對(duì)產(chǎn)出、通貨膨脹等的影響機(jī)制在樣本期內(nèi)發(fā)生了顯著的結(jié)構(gòu)性變化,TVP—FAVAR模型對(duì)時(shí)點(diǎn)信息的捕捉能力較強(qiáng),能夠很好的刻畫(huà)中國(guó)貨幣流動(dòng)性傳導(dǎo)機(jī)制中的時(shí)變特征。第二,在利用DHFM模型對(duì)通貨膨脹的國(guó)際協(xié)動(dòng)性研究的應(yīng)用研究中,本文利用動(dòng)態(tài)分層因子模型,將54個(gè)國(guó)家1980-2014年的CPI數(shù)據(jù)分解為全球通脹因子、區(qū)域通脹因子和國(guó)家特質(zhì)成分,以探究各國(guó)通脹的協(xié)動(dòng)性和波動(dòng)來(lái)源。研究結(jié)果表明,全球通脹因子和區(qū)域通脹因子合計(jì)解釋了各國(guó)通脹波動(dòng)的55.7%,表明各國(guó)通脹具有較強(qiáng)的協(xié)動(dòng)性。然而,全球因素和區(qū)域因素對(duì)不同國(guó)家通脹的影響存在顯著的差異,通過(guò)截面回歸發(fā)現(xiàn),經(jīng)濟(jì)和金融發(fā)展水平、開(kāi)放程度、平均通脹率以及央行獨(dú)立性是造成這種國(guó)別差異的重要因素。最后,子樣本分析顯示,近年來(lái)中國(guó)通脹的國(guó)際協(xié)動(dòng)性明顯增強(qiáng),輸入型通脹大約占據(jù)國(guó)內(nèi)通脹成分的45%�？傊�,本文在詳細(xì)解讀動(dòng)態(tài)因子模型的兩類(lèi)拓展模型的基礎(chǔ)上,證實(shí)了動(dòng)態(tài)因子模型的拓展方法論在實(shí)證分析中具有廣闊的應(yīng)用前景,體現(xiàn)了本文對(duì)國(guó)際前沿的緊密跟蹤和應(yīng)用性創(chuàng)新。
[Abstract]:By extracting common factors from high-dimensional economic information to identify the common factors driving macroeconomic system change, dynamic factor model (DFM) has attracted great attention of scholars in the past decade. Has developed into an important branch of macroeconometrics. In the theoretical research of the dynamic factor model, the latest research focus is the expansion of the basic dynamic factor model and the economic meaning of the identification factor, corresponding to the TVP-FAVAR model and the DHFM model respectively. From the abroad research, the two models have strong application value in macroeconomic policy analysis. From the domestic point of view, there is very little literature on these two models. Under this background, this paper deeply studies the new frontier methods of dynamic factor model: TVP-FAVAR model and DHFM model. The content of this paper is divided into two levels: one is the introduction of model theory, the other is the innovative application of methodology. The main conclusions of this paper are as follows: first, in the application of TVP-FAVAR model to the analysis of monetary liquidity effect in China, this paper constructs a 115-dimensional macroeconomic information set and extracts macro-common factors from it. Based on this, a factor augmented time-varying parameter vector autoregressive model (TVP-FAVARA) is established to study the effect of monetary liquidity in China from 1996 to 2014. The empirical results show that the three macro factors can basically depict the dynamic characteristics of China's macro economy. The influence mechanism of inflation and so on has undergone significant structural changes in the sample period. TVP-FAVAR model has a strong ability to capture time point information and can well depict the time-varying characteristics of the monetary liquidity transmission mechanism in China. Secondly, in the application of DHFM model to the international cooperative study of inflation, this paper uses the dynamic stratified factor model to decompose the CPI data of 54 countries from 1980 to 2014 into global inflation factors, regional inflation factors and national characteristics. In order to explore the cooperativeness and volatility of inflation in various countries. The results show that the global inflation factor and regional inflation factor together explain the fluctuation of inflation in each country 55.7. it shows that the inflation of each country has a strong synergism. However, there are significant differences in the impact of global and regional factors on inflation in different countries. By cross-section regression, we find that the level of economic and financial development, the degree of openness, Average inflation and central bank independence are important factors contributing to such country-to-country differences. Finally, subsample analysis shows that China's inflation has increased significantly in recent years, with imported inflation accounting for about 45% of domestic inflation. In a word, based on the detailed interpretation of two kinds of extended models of dynamic factor model, this paper proves that the expansion methodology of dynamic factor model has a broad application prospect in empirical analysis. This paper reflects the international frontier of the close tracking and application of innovation.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2016
【分類(lèi)號(hào)】：F224;F821

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本文編號(hào)：1899430