本文關(guān)鍵詞： 支持向量回歸機(jī) 物價波動 特征選擇 小波核　出處：《浙江工業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：物價不僅反映市場的冷熱程度,且為實現(xiàn)資源的合理配置扮演著指示器的功能。保持平穩(wěn)的物價水平是貨幣政策當(dāng)局關(guān)注的焦點。進(jìn)入21世紀(jì)以來,我國經(jīng)歷了幾次明顯的物價波動,其影響力度逐漸加強(qiáng)。在宏觀經(jīng)濟(jì)形勢日益復(fù)雜的情況下,分析和掌握物價波動的成因以及有效預(yù)測物價波動趨勢對我國未來經(jīng)濟(jì)發(fā)展、人民生活水平提高意義重大。 支持向量回歸機(jī)(Support Vector Regression,簡稱SVR)是近年來發(fā)展起來的數(shù)據(jù)挖掘新技術(shù),有強(qiáng)大的理論基礎(chǔ),已成功應(yīng)用于多個領(lǐng)域。本文引入此方法對物價波動的成因以及未來走勢進(jìn)行了如下探討： 1.結(jié)合“結(jié)構(gòu)風(fēng)險最小化”原則和“最大間隔”思想,構(gòu)造具有稀疏性的特征選擇模型(L1-ε-TSVR)研究我國匯改前后物價波動的影響因素。數(shù)值試驗驗證了模型的有效性,通過與ε-TSVR模型以及OLS方法的比較,突出了該模型的優(yōu)勢。 2.在L1-ε-TSVR模型中引入小波核變換構(gòu)建L1-ε-WTSVR模型預(yù)測物價波動趨勢。模型中采用小波核比高斯核預(yù)測效果更佳,且優(yōu)于VAR方法。該模型拓寬了SVR在中國金融領(lǐng)域的應(yīng)用,為當(dāng)局制定合理的貨幣政策工具維持物價穩(wěn)定以及宏觀經(jīng)濟(jì)的健康發(fā)展做出綿薄之力。 本文在SVR的理論框架下,實證分析得到以下結(jié)論：1)匯改前中國物價主要受成本型因素推動,其中原材料、燃料、動力購進(jìn)價格指數(shù)成為決定性因素,而利率、匯率等貨幣因素幾乎不構(gòu)成影響；2)匯改之后,物價波動的成因更具有多面性和復(fù)雜性,除了受成本型因素推動外,需求和結(jié)構(gòu)型因素的影響力度也逐漸加強(qiáng)。此階段利率成為影響物價波動最重要力量,匯率的影響強(qiáng)度亦顯著增強(qiáng)；3)2013年上半年中國物價上漲壓力明顯較2012年有所增加,但走勢基本處于溫和可控狀態(tài)；4)新時期若要有效控制通脹,保持物價穩(wěn)定,需要綜合運用多種手段,形成增加有效供給、保障市場需求、穩(wěn)健貨幣政策、穩(wěn)定人民幣匯率預(yù)期的組合策略,從而有效提高政策控制力。
[Abstract]:Prices not only reflect the cold and hot degree of the market, but also act as indicators for the rational allocation of resources. Maintaining a stable price level is the focus of monetary policy authorities. Since 21th century. Our country has experienced several obvious price fluctuation, its influence strength strengthens gradually. In the macroeconomic situation increasingly complex situation. It is of great significance to analyze and grasp the causes of price fluctuation and to effectively predict the trend of price fluctuation for the future economic development of our country and the improvement of people's living standard. Support Vector regression (SVR) is a new data mining technology developed in recent years, which has a strong theoretical foundation. It has been successfully applied in many fields. In this paper, the causes and future trend of price fluctuation are discussed as follows: 1. Combine the principle of "structural risk minimization" with the idea of "maximum spacing". A sparse feature selection model (L1- 蔚 -TSVR) is constructed to study the influencing factors of the price fluctuation before and after the exchange rate reform in China. The validity of the model is verified by numerical experiments. Compared with 蔚 -TSVR model and OLS method, the advantages of this model are highlighted. 2. Using wavelet kernel transform to predict price fluctuation trend in L1- 蔚 -TSVR model. Wavelet kernel is better than Gao Si kernel in predicting price fluctuation trend. The model extends the application of SVR in China's financial field and makes a small contribution to the establishment of reasonable monetary policy tools to maintain price stability and the healthy development of macroeconomic. In this paper, under the theoretical framework of SVR, empirical analysis of the following conclusions: 1) before the exchange rate reform, China's prices are mainly driven by cost factors, in which raw materials, fuel, power purchase price index is the decisive factor. But the interest rate, exchange rate and other monetary factors have almost no effect; 2) after the exchange rate reform, the causes of price fluctuation are more multifaceted and complicated, except by the cost type factors. The influence of demand and structural factors is gradually strengthened. At this stage, interest rate becomes the most important force affecting price fluctuation, and the influence intensity of exchange rate also increases significantly. 3) in the first half of 2013, the pressure of price increase in China was obviously higher than that in 2012, but the trend was basically in a moderate and controllable state. 4) in order to effectively control inflation and maintain price stability in the new period, it is necessary to comprehensively use a variety of means to form a combination strategy of increasing effective supply, ensuring market demand, sound monetary policy, and stabilizing the expectation of RMB exchange rate. So as to effectively improve policy control.
【學(xué)位授予單位】：浙江工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F726

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