本文關鍵詞：基于EEMD-JADE模型的PMI與PPI結構分析及傳導機制　出處：《數(shù)量經(jīng)濟技術經(jīng)濟研究》2017年04期 　論文類型：期刊論文

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

【摘要】：研究目標:構建采購經(jīng)理指數(shù)PMI和生產(chǎn)者價格指數(shù)PPI結構分量間的傳導機制。研究方法:使用PMI和PPI同比序列進行集合經(jīng)驗模態(tài)分解(EEMD)得到固有模態(tài)序列作為觀察信號,采用特征矩陣聯(lián)合近似對角化算法(JADE)提取獨立信號分量序列并通過游程判定法重構出不同頻率的結構分量,最后進行Granger因果檢驗。研究發(fā)現(xiàn):PMI和PPI重構出的高中低頻三個結構分量分別反映短期波動、中期波動和長期波動。Granger因果檢驗表明,高頻分量中PPI和PMI互為因果關系,傳導時長為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:將時頻分析方法 EEMD-JADE聯(lián)合算法引入經(jīng)濟領域。研究價值:為經(jīng)濟量化調(diào)控政策提供導向和理論依據(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】： 暨南大學經(jīng)濟學院統(tǒng)計學系;
【基金】：國家哲學社會科學基金項目“時間序列分解與中國經(jīng)濟下行壓力下的風險識別及預警研究”(16BJY014) 教育部人文社會科學基金青年項目“中國居民消費價格指數(shù)數(shù)據(jù)質(zhì)量優(yōu)化與通貨膨脹治理”(13YJC910004) 中央高�；究蒲袠I(yè)務費“中國季節(jié)調(diào)整模型建構與環(huán)比增長率測算” 高校基本科研業(yè)務費“中國季節(jié)調(diào)整模型建構與環(huán)比增長率測算”(332201412614801);“中國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】：F222.3
【正文快照】： 引言及文獻述評伴隨著經(jīng)濟總量持續(xù)增大,物價波動愈加劇烈和頻繁,我國政府決策游移于擴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維持經(jīng)濟的穩(wěn)定增長,把社會損失降低到最低。采購經(jīng)理指數(shù)(Purchase　Manager　Index,PMI)反映制造業(yè)總體經(jīng)濟走勢的變化，

本文編號：1340922