基于STR模型的经济增长与金融发展的联动效应分析

发布时间：2018-02-24 12:34

本文关键词： STR模型 MC方法高斯—牛顿迭代法基于AIC值的网格搜索法　出处：《西南交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：长期以来,经济增长与金融发展的关系研究一直是各类人士的焦点和热点问题。作为能细致地刻画变量不同状态间的非线性转换的模型—STR模型,是非线性时间序列分析的前沿及热点内容,已成为非线性关系研究的典型工具之一,引起了国内外众多学者的关注,近年来已成功地应用于经济、金融、资本市场、宏观政策模拟等领域。STR模型可以很好的描述经济增长与金融发展之间的非线性、非等效的联动效应,在实践和理论方面都具有现实意义。在已有的研究基础上,本文针对模型的参数估计问题进行了深入探讨。首先推导了STR模型中的AIC公式,提出了一种新的参数估计方法一基于AIC值的网格搜索法,并利用蒙特卡洛模拟方法对其有效性和精确性进行了验证。然后从资金流动性的角度,构建两变量STR模型,对四川省的存贷款总额与经济增长的联动效应进行了深入研究,利用已验证过的基于AIC值的网格搜索法对模型中的参数进行估计。最后考虑到构建两变量STR模型时选取指标带有一定的主观性,因此利用因了分析来提取金融发展指标和经济增长指标,借助LSTR2模型从转换制度的角度分析了经济增长与金融发展的内在依存关系,寻找转换函数的转折点以求更好地去捕捉经济增长与金融发展二者之间复杂而微妙的变化规律。
[Abstract]:For a long time, the research on the relationship between economic growth and financial development has been the focus and hot issue of all kinds of people. It has become one of the typical tools in the study of nonlinear relations, and has attracted the attention of many scholars at home and abroad. In recent years, it has been successfully applied to economy, finance and capital markets. STR model can well describe the nonlinear and non-equivalent linkage effect between economic growth and financial development. It has practical and theoretical significance. On the basis of the existing research, this paper deeply discusses the parameter estimation of the model. Firstly, the AIC formula in STR model is derived, and a new parameter estimation method, the grid search method based on AIC value, is proposed. The validity and accuracy of the model are verified by Monte Carlo simulation method. Then, a two-variable STR model is constructed from the perspective of capital liquidity, and the linkage effect between total deposits and loans and economic growth in Sichuan Province is deeply studied. The parameters in the model are estimated by using the verified grid search method based on the AIC value. Finally, it is subjective to select the index when constructing the two-variable STR model. Therefore, we use the causality analysis to extract the financial development index and the economic growth index, and analyze the internal dependence relationship between the economic growth and the financial development from the angle of the transformation system with the help of the LSTR2 model. Looking for a turning point in the transformation function to better capture the complex and subtle laws of change between economic growth and financial development.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832;F124.1;F224

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