基于ARFIMA模型的中国消费信贷长记忆过程研究
发布时间：2019-06-05 15:53
【摘要】：自改革开放以来，我国经济持续迅猛发展，但投资型经济增长的局面始终未得到彻底的扭转，由此引发的经济泡沫问题也始终存在。要使我国经济在世界经济持续低迷的环境下仍保持健康快速的发展，必须充分发挥消费在经济增长中的主导拉动作用，因为只有最终的消费才是实实在在的经济增长。中国的贷款余额居亚洲第二，其中消费信贷所占比重不断攀升，但总体比率仍低于发达国家，，可见消费信贷在我国存在着巨大的发展空间。中国十八大以来，经济政策从平稳快速增长转变为持续健康增长，消费信贷作为一项有力的宏观调控措施，在刺激需求、加快商品流通等方面的作用越来越受到重视。并且消费信贷的发展特征、方向和趋势与国民经济的发展息息相关，因此，研究消费信贷的发展规律，深入探讨消费信贷的时间序列特征对实现这一经济政策的平稳健康转变具有重大而长远的意义。 本论文以ARFIMA模型实证分析为基础，以当前国内外经济形势为背景，以消费信贷的长记忆特征为研究对象，系统的考察论证了我国的消费信贷的序列相关性。一方面对西方经典消费理论进行了阐述，这是消费信贷得以发生和发展的理论基础，应用这一理论就目前对消费信贷的研究背景以及研究成果进行了全面的分析，并总结了我国消费信贷发展的现实状况，在此基础上得出了我国消费信贷的发展对宏观经济的影响；另一方面通过分析我国消费信贷对宏观经济影响的VAR模型检验结果，可知消费信贷对经济增长有明显的促进作用，但这一研究方法过程中去除了消费信贷序列的长记忆性，忽视了序列间的长期相关性的影响，存在明显的缺点。为了深入研究消费信贷序列的长期相关性，基于长记忆相关理论模型，本文以2007年1月-2012年12月的国内消费信贷月度增长额为样本，进行了实证研究。实证具体从三个方面展开：第一，序列的平稳性检验方面，本文采用了KPSS，PP检验法联合检验的方式；第二，长记忆性检验方面，本文采用R/S分析法，计算Hurst指数，判别序列的长记忆性特征；第三，长记忆模拟和估计方面，采用了ARFIMA模型的方法，定阶模型为ARFIMA(0,d,1)，通过估计参数d确定消费信贷时间序列的相关性特征。最后通过对以上过程得出的结果进行分析，考察消费信贷的序列是否为分整过程，是否存在长期稳定的相关性，即长记忆性。 本文通过实证得出结论：我国消费信贷时间序列存在明显的长记忆特性。消费信贷的长记忆特性，无论对宏观经济调控，还是微观经济个体都有无法忽视的影响，因此，未来不但要加大对消费信贷时间序列相关性的研究，更应该加强对消费信贷长记忆的应用性研究。
[Abstract]:Since the reform and opening-up, China's economy has been developing rapidly, but the situation of investment-type economic growth has not been completely reversed, and the problem of economic bubble caused by this has always existed. In order to maintain the healthy and rapid development of our economy in the world economy, we must give full play to the leading role of consumption in the economic growth, because only the final consumption is the real economic growth. China's loan balance is second in Asia, and the proportion of consumer credit is rising, but the overall ratio is still lower than that of the developed countries. It is seen that consumer credit has a huge development space in our country. Since the 18-year-old China, the economic policy has changed from a stable and fast-growing to a sustained and healthy growth, and consumer credit, as a powerful macro-control measure, has become more and more important in stimulating demand and accelerating the circulation of commodities. And the development characteristics, direction and trend of consumer credit are closely related to the development of the national economy. This paper is based on the positive analysis of ARIMA model, based on the current domestic and foreign economic situation, and based on the long-memory character of consumer credit as the research object, the study of the system demonstrates the sequence correlation of consumer credit in our country. This paper, on the one hand, expounds the western classical consumption theory, which is the theoretical basis of the development and development of the consumer credit. The application of this theory is a comprehensive analysis of the research background and the research results of the consumer credit, and summarizes the reality of the development of consumer credit in China. On the basis of this, the influence of the development of consumer credit on the macro-economy is derived; on the other hand, through the analysis of the results of the VAR model test on the macro-economic impact of consumer credit in China, it can be seen that consumer credit has a significant effect on economic growth. In the process of this study, the long memory of the consumer credit sequence is removed, and the influence of the long-term correlation between the sequences is ignored, and there is a clear shortage. In order to study the long-term correlation of consumer credit, based on the long-memory-related theory model, this paper makes an empirical research on the monthly growth of consumer credit in January-December,2007. In this paper, the method of joint inspection of KPSS and PP test is used in this paper. In the second and the long memory test, the R/ S analysis method is used to calculate the Hurst index and the long memory character of the sequence. 3. In the aspect of long memory simulation and estimation, the ARFIMA model is used, the order model is ARFIMA (0, d,1), and the correlation of the consumer credit time series is determined by the estimation parameter d. Finally, through the analysis of the result of the above process, whether the sequence of consumer credit is the whole process, whether there is a long-term and stable correlation, that is, long memory On the basis of the positive conclusion, this paper concludes that the time series of consumer credit in China has a significant long-term record. The long-memory character of consumer credit can not be ignored by the macro-economic regulation or the micro-economic individual, so it is not only to increase the study of the correlation of the time series of consumer credit, but also to strengthen the application of the long-term memory of consumer credit.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4;F224
本文编号：2493641
[Abstract]:Since the reform and opening-up, China's economy has been developing rapidly, but the situation of investment-type economic growth has not been completely reversed, and the problem of economic bubble caused by this has always existed. In order to maintain the healthy and rapid development of our economy in the world economy, we must give full play to the leading role of consumption in the economic growth, because only the final consumption is the real economic growth. China's loan balance is second in Asia, and the proportion of consumer credit is rising, but the overall ratio is still lower than that of the developed countries. It is seen that consumer credit has a huge development space in our country. Since the 18-year-old China, the economic policy has changed from a stable and fast-growing to a sustained and healthy growth, and consumer credit, as a powerful macro-control measure, has become more and more important in stimulating demand and accelerating the circulation of commodities. And the development characteristics, direction and trend of consumer credit are closely related to the development of the national economy. This paper is based on the positive analysis of ARIMA model, based on the current domestic and foreign economic situation, and based on the long-memory character of consumer credit as the research object, the study of the system demonstrates the sequence correlation of consumer credit in our country. This paper, on the one hand, expounds the western classical consumption theory, which is the theoretical basis of the development and development of the consumer credit. The application of this theory is a comprehensive analysis of the research background and the research results of the consumer credit, and summarizes the reality of the development of consumer credit in China. On the basis of this, the influence of the development of consumer credit on the macro-economy is derived; on the other hand, through the analysis of the results of the VAR model test on the macro-economic impact of consumer credit in China, it can be seen that consumer credit has a significant effect on economic growth. In the process of this study, the long memory of the consumer credit sequence is removed, and the influence of the long-term correlation between the sequences is ignored, and there is a clear shortage. In order to study the long-term correlation of consumer credit, based on the long-memory-related theory model, this paper makes an empirical research on the monthly growth of consumer credit in January-December,2007. In this paper, the method of joint inspection of KPSS and PP test is used in this paper. In the second and the long memory test, the R/ S analysis method is used to calculate the Hurst index and the long memory character of the sequence. 3. In the aspect of long memory simulation and estimation, the ARFIMA model is used, the order model is ARFIMA (0, d,1), and the correlation of the consumer credit time series is determined by the estimation parameter d. Finally, through the analysis of the result of the above process, whether the sequence of consumer credit is the whole process, whether there is a long-term and stable correlation, that is, long memory On the basis of the positive conclusion, this paper concludes that the time series of consumer credit in China has a significant long-term record. The long-memory character of consumer credit can not be ignored by the macro-economic regulation or the micro-economic individual, so it is not only to increase the study of the correlation of the time series of consumer credit, but also to strengthen the application of the long-term memory of consumer credit.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4;F224
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本文编号：2493641
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