| 外汇储备的组合预报法 |
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| 引用本文： | 毛志杰,曹杰,朱奇,吴武清,陈敏.外汇储备的组合预报法[J].系统工程理论与实践,2012,32(10):2119-2128. |
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| 作者姓名： | 毛志杰 曹杰 朱奇 吴武清 陈敏 |
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| 作者单位： | 1. 中国科学院 数学与系统科学研究院, 北京 100190;
2. 国家外汇管理局, 北京 100048;
3. 中国人民大学 商学院, 北京 100872 |
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| 基金项目： | 国家外汇管理局跨境资金流动研究课题组资助;国家重点基础研究发展计划(973项目)(2007CB814902);国家自然科学基金(71003100,10628104,10721101);中国人民大学科学研究基金(2009030123) |
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| 摘 要： | 通过深入研究我国外汇储备季度增量与主要宏观经济变量的计量关系,发现宏观经济形势对外汇储备增长有重要影响.提出R2权重组合预报法, 该方法将R2统计量作为模型预测结果组合的权重, 对不同模型的预测结果进行组合加权,得到了较为稳定而且准确的预报结果:外汇储备规模将会持续增长.对此结果提出了相应的政策建议.
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| 关 键 词： | 组合预报 外汇储备 次贷危机 GDP R2权重 |
| 收稿时间： | 2010-07-11 |
Foreign exchange reserve combined forecasting method |
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| MAO Zhi-jie,CAO Jie,ZHU Qi,WU Wu-qing,CHEN Min.Foreign exchange reserve combined forecasting method[J].Systems Engineering —Theory & Practice,2012,32(10):2119-2128. |
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| Authors: | MAO Zhi-jie CAO Jie ZHU Qi WU Wu-qing CHEN Min |
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| Institution: | 1. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China;
2. State Administration of Foreign Exchange, Beijing 100048, China;
3. School of Business, Renmin University of China, Beijing 100872, China |
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| Abstract: | Firstly,it makes an in-depth study on the econometric relationship between the quarter increment of the foreign exchange reserve in China and the main macro-economic variables.It finds that the macro-economic situation have great effect on the increase of foreign exchange reserves.Secondly,for the first time,it puts forward the combined forecasting method of R2 weight,which uses R2 statistics as the combined forecasting weight to combine the different models’ results.With this method,we got the stable and accurate result that the foreign exchange reserves will increase continuously.Finally,it gives some suggestions. |
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| Keywords: | combination forecast foreign exchange reserve subprime lending crisis GDP R~2 weight |
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