| 关于J-效应的时间序列分析及其政策性实验 |
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| 引用本文： | 谢衷洁,刘亚利,叶伟彰,黄香. 关于J-效应的时间序列分析及其政策性实验[J]. 北京大学学报(自然科学版), 2000, 36(1): 142-148 |
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| 作者姓名： | 谢衷洁 刘亚利 叶伟彰 黄香 |
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| 作者单位： | 北京大学金融数学系与概率统计学系，北京，100871; 香港理工大学应用数学系 |
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| 基金项目： | 国家自然科学基金，北大联证金融实验室基金 |
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| 摘 要： | 1问题的提出 在国际金融书刊中,当谈及国际收支理论时都会介绍J-效应或J-曲线现象,如钱荣[1]书中就在弹性理论下介绍了J-效应:"在短期内,贬值并不能立即引起贸易数量的变化,从进出口商品相对价格的变动到贸易数量的增减需要经过一段时间,即存在时滞……贬值并不能带来国际收支改善,反而可能导致其恶化,后来学者将这一现象称为"J型曲线",象征贬值后国际收支差额的时间规迹."
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| 关 键 词： | J-效应 汇率 稀疏系数模型 |
| 收稿时间： | 1999-08-30 |
Statistical Modeling of J-effect and Policy Experiments |
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| XIE Zhongjie,LIU Yali,IP Wai-Cheung,WONG Heung. Statistical Modeling of J-effect and Policy Experiments[J]. Acta Scientiarum Naturalium Universitatis Pekinensis, 2000, 36(1): 142-148 |
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| Authors: | XIE Zhongjie LIU Yali IP Wai-Cheung WONG Heung |
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| Affiliation: | Dept.of Finan.Math. and Dept.of Prob. & Statist., Peking University, Beijing, 100871; Dept.of Appl.Math., The Hong Kong Polytechnic University |
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| Abstract: | The main purpose of this paper is to investigate the statistical analysis of J|effect in trade balance of Mexico in 1989|1995.Sparse coefficients modeling has been successfully introduced for the model construction of J|effect.Based on the model,the recovery period index is easy to define and the policy experiment also may be carried out by orthogonal experiment design.The results show that the develuation of Pesos and the short interest rate are over adjusted but the economic and financial policy during that period were basically correct.;Finally,J|effects between Mexico and Japan are compared,it seems that the recovery period of developing countries will be longer than the industry countries. |
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| Keywords: | J |effect international trade balance sparse coefficients modeling |
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