基于理性预期的宏观经济预警系统研究  

Research on Macroeconomic Early Warning System Based on Rational Expectation

作　　者：王慧敏[1] 陈宝书[1] 

机构地区：[1]中国矿业大学工商管理学院

出　　处：《中国矿业大学学报》1998年第3期272-275,共4页Journal of China University of Mining & Technology

摘　　要：宏观经济循环波动理论是预警的重要基础，对经济波动的研究应采用非线性的原理和方法，并以量化的数学模型为基础；对西方理性预期宏观经济波动的ＡＤ－ＡＳ模型做了改进，建立了一种经济波动的非线性模型（ＡＤ－ＡＳ－ＡＲＣＨ）；在此基础上，提出了ＡＲＣＨ预警方法，并分析了ＡＲＣＨ预警方法的特点，着重研究了ＡＲＣＨ预警警限的界定。Macroeconomic circulative fluctuation theory is an important foundation of easily warning. In studying economic fluctuation, nonlinear principle and method as well as quantitative mathematics model should be used. In this paper, the western AD AS model of rational expectation is improved and an improved nonlinear model of economic fluctuation is set up. Based on all of this, the auto regressive conditional heteroscedasticity (ARCH) of early warning system is put forward. The characteristics of ARCH method and the judgment of early warning deadline are also studied.Finally,a warning deadline with ARCH feature is presented.

关 键 词：理性预期 经济波动 预警系统 ARCH模型 宏观经济 

分 类 号：F123.16[经济管理—世界经济]