基于GMDH网络的我国外汇储备影响因素实证研究  

Empirical Analysis on Influencing Factors of China's Foreign Reserves Based on GMDH Network

作　　者：吴勤学[1] 符亚明[1] 

机构地区：[1]北京联合大学,北京100101

出　　处：《国际商务（对外经济贸易大学学报）》2010年第6期39-43,共5页INTERNATIONAL BUSINESS

基　　金：北京市哲学社会科学"十一五"规划项目"经济全球化条件下北京金融业发展与风险防范对策研究"(项目编号:06BaJG121)的阶段性成果

摘　　要：近年来,我国外汇储备规模不断扩大,搞清楚影响外汇储备规模变化的因素则变得非常重要。当前比较流行的协整分析方法,虽然有效地克服了在线性回归模型中存在的"伪回归"问题,但是它只能描述非平稳序列之间的长期线性均衡关系,对于非线性的相关关系则无法描述。本文根据外汇储备理论,构建外汇需求模型,通过GMDH网络数据驱动型的数学方法演绎,得到了一个实证研究具有良好拟合优度的我国外汇储备的影响因素非线性模型。主要结论是在美元贬值的预期下,我国外汇储备的增长主要受到人民币"持有成本"的影响。In recent years, with the expanding of the size of China＇ s foreign exchange reserves, finding out the impact of changes in foreign exchange reserves has become a very important factor. Currently more popular methods of cointegration analysis, although effective to over- come the linear regression model in the presence of ＂pseudo-regression＂ problem, but it can only be described in non-stationary linear sequence of the long-term balance between the relations, and the non-linear relationship can not be described. Based on the theory of foreign exchange reserves and building a model of foreign exchange needs, through the GMDH network data-driven interpretation of the mathematical methods, this paper concludes that empirical research has been a good fit for the non-linear model of influencing factors of China＇ s foreign exchange reserves. The main conclusion is the growth of China＇ s foreign exchange reserves is mainly affected by RMB ＂cost of ownership＂

关 键 词：外汇储备 机会成本 GMDH网络 SHIBOR 

分 类 号：F832.6[经济管理—金融学]