我国外汇占款变动的预测研究——基于ARIMA模型的实证分析  

Forecast of China Position for Foreign Exchange Movements-Empirical Analysis Based on ARIMA Model

作　　者：邓小勇[1] 杨志明[1] 

机构地区：[1]山东大学经济研究院,山东济南250100

出　　处：《金融发展研究》2011年第5期12-14,共3页Journal Of Financial Development Research

摘　　要：本文以我国2000—2009年月度外汇占款额为样本数据,通过建立ARIMA模型来确定我国外汇占款的变化规律进而预测其变动趋势。分析结果表明,我国外汇占款的变动符合自回归单整移动平均ARIMA(2,1,0)的过程,同时利用该模型预测发现,我国外汇占款额在未来会继续保持增长的态势但增速较之前会有所放缓。This paper establishes the ARIMA model to discover the change rule of China＇s position for foreign exchange and predict its change trend,based on the monthly date of position for foreign exchange during 2000-2009.The analysis result shows that the change in China＇s foreign exchange is line with the process of ARIMA（2,1,0）,and by using the model to predict,it finds that,in the future,China＇s position for foreign exchange will continue to maintain a stable growth trend,but the speed-up will postpone compared with before.

关 键 词：外汇占款 冲销干预 ARIMA模型 

分 类 号：F830.92[经济管理—金融学]