外汇储备的组合预报法  

Foreign exchange reserve combined forecasting method

作　　者：毛志杰[1] 曹杰[2] 朱奇[2] 吴武清[3] 陈敏[1] 

机构地区：[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

出　　处：《系统工程理论与实践》2012年第10期2119-2128,共10页Systems Engineering-Theory & Practice

基　　金：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)

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R^2权重组合预报法,该方法将R^2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.Firstly, it makes an in-depth study on the econometric relationship between the quarter incre- ment 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 R^2 weight, which uses R^2 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.

关 键 词：组合预报 外汇储备 次贷危机 GDP R^2权重 

分 类 号：F831[经济管理—金融学] O212[理学—概率论与数理统计]