基于VAR的中国总产值、总消费、总投资关系研究及预测  

Research on the Relationship and Forecast of Chinese GDP,CONS and INV Based upon VAR

作　　者：方秋莲[1] 江涛[2] 陈小杰[3] 

机构地区：[1]中南大学数学与统计学院,湖南长沙410075 [2]华东师范大学统计学院,上海200241 [3]中山大学岭南学院,广东广州510275

出　　处：《数学的实践与认识》2017年第7期1-10,共10页Mathematics in Practice and Theory

基　　金：湖南省自然科学基金项目(12JJ5002)

摘　　要：先通过VAR模型的脉冲响应分析和方差分解,研究了中国总产值变化量、总消费变化量和总投资变化量之间的关系,得出总消费和总投资联合对总产值有正的影响,而总消费和总投资之间相互影响、方向相同.其次,通过建立VECM模型分析了中国总产值、总消费、总投资之间的短期非均衡关系及其调整机制,并进行了短期预测.In this paper,we firstly built a VAR model and researched the relationship among Chinese GDP,CONS and INV by impulse response analysis and variance decomposition.Then we found that CONS and INV have a positive effect on GDP together.On the other hand,CONS and INV have an interaction in the same direction.Secondly we analyzed the short-run disequilibrium relationship among Chinese GDP,CONS and INV,and built its adjustment mechanism by VECM model.Finally,we had a short-run forecast for the three variables.

关 键 词：VAR模型 脉冲分析 方差分解 VECM模型 

分 类 号：F224[经济管理—国民经济] F124