基于Copula函数的CPI与GDP相关性研究  

Study on Correlation Between CPI and GDP Based on Copula Function

作　　者：王童[1] 雷怀英[1] 

机构地区：[1]天津工业大学管理学院,天津300387

出　　处：《统计与决策》2017年第17期16-19,共4页Statistics & Decision

基　　金：国家社会科学基金资助项目(11BTJ018)

摘　　要：GDP与CPI分别作为衡量经济发展与通货膨胀的重要指标,其相关性分析直接影响宏观经济政策的制定。文章利用阿基米德Copula函数对1992—2015年CPI与GDP的季度同比增长率进行研究,分析了CPI与GDP之间的相关性与尾部特征。研究表明,CPI与GDP增长率的变化是一致的,即CPI与GDP之间存在正向相关关系。GDP and CPI are respectively important indicators of economic development and inflation, and the correlation analysis between them directly influences the formulation of macroeconomic policy. This paper utilizes Archimedes copula function to study the quarterly year-on-year growth rate of CPI and GDP from 1992 to 2015, and analyzes the correlation and tail feature between CPI and GDP. The research result shows that the growth rate changes of CPI accords with that of GDP, which means there is a positive correlation between CPI and GDP.

关 键 词：CPI GDP COPULA函数 相关性 

分 类 号：F222[经济管理—国民经济]