基于三维Copula函数的CPI与GDP、M3相关性研究  

The correlation between CPI,GDP and M3 based on the three-dimensional Copula function

作　　者：刘晓晓 何华[1] 张建[1,2] LIU Xiaoxiao;HE Hua;ZHANG Jian(School of Science, Hebei University of Technology, Tianjin 300401, China;Insurance Institute, Central University of Finance and Economics, Beijing 100081,China)

机构地区：[1]河北工业大学理学院,天津300401 [2]中央财经大学保险学院,北京100081

出　　处：《河北工业大学学报》2019年第1期13-17,28,共6页Journal of Hebei University of Technology

基　　金：国家自然科学基金(11471218;11701139);河北省自然科学基金(A2018202057)

摘　　要：利用我国1993年1月至2017年10月CPI、GDP、M3的季度同比增长率数据,运用解析法,选择出最优的三维Copula函数形式分析了CPI与GDP、M3之间的相关性以及尾部相关性特征。研究表明CPI与GDP、M3增长率的变化是一致的,即CPI与GDP、M3存在正向相关关系。Based on the quarterly year-on-year growth rate data of CPI,GDP and M3 from January 1993 to October 2017 in China,we selects the optimal three-dimensional Copula function to analyze the correlation between CPI and GDP and M3 as well as the tail correlation characteristics.This study shows that CPI is consistent with GDP and M3 growth rate,that is,CPI is positively correlated with GDP and M3.

关 键 词：三维Copula CPI GDP M3 相关性 

分 类 号：F832[经济管理—金融学]