基于GMVAR模型的货币供应量的预测分析  

Forecast Analysis of Money Supply Based on GMVAR Model

作　　者：李纯净 李可可 田闯 屈红雁 LI Chun-jing;LI Ke-ke;TIAN Chuang;QU Hong-yan(School of Mathematics and Statistics,Changchun University of Technology,Changchun 130012,China)

机构地区：[1]长春工业大学数学与统计学院,吉林长春130012

出　　处：《数学的实践与认识》2021年第2期171-178,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金青年基金(11901053)。

摘　　要：为分析和预测货币供应量的变化趋势,建立了M0供应量的同比增长率RMO与M2供应量的同比增长率RM2的GMVAR(2,2)模型和VAR(2,2)模型.通过对比AIC和BIC发现GMVAR(2,2)模型明显优于一般VAR(2,2)模型.对未知参数进行最大似然估计,发现GMVAR(2,2)模型参数估计的效果较好.通过使用GMVAR(2,2)模型对RMO和RM2进行预测,发现未来一年内RMO呈平稳状态,RM2呈上升趋势.In order to analyze and predict the change trend of the money supply,the GMVAR(2,2)model and the VAR(2,2)model of the year-on-year growth rate of M0 supply RMO and the year-on-year growth rate of M2 supply RM2 are established.By comparing AIC and BIC,it is found that the GMVAR(2,2)model is significantly better than the general VAR(2,2)model.Carrying out maximum likelihood estimation on unknown parameters,it is found that GMVAR(2,2)model parameter estimation has a better effect.By using the GMVAR(2,2)model to predict RMO and RM2,it is found that RMO will be stable and RM2 will be on the rise in the coming year.

关 键 词：货币供应量 VAR(2 2)模型 GMVAR(2 2)模型 

分 类 号：F224[经济管理—国民经济] F822.2