短期巨量信贷对物价走势冲击模型研究.docVIP

全国大学生统计建模大赛 题目：天量信贷对物价走势冲击模型研究 作者： 张靖 刘慧慧 王璇珍 单位： 山西财经大学统计学院 日期： 二00九年九月 天量信贷对物价走势冲击模型研究 目 录 Abstract 2 内容摘要 3 1.问题的提出 3 2. 建模思路 5 3.模型设计、检验与估计 7 3.1协整方程的建立 7 3.1.1 平稳性检验 7 3.1.2协整方程的建立 9 3.1.3残差的平稳性检验 10 3.2 模型的合理性检验 10 3.2.1 经济意义检验 10 3.2.2 统计检验 11 3.2.3 计量经济学检验 11 4. 三、四季度物价的预测 12 4.1 模拟检验及预测检验 12 4.2利用贷款实际值对3、4季度物价的预测 13 4.3利用正常贷款额对3、4季度物价的预测 14 4.4信贷的波动对物价的冲击 14 5.建模结果分析 15 5.1预测结果分析 15 6.结论及建议 17 主要参考文献： 18 附表： 19 Abstract The giant credit of the first half of the year has triggered intense discussion about Should we worry about inflation in all groups of the society, and the views are various. So based on this hot issue, the paper will try to give a predict of the price trend of the second half of 2009 by applying the statistical knowledge and building the statistical model which will use mature econometrical approach such as the unit root test, cointegration analysis and impulse response. And based on the predict of price trend under the normal growth rate of credit, the paper is going to see how deeply the abnormal credit of the first half of the year influence the price of the second half of the year. The article concludes: firstly, the price of the second half of 2009 will be impacted by the giant credit of the first two quarters of 2009, especially in the 4th quarter, the mild inflation will turn on; secondly, the non-equilibrium part of the loan is the important factor of Price volatility and accounts for very great proportion of the interpretation of Price volatility; thirdly, in a long time, the effect of credit growth to economy will reflect on the growth of the national output in part, and as time goes on, another part will reflects on the price, eventually leading to price increases. Key Words: The Giant Credit; The Predict of CPI; Price Impact 天量信贷对物价走势冲击模型研究 内容摘要 上半年的天量信贷引发了社会各界关于“我们该不该担心通胀”这一热点问题的讨论，观点不一。本文正是基于这一热点问题，运用统计学知识，通过单位根检验、协整分析、脉冲响应这些比较成熟的计量方法构建统计模型，试图对2009年下半年的物价走势做出预测