發(fā)布時間：2018-05-31 15:56

  本文選題：宏觀經(jīng)濟模型 + ECM模型�。� 參考：《中國社會科學(xué)院研究生院》2014年碩士論文

【摘要】：近年來，國際經(jīng)濟形勢日趨復(fù)雜，而且隨著市場經(jīng)濟程度的不斷加深，我國經(jīng)濟發(fā)展也面臨更多新的問題與挑戰(zhàn)。無論是政府的決策管理還是人們對經(jīng)濟形勢的判斷都更加困難。尋找恰當(dāng)?shù)姆治龇椒ê凸ぞ叱蔀槿藗冴P(guān)心的問題，而宏觀經(jīng)濟模型恰好符合了人們的這一現(xiàn)實需求。宏觀經(jīng)濟模型是對現(xiàn)實經(jīng)濟的仿真和模擬，是基礎(chǔ)數(shù)據(jù)、經(jīng)濟理論以及計量方法等的有效結(jié)合，在一定程度上已成為研究宏觀經(jīng)濟問題的有效工具。 國外宏觀經(jīng)濟模型的研制已有較長的歷史。在美國等發(fā)達(dá)國家，宏觀經(jīng)濟模型在較早時期就已廣泛使用。我國宏觀經(jīng)濟模型的研制起步較晚，且其中以年度模型為主。近年來，隨著數(shù)據(jù)的豐富，研究技術(shù)的不斷成熟以及現(xiàn)實經(jīng)濟分析的需要，我國模型研制者逐漸將研究重點轉(zhuǎn)向更具時效性的季度模型。 本文在對國內(nèi)外宏觀經(jīng)濟模型研制歷史進(jìn)行梳理的基礎(chǔ)上，結(jié)合我國步入社會主義市場經(jīng)濟階段以來經(jīng)濟的運行情況，以宏觀經(jīng)濟的收入、消費等不同方面為切入點，以支出法國內(nèi)生產(chǎn)總值為最終落腳點，通過不同行為方程和恒等式構(gòu)建聯(lián)立方程模型，建立了符合我國經(jīng)濟運行機制和特色的季度宏觀經(jīng)濟模型，并基于此模型對未來經(jīng)濟走勢進(jìn)行了預(yù)測和模擬。 論文主要分為五章。第一章為緒論，簡要介紹研究內(nèi)容和目的。第二、三、四章為核心和重點，均圍繞本文構(gòu)建的季度模型展開，分別介紹了模型的概況、構(gòu)建過程和應(yīng)用情況。第五章對論文進(jìn)行了總結(jié)，并指出了模型可以進(jìn)一步改進(jìn)和提升的地方。 本文建立的宏觀經(jīng)濟模型以季度數(shù)據(jù)為基礎(chǔ)，樣本區(qū)間從1992年第1季度至2012年第4季度。在建模之前，本文對原始數(shù)據(jù)進(jìn)行了一系列處理，最終得到87個初始變量用于模型構(gòu)建。在規(guī)模上，本季度模型由27個行為方程和37個恒等式構(gòu)成，共涉及宏觀經(jīng)濟的收入、消費、投資、政府財政、對外貿(mào)易、金融和價格等七個主要模塊。在對宏觀經(jīng)濟模塊進(jìn)行分析的過程中，本文同時梳理了各模塊涉及到的相關(guān)經(jīng)濟理論，如生產(chǎn)理論、消費理論以及國際貿(mào)易理論等，這些構(gòu)成了行為方程估計的理論基礎(chǔ)；同時，也運用數(shù)據(jù)和圖形對1992年以來我國經(jīng)濟各主要方面的運行狀況進(jìn)行了分析，這些構(gòu)成了行為方程估計的現(xiàn)實依據(jù)。 由于大部分經(jīng)濟變量為非平穩(wěn)時間序列，本模型主要基于協(xié)整理論和誤差修正模型(ECM)構(gòu)建行為方程，由此刻畫經(jīng)濟行為的長期均衡以及短期波動特征。但在方程的具體估計過程中，并未單獨設(shè)置誤差修正項，而是對其一般形式進(jìn)行了估計，然后依據(jù)動態(tài)建模理論逐步約化得到包容原始模型的最簡形式。本文在行為方程之外，又根據(jù)模型需要構(gòu)造了相應(yīng)的恒等式，以此將各個行為方程進(jìn)行連接，從而實現(xiàn)對聯(lián)立方程系統(tǒng)的求解。 在眾多分析軟件中，，本季度模型選用Eviews6.0進(jìn)行實證分析。模型構(gòu)建均通過編程實現(xiàn)。整個建模過程共編寫了四個Eviews程序，分別用于原始變量頻率轉(zhuǎn)換，行為方程估計等。程序的編寫大大提高了后期模型求解及情景模擬的速度和效率。 為檢驗?zāi)Ｐ唾|(zhì)量和效果，實現(xiàn)其現(xiàn)實指導(dǎo)意義，本文對2013年至2015年的主要宏觀經(jīng)濟變量進(jìn)行了預(yù)測，并就匯率、世界貿(mào)易量兩個外生變量以及M1供應(yīng)量這一內(nèi)生變量進(jìn)行了不同情景的政策模擬。 基于政策模擬的結(jié)果，本文建議，未來一段時期，我國應(yīng)避免人民幣在短期內(nèi)大幅升值，并充分利用國際貿(mào)易環(huán)境復(fù)蘇機會，繼續(xù)保持對外貿(mào)易對經(jīng)濟增長的促進(jìn)作用；同時保持貨幣供應(yīng)量與經(jīng)濟發(fā)展相適應(yīng)，以此維護(hù)價格水平的穩(wěn)定。 總體來講，本季度模型較好的模擬了中國經(jīng)濟的整體運行情況，對于經(jīng)濟預(yù)測以及宏觀經(jīng)濟政策分析具有一定的參考意義。
[Abstract]:In recent years, the international economic situation is becoming more and more complex, and with the deepening of the market economy, the economic development of our country is also facing more new problems and challenges. It is more difficult for the government to make decision management or to judge the economic situation. The economic model coincided with the realistic demand of the people. The macroeconomic model is the simulation and Simulation of the real economy, the effective combination of the basic data, the economic theory and the measurement method, and to a certain extent, it has become an effective tool for the study of macroeconomic problems.
The development of the macroeconomic model of foreign countries has a long history. In the developed countries such as the United States, the macro economic model has been widely used in the earlier period. The development of the macro-economic model of our country is late and the annual model is the main one. In recent years, with the rich data, the development of research technology and the need of real economic analysis. Our model developers gradually shift their research focus to a more timeliness quarterly model.
On the basis of the history of the development of the macro-economic model at home and abroad, and on the basis of the economic operation of our country since the stage of entering the socialist market economy, this paper takes the income of macro economy and consumption as the breakthrough point, and takes the gross domestic product of France as the ultimate foothold, and through the different behavior equations and the identity structure. A joint equation model is built, and a quarterly macroeconomic model conforms to the economic operating mechanism and characteristics of our country. Based on this model, the future economic trend is predicted and simulated.
The thesis is divided into five chapters. The first chapter is the introduction, which briefly introduces the content and purpose of the study. The second, third, the four chapter is the core and the focus, which are all around the quarterly model constructed in this paper. The general situation of the model, the construction process and the application situation are introduced respectively. The fifth chapter summarizes the paper and points out that the model can be further improved and promoted. The place.
The macro economic model based on the quarterly data is based on the quarterly data. The sample interval is from the first quarter of 1992 to the fourth quarter of 2012. Before the modeling, the original data were dealt with a series of processing, and finally 87 initial variables were used for the model construction. On the scale, the model was composed of 27 behavior equations and 37 identities in this quarter. And macro economic income, consumption, investment, government finance, foreign trade, finance and price and other seven main modules. In the process of analyzing the macro-economic module, this paper also combs the related economic theories involved in each module, such as production theory, consumption theory and international trade theory, which constitute the behavior equation estimation. At the same time, we also use data and graphics to analyze the operating conditions of the main economic aspects of our country since 1992, which constitute the realistic basis for the estimation of the behavior equation.
Because most of the economic variables are nonstationary time series, the model is mainly based on the cointegration theory and the error correction model (ECM) to construct the behavior equation, which depicts the long-term equilibrium and short-term fluctuation characteristics of economic behavior. However, in the specific estimation process of the equation, the error correction is not set separately, but the general form is carried out. It is estimated that the simplest form of the tolerant original model is gradually reduced according to the dynamic modeling theory. In addition to the behavior equation, the corresponding identities are constructed according to the needs of the model. In order to connect the equation of behavior, the solution of the simultaneous equation system is realized.
In many analysis software, this quarter model selects Eviews6.0 for empirical analysis. The model construction is realized through programming. Four Eviews programs are written in the whole modeling process, which are used for frequency conversion of original variables and estimation of behavior equation respectively. The programming of the program greatly improves the speed and efficiency of the model solving and scenario simulation in the later period.
In order to test the quality and effect of the model and realize its practical significance, this paper forecasts the major macroeconomic variables from 2013 to 2015, and carries out a policy simulation of different scenarios on the exchange rate, two exogenous variables of the world trade volume and the endogenous variable of M1 supply.
Based on the results of the policy simulation, this paper suggests that in the coming period, China should avoid a substantial appreciation of the RMB in the short term, and make full use of the international trade environment recovery opportunities to continue to maintain the role of foreign trade in promoting economic growth, while maintaining the supply of money and economic development in order to maintain the stability of the price level.
In general, the model of this quarter is better to simulate the overall operation of China's economy, which has some reference significance for economic forecast and macroeconomic policy analysis.
【學(xué)位授予單位】：中國社會科學(xué)院研究生院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F124;F224

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