统计研究
統計研究
통계연구
Statistical Research
2014年
12期
3~10
,共null页
大宗商品 现货价格指数 三重筛选 谱分析 预测能力
大宗商品 現貨價格指數 三重篩選 譜分析 預測能力
대종상품 현화개격지수 삼중사선 보분석 예측능력
Staple Commodity; Spot Price Index; Triple Selection; Spectral Analysis; Predictive Ability
本文选取了我国国民经济中8个主要行业,提出并采用成分商品的“三重筛选”标准,选取了72种成分商品,首先以成分商品的表观消费量为权重构建了行业商品现货价格指数,然后以行业规模以上工业企业的工业总产值为权重综合行业指数得到中国大宗商品现货价格指数。基于已构建指数,本文采用谱分析方法研究发现:中国大宗商品现货价格指数领先CPI、PPI、CI的期数依次为2.48个月、0.66个月、0.89个月,领先BPI、MyBCIC、CCPI的期数依次为1.54天、1天、1.21周,领先上证综合指数的期数为13天,说明中国大宗商品现货价格指数具有很好的预警和预测能力。最后,本文用时差相关系数法对该指数的预测能力进行了定量检验,检验结果与谱分析结果一致,说明谱分析结果是稳健的。
本文選取瞭我國國民經濟中8箇主要行業,提齣併採用成分商品的“三重篩選”標準,選取瞭72種成分商品,首先以成分商品的錶觀消費量為權重構建瞭行業商品現貨價格指數,然後以行業規模以上工業企業的工業總產值為權重綜閤行業指數得到中國大宗商品現貨價格指數。基于已構建指數,本文採用譜分析方法研究髮現:中國大宗商品現貨價格指數領先CPI、PPI、CI的期數依次為2.48箇月、0.66箇月、0.89箇月,領先BPI、MyBCIC、CCPI的期數依次為1.54天、1天、1.21週,領先上證綜閤指數的期數為13天,說明中國大宗商品現貨價格指數具有很好的預警和預測能力。最後,本文用時差相關繫數法對該指數的預測能力進行瞭定量檢驗,檢驗結果與譜分析結果一緻,說明譜分析結果是穩健的。
본문선취료아국국민경제중8개주요행업,제출병채용성분상품적“삼중사선”표준,선취료72충성분상품,수선이성분상품적표관소비량위권중구건료행업상품현화개격지수,연후이행업규모이상공업기업적공업총산치위권중종합행업지수득도중국대종상품현화개격지수。기우이구건지수,본문채용보분석방법연구발현:중국대종상품현화개격지수령선CPI、PPI、CI적기수의차위2.48개월、0.66개월、0.89개월,령선BPI、MyBCIC、CCPI적기수의차위1.54천、1천、1.21주,령선상증종합지수적기수위13천,설명중국대종상품현화개격지수구유흔호적예경화예측능력。최후,본문용시차상관계수법대해지수적예측능력진행료정량검험,검험결과여보분석결과일치,설명보분석결과시은건적。
It selects eight major industries from the national economy in our country, and puts forward a" triple selection" criteria of composition goods for the first time to select 72 kinds of components. It constructs the industry commodity spot price index with apparent consumption of composition goods as the weight, and then establishes the China' s Staple Commodity Price Index (CSCPI) with gross output value of industrial enterprises above designated size as the weight. Based on the constructed index, it introduces the spectral analysis method to do the empirical analysis, and finds that CSCPI is respectively 2. 48, 0. 66, and O. 89 months ahead of CPI, PPI, CI of domestic macroeconomic indexes, respectively 1.54 days, 1 day and 1.21 weeks ahead of BPI, MyBCIC, CCPI of domestic commodity spot price indexes, and 13 days ahead of the Shanghai composite index. It indicates that CSCPI has a good predictive ability. Finally, it employs the cross correlation method to carry on quantitative tests about the predictive ability of CSCPI, and the results consistent with the spectral analysis. So the spectral analysis resuhs are robust.