基于copula函数的外汇储备与货币供应量尾部相关性研究
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摘要
文章通过Gumbel copula函数对我国2008年1月至2018年2月的外汇储备和货币供应量的月度变化率进行研究,并且对外汇储备和货币供应量的相关性和尾部特征进行了分析,结果表明,外汇储备和货币供应量之间存在正相关性,尾部相关性则体现在上尾部。上尾相关性则体现出随着外汇储备的增加,货币供应量增加的概率会变大。由此可知,Gumbel copula函数在研究外汇储备和货币供应量的相关关系具有一定的实用性。
The Gumbel copula function was used to study the monthly rate of change of foreign exchange reserves and money supply from January 2008 to February 2018 in China, and the correlation and tail characteristics of foreign exchange reserves and money supply was analyzed. The results show that their directions are the same, that is, they have a positive correlation, and the tail correlation is reflected in the upper tail. The tail correlation shows that with the increase of foreign exchange reserves, the probability of increasing money supply will increase. It can be seen that the Gumbel copula function has a certain degree of practicality in studying the correlation between foreign exchange reserves and money supply.
The Gumbel copula function was used to study the monthly rate of change of foreign exchange reserves and money supply from January 2008 to February 2018 in China, and the correlation and tail characteristics of foreign exchange reserves and money supply was analyzed. The results show that their directions are the same, that is, they have a positive correlation, and the tail correlation is reflected in the upper tail. The tail correlation shows that with the increase of foreign exchange reserves, the probability of increasing money supply will increase. It can be seen that the Gumbel copula function has a certain degree of practicality in studying the correlation between foreign exchange reserves and money supply.
引文
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[15]沃尔夫冈·哈德勒.应用多元统计分析[M].北京:北京大学出版社,2003.
[2]魏义俊.外汇储备变动对货币供应的影响[J].金融经济学研究,1999(2):22-24.
[3]赵敏,蒋小龙.我国外汇储备与货币供给关联性的实证分析[J].兰州石化职业技术学院学报,2011,11(2):37-40.
[4]白晓燕.人民币汇率,外汇储备对我国货币供应量的影响研究[D].杨凌:西北农林科技大学,2017.
[5]董君.我国外汇储备与货币供应量关系的研究[D].成都:西南财经大学,2011.
[6]王欢.我国外汇储备对货币供应量的实证研究[J].商,2016(4):95-95.
[7]孙建欣.我国外汇储备、货币供应量与物价指数关系的实证研究[D].中共陕西省委党校,2014.
[8]牛晓健,陶川.外汇占款对我国货币政策调控影响的实证研究[J].统计研究,2011(4):11-16.
[9]谈正达,顾巧明,胡海鸥.外汇资产,国内信贷与宏观流动性过剩[J].国际金融研究,2012(4):88-96.
[10]茹薏.外汇储备对我国货币政策的影响分析[D].苏州:苏州大学,2014.
[11]维基百科https://en.wikipedia.org/wiki/Copula_(probability_theory)
[12]赵丽琴.基于Copula函数的金融风险度量研究[D].厦门:厦门大学,2009.
[13]DURRLEMAN V,NIKEGHBALLI A,RONCAL-LIET T,et al.Which copula is the Right One?Working Paper,Groupe de Recherche Operationnelle,Crendit Lyonnais[Z].2000.
[14]王童,雷怀英.基于Copula函数的CPI与GDP相关性研究[J].统计与决策,2017(17):16-19.
[15]沃尔夫冈·哈德勒.应用多元统计分析[M].北京:北京大学出版社,2003.