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.
引文
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