中国外汇储备的影响因素分析Word格式.docx
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中国外汇储备的影响因素分析Word格式.docx
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1986
309.4000
429.0000
22.40000
20.70000
1987
394.4000
432.2000
23.10000
29.20000
1988
475.2000
552.7000
31.90000
33.70000
1989
525.4000
591.4000
33.90000
55.50000
1990
620.9000
533.5000
34.90000
110.9000
1991
719.1000
637.9000
43.70000
217.1000
1992
849.4000
805.9000
110.1000
194.4000
1993
917.4000
1039.600
275.2000
212.0000
1994
1210.100
1156.200
337.7000
516.2000
1995
1487.800
1320.800
375.2000
736.0000
1.000000
1996
1510.500
1388.300
417.3000
1050.300
1997
1827.900
1423.700
452.6000
1398.900
1998
1837.100
1402.400
454.6000
1449.600
1999
1949.300
1657.000
403.2000
1546.800
2000
2492.000
2250.900
407.2000
1655.700
2001
2661.000
2435.500
468.2000
2121.600
2002
3255.700
2952.000
527.4000
2864.100
2003
4382.300
4127.600
535.0467
4032.510
2004
5933.600
5613.800
620.0000
6099.000
三、分析数据
初步回归
DependentVariable:
Y
Method:
LeastSquares
Date:
04/28/05Time:
23:
47
Sample:
19852004
Includedobservations:
20
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-264.2837
143.4186
-1.842743
0.0852
1.955510
0.510619
3.829688
0.0016
-0.642902
0.459856
-1.398051
0.1824
0.032344
0.717481
0.045080
0.9646
R-squared
0.991034
Meandependentvar
1218.531
AdjustedR-squared
0.988643
S.D.dependentvar
1584.775
S.E.ofregression
168.8867
Akaikeinfocriterion
13.30865
Sumsquaredresid
427840.5
Schwarzcriterion
13.55758
Loglikelihood
-128.0865
F-statistic
414.5020
Durbin-Watsonstat
2.188671
Prob(F-statistic)
0.000000
图示
从线性图示中我们看出变量间的趋同性很强,并且具有有钱的联系与相关性。
同时为了让数据更加平稳,我们假设其模型是非线性,所以取对数对其进行分析与初步的研究。
期望效果更好。
LX1
LX2
LX3
LY
5.611302
6.046189
2.975530
3.273364
5.734635
6.061457
3.109061
3.030134
5.977366
6.068888
3.139833
3.374169
6.163736
6.314815
3.462606
3.517498
6.264160
6.382493
3.523415
4.016383
6.431170
6.279459
3.552487
4.708629
6.578000
6.458182
3.777348
5.380358
6.744530
6.691960
4.701389
5.269918
6.821544
6.946591
5.617498
5.356586
7.098458
7.052894
5.822158
6.246494
7.305054
7.185993
5.927459
6.601230
7.320196
7.235835
6.033805
6.956831
7.510923
7.261014
6.115009
7.243441
7.515944
7.245940
6.119418
7.279043
7.575226
7.412764
5.999433
7.343944
7.820841
7.719085
6.009304
7.411979
7.886457
7.797907
6.148896
7.659926
8.088163
7.990238
6.267959
7.960009
8.385329
8.325451
6.282354
8.302144
8.688386
8.632983
6.429719
8.715880
四、统计检验
(1)单位根检验
A.对LY
ADFTestStatistic
-4.006389
1%CriticalValue*
-4.5743
5%CriticalValue
-3.6920
10%CriticalValue
-3.2856
*MacKinnoncriticalvaluesforrejectionofhypothesisofaunitroot.
AugmentedDickey-FullerTestEquation
D(DLY)
06/15/05Time:
28
Sample(adjusted):
19872004
18afteradjustingendpoints
DLY(-1)
-0.900357
0.224730
0.0011
0.389707
0.156538
2.489535
0.0250
@TREND(1985)
-0.009683
0.012068
-0.802333
0.4349
0.523494
0.036498
0.459960
0.361229
0.265458
0.336292
1.057020
0.484688
-0.026631
8.239583
1.913796
0.003850
从检验的结果看其满足一阶单整
B.对LX1
-3.735344
D(DLX1)
20
DLX1(-1)
-1.026168
0.274719
0.0020
0.144029
0.066727
2.158489
0.0475
0.002295
0.004460
0.514691
0.6143
0.485524
0.009985
0.416928
0.128538
0.098151
-1.653614
0.144503
-1.505218
17.88252
7.077948
1.806585
0.006843
从检验结果来看其也符合一阶单整
C.对LX2
-3.442502
-4.6193
-3.7119
-3.2964
D(DLX2)
21
19882004
17afteradjustingendpoints
DLX2(-1)
-1.220053
0.354409
0.0044
D(DLX2(-1))
0.411722
0.271383
1.517123
0.1532
0.074640
0.072799
1.025283
0.3239
0.008886
0.006269
1.417496
0.1799
0.505722
0.017653
0.391658
0.151162
0.117901
-1.235626
0.180707
-1.039576
14.50282
4.433665
1.654742
0.023529
从检验结果来看其符合一阶单整
D.LX3
-2.881093
-3.8877
-3.0521
-2.6672
D(DLX3)
23
DLX3(-1)
-0.672828
0.233532
0.0121
D(DLX3(-1))
0.423492
0.242983
1.742886
0.1033
0.135419
0.073052
1.853737
0.0850
0.376190
0.006858
0.287074
0.283078
0.239017
0.134220
0.799807
0.281258
1.859130
4.221358
1.706158
0.036759
(2)GRANGER因果关系检验
PairwiseGrangerCausalityTests
24
Lags:
2
NullHypothesis:
Obs
F-Statistic
Probability
X1doesnotGrangerCauseY
18
1.40307
0.28071
YdoesnotGrangerCauseX1
4.21887
0.03872
X2doesnotGrangerCauseY
9.27388
0.00314
YdoesnotGrangerCauseX2
2.18682
0.15182
X3doesnotGrangerCauseY
5.83756
0.01552
YdoesnotGrangerCauseX3
1.02952
0.38455
X2doesnotGrangerCauseX1
4.83349
0.02695
X1doesnotGrangerCauseX2
0.07556
0.92763
X3doesnotGrangerCauseX1
2.85820
0.09358
X1doesnotGrangerCauseX3
2.16285
0.15458
X3doesnotGrangerCauseX2
2.14288
0.15691
X2doesnotGrangerCauseX3
2.99361
0.08524
从检验的结果看其服从单项因果关系,为Y分别与X1、X2、X3有因果关系,且X1、X2、X3相互之间也存在因果关系。
(3)协整检验
A.
-3.884608
D(EX)
41
EX(-1)
-1.109931
0.285725
0.0017
D(EX(-1))
0.295013
0.190560
1.548136
0.1439
-0.154837
0.109815
-1.409978
0.1804
0.012394
0.009295
1.333515
0.2037
0.522047
-0.004161
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