中国外汇储备的计量模型

222 2002012949
1980
1978
5
11979
1993
1981
27
1983
89
1985
1989
1990
1991
55.5
217
21994
1994
1993
212
1997
1398
3
1994
1
2
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222 2002012949
FDI.
FDI
M2,
M,
E-views
0.99
RE
correlation matrix
M2
RE 1.000000 0.991555
MA 0.991555 1.000000
DEB
.
3
(RE) M
,RE~M
1
3500
3000
2500
RE
2000
1500
1000
500
0
0 1000 2000 3000 4000
M
1
(RE)
FDI
RE~FDI;
3500
3000
2
2500
RE
2000
1500
1
1000
500
0
0 1000 2000 FDI 3000 4000 5000
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222 2002012949
(RE)M2RE~M2;
M2 e, M2 e m2
3500
3000
2500
2000
RE
1500
1000
500
0
3
1
0 5000 10000 15000 20000 25000
M2
(RE)
DEB
RE~DEB
RE
3500
3000
2500
2000
1500
1000
500
0
4
0 500 1000 1500 2000
DEB
1
REt = c + a1M t
+ a2FDIt + a3m2t + a4DEBt
+ µ
t
t =1985,1986, 2002 (1)
M FDI
m2=M2/e (M2 e
) DEB
(4)
(RE)
2003
M
2003
FDI
FDI
FDI
FDI
RE,
M2:
2003;
e:
2003
DEB
2001
2003
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222 2002012949
1
RE:
M: FDIm2
DEB
()
()
(
1985 26.44 422.5 60.6 1880.6 158.3
1986 20.72 429.1 83.04 2104.9 214.8
1987 29.23 432.1 106.18 2414.1 302
1988 33.72 552.7 138.12 2940.9 400
1989 55.5 591.4 172.05 3457.4 413
1990 110.93 533.5 206.92 3462.6 525.5
1991 217.12 637.9 250.58 3918.3 605.6
1992 194.43 805.9 360.65 4992.6 693.2
1993 211.99 1030.6 635.8 6098.4 835.7
1994 516.2 115.61 973.47 5444.4 928.1
1995 735.97 1320.8 1348.68 7274.9 1065.9
1996 1050.29 1388.3 1765.95 9122.8 1162.8
1997 1398.9 1423.7 2201.41 10976.8 1309.6
1998 1449.6 1402.4 2656.03 12621.9 1460.3
1999 1546.75 1657 3059.22 14483.4 1518.2
2000 1655.74 2250.9 3466.37 16260.4 1457.2
2001 2121.65 2435.5 3935.15 19125.5 1701.1
2002 2864.07 2951.7 4462.6 22351.9 1685.38
(5)
OLS
E-VIEWS
Dependent Variable: RE
Method: Least Squares
Date: 04/13/05 Time: 18:58
Sample: 1985 2002
Included observations: 18
Variable
Coefficient Std. Error t-Statistic Prob.
M -0.045756 0.182512 -0.250698
0.8060
FDI 0.339205 0.223330 1.518852 0.1527
M2 0.067729 0.062704 1.080137 0.2997
DEB -0.088608 0.220976 -0.400988 0.6949
C -124.3511 151.7889 -0.819237 0.4274
R-squared 0.978580 Mean dependent var 791.0694
Adjusted R-squared 0.971990 S.D. dependent var 864.0481
S.E. of regression 144.6097 Akaike info criterion 13.01609
Sum squared resid 271855.7 Schwarz criterion 13.26341
Log likelihood -112.1448 F-statistic 148.4794
Durbin-Watson stat 1.205113 Prob(F-statistic) 0.000000
(6)
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222 2002012949
n=18(
)k=4
Dl=0.93 DU=1.69,
D.W=1.205, DI< D.W

222 2002012949
re: MM=M-0.9FDI m2 DEB
1985 26.44 367.96 1880.6 158.3
1986 20.72 354.364 2104.9 214.8
1987 29.23 336.538 2414.1 302
1988 33.72 428.392 2940.9 400
1989 55.5 436.555 3457.4 413
1990 110.93 347.272 3462.6 525.5
1991 217.12 412.378 3918.3 605.6
1992 194.43 481.315 4992.6 693.2
1993 211.99 458.38 6098.4 835.7
1994 516.2 -760.513 5444.4 928.1
1995 735.97 106.988 7274.9 1065.9
1996 1050.29 -201.055 9122.8 1162.8
1997 1398.9 -577.569 10976.8 1309.6
1998 1449.6 -988.027 12621.9 1460.3
1999 1546.75 -1096.298 14483.4 1518.2
2000 1655.74 -868.833 16260.4 1457.2
2001 2121.65 -1106.135 19125.5 1701.1
2002 2864.07 -1064.64 22351.9 1685.38
OLS E-VIEWS
1 MM,
Dependent Variable: RE
Method: Least Squares
Date: 04/15/05 Time: 21:55
Sample: 1985 2002
Included observations: 18
Variable
Coefficient Std. Error t-Statistic Prob.
MM -1.184848 0.147701 -8.021938
0.0000
C 599.3262 96.67755 6.199229 0.0000
R-squared 0.800875 Mean dependent var 791.0694
Adjusted R-squared 0.788430 S.D. dependent var 864.0481
S.E. of regression 397.4344 Akaike info criterion 14.91238
Sum squared resid 2527265. Schwarz criterion 15.01131
Log likelihood -132.2114 F-statistic 64.35149
Durbin-Watson stat
1.556746 Prob(F-statistic)
0.000001
2 DEB,
Dependent Variable: RE
Method: Least Squares
Date: 04/15/05 Time: 21:59
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222 2002012949
Sample: 1985 2002
Included observations: 18
Variable Coefficient Std. Error t-Statistic Prob.
DEB 1.539827 0.147764 10.42088 0.0000
C -615.0218 154.4841 -3.981134 0.0011
R-squared 0.871584 Mean dependent var 791.0694
Adjusted R-squared 0.863558 S.D. dependent var 864.0481
S.E. of regression 319.1630 Akaike info criterion 14.47372
Sum squared resid 1629841. Schwarz criterion 14.57265
Log likelihood -128.2635 F-statistic 108.5947
Durbin-Watson stat
0.530220 Prob(F-statistic)
0.000000
DEB
3 M2,
Dependent Variable: RE
Method: Least Squares
Date: 04/15/05
Sample: 1985 2002
Time: 22:08
Included observations: 18
Variable
Coefficient Std. Error t-Statistic Prob.
M2 0.135140 0.005541 24.39034 0.0000
C -327.0787 57.06037 -5.732152 0.0000
R-squared 0.793809 Mean dependent var 791.0694
Adjusted R-squared 0.792172 S.D. dependent var 864.0481
S.E. of regression 144.1389 Akaike info criterion 12.88387
Sum squared resid 332416.5 Schwarz criterion 12.98280
Log likelihood -113.9548 F-statistic 594.8889
Durbin-Watson stat
M2
1.200225 Prob(F-statistic)
0.000000
MM
M FDI, M
MM
M2,
Dependent Variable: RE
Method: Least Squares
Date: 04/15/05 Time: 22:18
Sample: 1985 2002
Included observations: 18
Variable
Coefficient Std. Error t-Statistic Prob.
MM -0.384974 0.084599 -4.550589
0.0003
M2 0.092339 0.005377 17.17300 0.0000
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222 2002012949
R-squared 0.965140 Mean dependent var 791.0694
Adjusted R-squared
0.962961 S.D. dependent var 864.0481
S.E. of regression 166.2906 Akaike info criterion 13.16979
Sum squared resid 442440.9 Schwarz criterion 13.26872
Log likelihood -116.5281 Durbin-Watson stat 1.129398
R-square 0.8 0.96,
DEB
Dependent Variable: RE
Method: Least Squares
Date: 04/16/05 Time: 10:54
Sample: 1985 2002
Included observations: 18
Variable
Coefficient Std. Error t-Statistic Prob.
MM -0.172616 0.124348 -1.388172 0.00 10
M2 0.125179 0.017047 7.343150 0.0000
DEB 0.073536 0.219674 -0.334752 0.0559
C -25.4493 125.2358 -1.640500 0.1232
R-squared 0.977086 Mean dependent var 791.0694
Adjusted R-squared
0.972176 S.D. dependent var 864.0481
S.E. of regression 144.1285 Akaike info criterion 12.97242
Sum squared resid 290822.2 Schwarz criterion 13.17028
Log likelihood -112.7518 F-statistic 198.9925
Durbin-Watson stat 1.058453 Prob(F-statistic)
0.000000
R-square 0.977, 0.972
D-W 1.803402,
R-Square 0972, 0.969
R-square F K=3, n=18, n-K-1=14; F0.05 (3, 14)= 3.86, F
F-statistic=198.9925 3.86, F 5%
R2=0
T MM ,M2, DEB
T
RE c a MM a M a DEB
t
= +
1 t
+
2 2t +
3 t
+ µ
t
t =1985,1986, 2002 (2)
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222 2002012949
8
White Heteroskedasticity Test:
F-statistic 11.29147 Probability
0.926
Obs*R-squared 15.48568 Probability 0.915
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/16/05 Time: 00:22
Sample: 1985 2002
Included observations: 18
Variable
Coefficient Std. Error t-Statistic Prob.
C -2152.575 13749.40 -0.156558
0.8784
M M -32.67200 11.73678 -2.783729 0.0178
M M^2 -0.067769 0.014059 -4.820284 0.0005
M2 13.85350 6.499171 2.131579 0.0564
M 2^2 -0.000201 0.000163 -1.229654 0.2445
DEB -6.707298 36.17641 -0.185405 0.8563
D EB^2 -0.038455 0.026274 -1.463601 0.1713
R-squar ed 0.860315 Mean dependent var 19262.63
Adjusted R-squared
0.784124 S.D. dependent var 20042.14
S.E. of regression 9312.079 Akaike info criterion 21.40131
Sum squared resid 9.54E+08 Schwarz criterion 21.74757
Log likelihood -185.6118 F-statistic 11.29147
Durbin-Watson stat 3.361290 Prob(F-statistic)
0.000377
P >0.9,
9
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 7.678787 Probability
0.327
Obs*R-squared 9.649161 Probability 0.287
Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 04/16/05 Time: 00:33
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic
Prob.
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222 2002012949
MM -0.037112 0.067478 -0.549993
0.5916
M2 0.001353 0.014880 0.090957 0.9289
DEB -0.017403 0.129551 -0.134330 0.8952
RE SID(-1)
0.957687 0.257253 3.722736 0.0026
RESID(-2) -0.818172 0.281238 -2.909186 0.0122
R-squ ared 0.536065 Mean dependent var -15.11732
Adjusted R-squared 0.393315 S.D. dependent var 141.9639
S.E. of regression 110.5757 Akaike info criterion 12.47941
Sum squared resid 158950.7 Schwarz criterion 12.72674
Log likelihood -107.3147 Durbin-Watson stat
2.774559
P
RE =−25.4493 − 0.172616MM + 0.125179m2 + 0.073536DEB
-1.64 (-1.388172) (7.343150) (-0.334752)
MM=M-0.9FDI
M
9 0% ,m2
M2
DEB
MM
Ms=h*H=h(F+D),
H F
D
h
D
F
m2
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