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度量异常外汇资金规模的新统计模型及实证
  • ISSN号：1002-1566
  • 期刊名称：数理统计与管理
  • 时间：2013.9.9
  • 页码：804-813
  • 分类：F831[经济管理—金融学] O212[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]中国科学院数学与系统科学研究院,北京100190, [2]国家外汇管理局,北京100048, [3]中国人民大学商学院,北京100872
  • 相关基金：基金项目：本文研究得到国家外汇管理局跨境资金流动研究课题组的资助.其他资助项目：国家基础研究计划973项目（2007CB814902）;国家自然科学基金项目（71003100,10628104,10721101）;中国人民大学科学研究基金项目（2009030123）.
  • 相关项目：中国纳税评估指标体系研究
作者： 毛志杰|曹杰|朱奇|吴武清|樊鹏英|陈敏|
关键词： 跨境异常资金, 热钱, 商业银行买卖外汇, NDF, foreign exchange fund abnormalities, hot money, foreign exchange settlement and sales, NDF
中文摘要：

本文使用小波分析和协整分析建立了测算跨境异常外汇资金规模的新模型。提出的模型能够反映跨境异常资金净流入或流出，从而可以为有关政府部门的决策提供定量分析支持。本文使用商业银行买卖外汇变量建模，有别于以往研究。本文还通过对股市及房地产市场影响的分析，检验了模型的可靠性。

英文摘要：

This article uses the wavelet analysis and cointegration to establish the estimated size of cross- border abnormal new model of foreign exchange funds. The model can reflect the cross-border abnormal net capital inflow or outflow. The model is thus able to provide the relevant government departments quantitative analysis to support decision-making. In the model, the independent variable is the foreign exchange settlement and sales , different from the previous studies .Through the stock market and real estate market analysis of the impact, this paper tested the reliability of the model.

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期刊信息
  • 《数理统计与管理》
  • 北大核心期刊（2011版）
  • 主管单位:中国科协
  • 主办单位:中国现场统计研究会
  • 主编：程维虎
  • 地址：中国科学院应用教学所内
  • 邮编：100190
  • 邮箱：sltj@amt.ac.cn
  • 电话：010-62651341
  • 国际标准刊号：ISSN：1002-1566
  • 国内统一刊号：ISSN：11-2242/O1
  • 邮发代号:82-69
  • 获奖情况:
  • 国内外数据库收录:
  • 日本日本科学技术振兴机构数据库,中国中国人文社科核心期刊,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）,中国北大核心期刊（2000版）
  • 被引量:13661