Modelling and forecasting the money demand in China: Cointegration and non-linear analysis
文献类型：期刊论文
| 作者 | Deng, SH; Liu, B |
| 刊名 | ANNALS OF OPERATIONS RESEARCH
 |
| 出版日期 | 1999 |
| 卷号 | 87页码:177-189 |
| 关键词 | demand for money cointegration and error-correction artificial neural networks |
| ISSN号 | 0254-5330 |
| 英文摘要 | This paper deals with the demand for money, including narrow money (M-1) and broad money (M-2) in China. We use the cointegration and error-correction model to formulate the function of money demand and merge the short-run and long-run equations to give forecasts over different horizons. In particular, we combine very simple artificial neural networks (ANNs) with the cointegration and error-correction model to give a nonlinear model. These models are quarterly models, sampled from the first quarter of 1980 to the fourth quater of 1994, and the multi-step forecasts are from the first quarter of 1990 to the fourth quarter of 1994. Both the fitted values and predictive values for M-1 and M-2 are satisfactory. Finally, we give forecasts for M-2 from the first quarter of 1995 to the second quarter of 1996. |
| WOS研究方向 | Operations Research & Management Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000080349200013 |
| 出版者 | BALTZER SCI PUBL BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/14312]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Deng, SH |
| 作者单位 | 1.Acad Sinica, Inst Syst Sci, Beijing 100080, Peoples R China 2.Peoples Bank China, Beijing 100800, Peoples R China |
| 推荐引用方式 GB/T 7714 | Deng, SH,Liu, B. Modelling and forecasting the money demand in China: Cointegration and non-linear analysis[J]. ANNALS OF OPERATIONS RESEARCH,1999,87:177-189. |
| APA | Deng, SH,&Liu, B.(1999).Modelling and forecasting the money demand in China: Cointegration and non-linear analysis.ANNALS OF OPERATIONS RESEARCH,87,177-189. |
| MLA | Deng, SH,et al."Modelling and forecasting the money demand in China: Cointegration and non-linear analysis".ANNALS OF OPERATIONS RESEARCH 87(1999):177-189. |
入库方式： OAI收割
来源：数学与系统科学研究院
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