| 基于动态线性模型的中国狭义货币需求及缺口的贝叶斯估计 |
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| 引用本文： | 朱宗元,穆良平,史代敏.基于动态线性模型的中国狭义货币需求及缺口的贝叶斯估计[J].数理统计与管理,2013,32(2):323-331. |
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| 作者姓名： | 朱宗元 穆良平 史代敏 |
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| 作者单位： | 1. 西南财经大学统计学院,四川成都,610074
2. 西南财经大学经济学院,四川成都,610074 |
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| 基金项目： | 国家自然科学基金项目(71171166);教育部人文社会科学研究项目(09XJA910001)资助 |
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| 摘 要： | 本文应用动态线性模型研究我国的狭义货币需求,利用贝叶斯吉布斯抽样方法估计模型的参数和方差,获得了潜在货币需求趋势和货币缺口,对我国的货币供给进行分析并获得一些有益结论,对于央行更好地实施货币管理,保持经济平稳发展有积极意义。
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| 关 键 词： | 货币需求 货币缺口 贝叶斯吉布斯抽样 动态线性模型 |
Estimation of Narrow Money Demand and Gap in China based on Bayesian Dynamic Linear Model |
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| ZHU Zong-yuan,MU Liang-ping,SHI Dai-min.Estimation of Narrow Money Demand and Gap in China based on Bayesian Dynamic Linear Model[J].Application of Statistics and Management,2013,32(2):323-331. |
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| Authors: | ZHU Zong-yuan MU Liang-ping SHI Dai-min |
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| Institution: | 1 (1.Statistics College,Southwestern University of Finance and Economics,Sichuan Chengdu 610074, China,2.School of Economic,Southwestern University of Finance and Economics,Sichuan Chengdu 610074,China) |
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| Abstract: | In this paper,we apply the dynamic linear model to research narrow money demand in China.Bayesian Gibbs sampling method is used to estimate unknown model parameters and variances. After obtained and analysised potential monetary demand trend and gap,we got some useful conclusion, which is valuable for better implementation of central bank monetary management and maintaining stable economic development. |
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| Keywords: | money demand money gap Bayesian Gibbs sampler dynamic linear model |
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