中国进出口贸易市场的混沌特性分析

A Chaos Analysis of the Import and Export Trade Markets in China

对于经济管理系统混沌的检验,主要体现在证券、期货和外汇市场,由于其他经济领域序列数据的匮乏,传统混沌分析方法的应用受到了限制。本文采用最新的基于小数据样本的临近返回检验,研究中国进出口贸易1989年1月到2003年5月的月度数据序列,发现了混沌的拓扑特征;进一步应用小数据量方法计算最大Lyapunov指数,数值结果同样证实中国进出口贸易市场存在低维混沌,从而佐证了国际贸易市场混沌的存在;实证结果为国际贸易系统模型的建立和预测提供了新的理论依据。

The tests on chaos in the economy system are mainly focused on the stock, futures and exchange rates markets. For lack of the data in other economic fields, traditional methods of chaos analysis are under restriction. In this paper we examine the monthly data series of the import and export trade in China from Jan. 1989 to May 2003 by using the close returns test and find characteristics of chaos. Further a practical approach from small data sets is applied to calculating the largest Lyapunov exponents. The empirical results indicate that the low dimension chaos are presented in the trade markets and provide the new basis of theory for constructing models of international trade system and forecasting the development of trade markets.