基于ARIMA模型的我国广义货币供应量变动规律研究

Research on the Variety Regulation of General Money Supply of China Based on ARIMA Model

货币供给对我国货币政策运行乃至整个宏观经济调控具有重要意义,广义货币供应量的规模及其变化趋势直接影响到中央银行货币政策的执行效果。本文运用ARIMA模型,对1996年1月至2012年1月期间我国广义货币供应量的变动规律进行研究,并运用模型对给定样本期内的M2值进行了预测,结果表明本文建立的ARIMA模型具有良好的预测精度。

Money supply is of important significance to monetary policy operation and even the whole macro economic regulation of China. The scale of general money supply and its variety trend have direct influence on the execution effect of central bank＇ monetary policy. Using ARIMA model, this paper makes a research on the variety regulation of general money supply of China between Jail 1996 and Jan 2012 and forecasts M2 for the given sample period. The result indicates that ARIMA model used in this paper has excellent forecast precision.