中国市场化利率与股价指数建模预测分析

A Forecasting Analysis of Model Building for Interest Rate of Marketing and Share Index in China

采用经济计量学中ARX模型,研究了1993年1季度～2002年4季度间市场化利率与股价指数的正反馈模型,在每个观测点处的预测精度高达10-11以上。同时,在相同时期内还给出季度间市场化利率与股价指数的负反馈模型,在每个观测点处的预测精度高达10-10以上。可见,模型拟合效果相当好,完全可应用于实际的预测。这为利用季度市场化利率(股价指数)数据获取较为准确的股价指数(市场化利率)预测数据提供了新的思路和方法。

The author adopts the ARX model in econometrics to study the positive feedback models, in which advantage of share index per quarter to forecast data of interest rate of marketing at the same time between 1993:1Q and 2002:4Q is taken.The precision of forecasting is so high as to surpass 10~-11 at per observation point. At the same time,the author also gives the negative feedback models at the same period which the advantage of the data of interest rate of marketing per quarter to forecast share index per quarter is taken. The precision of forecasting is so high as to surpass 10~-11.Therefore, the fitted effectiveness of models is very good and they totally would be applied to forecast. The models provide a new way of thinking and path for us to make use of the data of quarter interest rate of marketing (share index) to acquire the precision data of share index (interest rate of marketing) that is forecasted.