Study on world oil price and real exchange rate with China s macro2economics

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1 : (2008) , (, ) :,, 6.,,,. :1) GDP, GDP ;2) ;3),,.,,. : ; ; ; ; (SVM) : F22410 ;F81212 : A Study on world oil price and real exchange rate with China s macro2economics YANGJian2hui, PAN Hong (School of Business Administration, South China University of Technology, Guangzhou ,China) Abstract : Recently, World Oil Prices is falling slightly from the highest period which has been maintaining for a long time ; Meanwhile, RMB still appreciates slowly although the exchange rate has been declined by 6 %. In order to detect the heavy influences on China s macro2economics, we discuss the relationships among World Oil Prices, RMB real exchange rate and macro2economics indexes. Based on the Co2integration Theory and Support Vector Machine Theory, we impose unit root test, vector error correction model and SVM for regression, and conclude that under these circumstance : 1) Both GDP and Total Retail Sales of Consumer Goods are scarcely influenced directly. However, the indirect effects acted on the increasing cost of manufacturing industry are highly obvious as a side2effect ; 2) Investment in Fixed Asset in China has been mounting up with an unreasonable high speed ; 3) Foreign Trades, especially export trades are seriously hindered, which include traffic and transportation industries and other fields which depend on petroleum as their raw materials and power sources. For these three conclusions, we carry out more analyzes and table an improved advice and proposal. Key words : world oil prices ; RMB real exchange rate ; macro2economics indexes ; co2integration theory ; support vector machine regression theory,, ,.,? ;, 2003, %,.? ;,?,. : : ( ),,,,, E2mail : edu. cn.

2 , Rumi Masih Abul M. M. Masih [1 ], GDP. 1998, R. A. Amano S. van Norden [2 ],,. 2001, Byung Rhae Lee Kiseok Lee Ronald A. Ratti [3 ] VAR, GDP,,,. 2002, [4 ], 15 %,. 2003, [ 5 ],. 2004, Jouko Rautava [6 ],., [7 ],. 2005, GDP. 2005, Rueda Marathe [8 ],, ;2006, [9 ],.,.,, GDP ;,, ;,, GDP., ,. 1). ADF. x t, ADF : x t = + t + ( - 1) x t i x t - i + i, t = 2,, T,, t, t, t. p, AIC SC, :max p = [12 ( TΠ100) 1Π4 ],[ A ] A. 2) : Y t = a 1 x 1 t + a 1 x 1 t + + a k x kt + t,, X t. ( ),. 3) (VECM) : y t = x t + vecm + t, y,

3 1 3 ( t - 1) vecm. 112 SMV,. Mercer,, ( Hilbert ),,,,,.. : 1) :. 2) RBF :,. 3) :. 4) : u 3. 5) : u 3. n K( x, y) = ( s ( x y) + r) d = s x i y i + r d, K( x, y) = e - g 3 n x - y ) i i ( 2, n K( x, y) = max(1 - u x i - y i,0), n K( x, y) = 1Π1 + u ( x i - y i ) 2, n K( x, y) = e - u x i - y i, SVM,,. Mercer, Mercer, Mercer, , : ( GDP), (SC), ( IP), (FDI), ( EX) (OIL). :1) GDP, 2004 ;2) (http :ΠΠwww. china. org. cn) ;3) (http :ΠΠzhs. mofcom. gov. cn) ;4), CPI, CPI (http :ΠΠwww. dol. gov),, 100 ;5) (http :ΠΠwww. eia. doe. gov). Eviews510,,

4 ,GDP, X212ARIMA, ADF (Augmented Dickey2Fuller) KPSS ( Kwiatkowski2Phillip2Schmidt2 Shin) [10 ].,ADF, KPSS. : ADF,, ; KPSS,,. 214 VAR, Johansen.,VAR, F, AIC SC, VAR 1,.,,..,.,,,,. 1) GDP, GDP : CointEq1 = LOIL LGDP SA [ ] LOIL = CointEq LOIL t LGDP SA t - 1 [ ] [ ] [ ] : GDP,., : CointEq2 = LOIL LGDP SA LIP SA LFDI SA TREND VECM [ ] [ ] [ ] [ ] T, : ; ;, GDP. :, GDP,, GDP, GDP ;, GDP,, GDP,.,. 1 ADF KPSS LOIL LGDP SA LIP SA LFDI SA LEX LSC LOIL LGDP SA LIP SA LFDI SA LEX LSC :ADF % 5 % 1 %, KPSS ; KPSS : % 5 % 1 % ,

5 1 5 1,,. :,,,,. 2),, :, :., : CointEq3 = LEX LSC LIP SA LFDI SA TREND VECM [ ] [ ] [ ] [ ] T, : (11131) ; ( ) ;,. :,,,,,,..,,,

6 ,. 3) GDP, ;,.,,, , : CointEq4 = LOIL LI SA LP SA TREND VECM [ ] [ ] [ ] (5178), ( ),.,. T : LP SA t = CointEq LI SA t LP SA t [ ] [ ] [ ],,,,. 312, : CointEq5 = LEX LI SA LP SA TREND VECM [ ] [ ] [ ] (0167), ( ),. T : LP SA t = CointEq LI SA t [ ] [ ],, ;,. 313,.,,. : 5 ( : ), , 106 ; CMSVM110, Windows,. 1),,., : x ij = x ij Πx max j., SVM, ( ), 100, 60, 20, 20., 2.

7 1 7 2 SVM C( ) g( ) W( ) ( ) (10) (4) (9) (3) ), : C = 100 ; w = 1 ; g = 9 ;epsilon :loss = ; :3086 ; : = SVM, 3., 3 SVM SVM ,. 4,, ,.,,,,.,,. [5 ] [7 ] [9 ],,. 412 GDP,,,, GDP.,,,.,,,. 413,..,,,

8 ,,,,. 414,,.,,,,. 415,,.,.,,,, ;. : [ 1 ] Rumi Masih,Abul M. M. Masih. Macroeconomic activity dynamics and granger causality : New evidence from a small developing economy based on a vector error2correction [J ]. Economic Modelling,1996,13 : [ 2 ] Amano R A,Norden S. Oil prices and the rise and fall of the US real exchange rate [J ]. Journal of International Money and Finance,1998,17 : [ 3 ] Byung Rhae Lee, Kiseok Lee, Ronald A. Ratti. Monetary policy, oil price shocks, and the Japanese economy[j ]. Japan and the World Economy,2001,13 : [ 4 ],,. [J ].,2003,11 : He Xinhua, Wu Haiying, Liu Shiguo. The effects on China s macro2economics through adjusted RMB exchange rate [J ]. World Economy,2003,11 : [ 5 ]. [J ].,2003,7 : Li Haibo. The relationship between RMB real exchange rate and foreign trade in China [J ]. World Economy Study,2003,7 : [ 6 ] Jouko Rautava. The role of oil prices and the real exchange rate in Russia s economy2a cointegration approach[j ]. Journal of Comparative Economics,2004,32(2) : [ 7 ],. [J ].,2004,12 : Yu Weirong, Hu Hai ou. The impact of oil shock on U. S and China s real exchange rates [J ]. Studies of International Finance, 2004,12 : [ 8 ] Ismael E. Arciniegas Rueda, Achla Marathe. Important variables in explaining real2time peak price in the independent power market of ontario [J ]. Utilities Policy,2005,13 : [ 9 ],. [J ].,2006,7 : Xiao Zhi,Chen Tingting. The forecast method for foreign trade exports based on SVM [J ]. Science and Technology Management Research,2006,7 : [10 ] Jouko Rautava. The role of oil prices and the real exchange rate in Russia s economy2a cointegration approach [J ]. Journal of Comparative Economics,2004,32 :

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