2008 1 1 :100026788 (2008) 0120001208, (, 510640) :,, 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 510640,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,, 23145 06 8 78140.,.,? ;, 2003, 2005 7 26 2 %,.? ;,?,. :2006208231 : (1960 - ),,,,, E2mail : bmjhyang @scut. edu. cn.
2 2008 1 0. 1996, 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.,. 1 111,. 1). ADF. x t, ADF : x t = + t + ( - 1) x t - 1 + 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 = 0 + 1 x t + vecm + t, y,
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,. 2 211, 2001 1 2006 9 69. : ( 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 2008 1 212.,GDP, X212ARIMA, 1. 213 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 - 1. 54LGDP SA + 3. 72 [ - 10. 8144 ] LOIL = - 0. 22 CointEq1 + 0. 12 LOIL t - 1 + 0. 063 LGDP SA t - 1 [ - 3. 03538 ] [0199112 ] [0. 15238 ] : GDP,., : CointEq2 = LOIL + 5. 16LGDP SA + 14. 55LIP SA - 25. 27LFDI SA + 0. 09TREND + 8. 53 + VECM [0. 78595 ] [2. 60711 ] [ - 5. 77866 ] [1. 42555 ] T, : ; ;, GDP. :, GDP,, GDP, GDP ;, GDP,, GDP,.,. 1 ADF KPSS LOIL - 0. 497881 1. 001541 LGDP SA - 1. 403039 1. 016393 LIP SA 0. 202423 1. 077144 LFDI SA - 1. 443561 1. 098410 LEX - 1. 072209 0. 555833 3 LSC - 1. 840521 0. 810045 LOIL - 7. 713379 3 3 3 0. 147979 3 3 3 LGDP SA - 2. 799850 3 0. 428041 3 3 LIP SA - 16. 34705 3 3 3 0. 196710 3 3 3 LFDI SA - 7. 708097 3 3 3 0. 282630 3 3 3 LEX - 6. 487785 3 3 3 0. 087417 3 3 3 LSC - 11. 13077 3 3 3 0. 084574 3 3 3 :ADF 3 3 3 3 3 3 10 % 5 % 1 %, KPSS ; KPSS : 05 06 10 % 5 % 1 % 01739000 01463000 01347000.,
1 5 1,,. :,,,,. 2),, :, :., : CointEq3 = LEX + 1. 47LSC + 4. 99LIP SA - 11. 31LFDI SA + 0. 06TREND + 12. 64 + VECM [1. 19517 ] [ - 6. 06138 ] [2. 07536 ] [2. 38493 ] T, : (11131) ; ( - 4199) ;,. :,,,,,,..,,,
6 2008 1,. 3) GDP, ;,.,,,. 3 311, : CointEq4 = LOIL - 5. 78LI SA + 11. 56LP SA - 0. 07TREND - 20. 57 + VECM [ - 3. 64031 ] [4. 32870 ] [ - 4. 30614 ] (5178), ( - 11156),.,. T : LP SA t = - 0. 045CointEq2-0. 11 LI SA t - 1-0. 28 LP SA t - 1 + 0. 01 [ - 4. 57112 ] [ - 1. 51641 ] [ - 2. 51585 ],,,,. 312, : CointEq5 = LEX - 0. 67LI SA + 1. 84LP SA - 0. 01TREND - 4. 79 + VECM [ - 3. 36016 ] [5. 42750 ] [ - 6. 04521 ] (0167), ( - 1184),. T : LP SA t = - 0. 36CointEq5-0. 099LI SA t - 1 + 0. 01 [ - 5. 27610 ] [ - 1. 40047 ],, ;,. 313,.,,. : 5 ( : ), 1998 1 2006 10, 106 ; CMSVM110, Windows,. 1),,., : x ij = x ij Πx max j., SVM, (2006 5 2006 10 ), 100, 60, 20, 20., 2.
1 7 2 SVM C( ) g( ) W( ) ( ) 1 10 0. 5 0. 1 19 (10) 0. 9197 3. 3400 2 100 0. 1 0. 5 17 (4) 0. 9576 2. 3710 3 10 0. 01 1 14 (9) 0. 9208 3. 3870 4 100 0. 01 1 14 (3) 0. 9587 2. 3329 4. 2), : C = 100 ; w = 1 ; g = 9 ;epsilon :loss = 11164191 ; :3086 ; : = 1138574. SVM, 3., 3 SVM SVM 2006. 05 63. 61 65. 0 2006. 06 64. 43 63. 8 2006. 07 66. 80 68. 4 2006. 08 68. 44 68. 9 2006. 09 59. 03 59. 3 2006. 10 53. 53 54. 0.,. 4,,. 411 2005 7,.,,,,.,,. [5 ] [7 ] [9 ],,. 412 GDP,,,, GDP.,,,.,,,. 413,..,,,
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