Modelling and forecasting the money demand in China: Cointegration and non-linear analysis

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	Modelling and forecasting the money demand in China: Cointegration and non-linear analysis
	Deng, SH ; Liu, B
	1999
发表期刊	ANNALS OF OPERATIONS RESEARCH
ISSN	0254-5330
卷号	87 页码:177-189
摘要	This paper deals with the demand for money, including narrow money (M-1) and broad money (M-2) in China. We use the cointegration and error-correction model to formulate the function of money demand and merge the short-run and long-run equations to give forecasts over different horizons. In particular, we combine very simple artificial neural networks (ANNs) with the cointegration and error-correction model to give a nonlinear model. These models are quarterly models, sampled from the first quarter of 1980 to the fourth quater of 1994, and the multi-step forecasts are from the first quarter of 1990 to the fourth quarter of 1994. Both the fitted values and predictive values for M-1 and M-2 are satisfactory. Finally, we give forecasts for M-2 from the first quarter of 1995 to the second quarter of 1996.
关键词	demand for money cointegration and error-correction artificial neural networks
语种	英语
WOS研究方向	Operations Research & Management Science
WOS类目	Operations Research & Management Science
WOS记录号	WOS:000080349200013
出版者	BALTZER SCI PUBL BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/14313
专题	中国科学院数学与系统科学研究院
通讯作者	Deng, SH
作者单位	1.Acad Sinica, Inst Syst Sci, Beijing 100080, Peoples R China 2.Peoples Bank China, Beijing 100800, Peoples R China
推荐引用方式 GB/T 7714	Deng, SH,Liu, B. Modelling and forecasting the money demand in China: Cointegration and non-linear analysis[J]. ANNALS OF OPERATIONS RESEARCH,1999,87:177-189.
APA	Deng, SH,&Liu, B.(1999).Modelling and forecasting the money demand in China: Cointegration and non-linear analysis.ANNALS OF OPERATIONS RESEARCH,87,177-189.
MLA	Deng, SH,et al."Modelling and forecasting the money demand in China: Cointegration and non-linear analysis".ANNALS OF OPERATIONS RESEARCH 87(1999):177-189.