基于EEMD的消费者信心与居民杠杆率关系研究
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摘要
本文选取居民杠杆率与消费者信心指数两个宏观数据指标,采用EEMD方法对于波动幅度较大的消费者信心指数进行时频分解,从而研究居民部分负债水平与消费信心之间的关系。研究表明:目前我国所处的杠杆率阶段,居民杠杆率对消费者信心的"财富效应"大于"挤出效应",居民杠杆率的提升从中长期看有助于提振消费者信心;但由于客观因素限制,消费者信心这一主观意愿的变化对居民杠杆率的变动影响有限。
Selecting two macro data index like the household leverage ratio and consumer confidence index(CCI),the paper makes a time-frequency decomposition on CCI with a large fluctuation range by using Ensemble Empirical Mode Decomposition(EEMD) method so as to study the relationship between some residents' debt level and consumer confidence.The research shows that from the present stage of leverage ratio in China,the "wealth effect" of household leverage ratio on consumer confidence is greater than the "crowding out effect",and the improvement of household leverage ratio can help to boost consumer confidence in the medium and long term.However,due to the limitations of objective factors,the change of the consumer confidence will has limited impact on the change of household leverage ratio.
Selecting two macro data index like the household leverage ratio and consumer confidence index(CCI),the paper makes a time-frequency decomposition on CCI with a large fluctuation range by using Ensemble Empirical Mode Decomposition(EEMD) method so as to study the relationship between some residents' debt level and consumer confidence.The research shows that from the present stage of leverage ratio in China,the "wealth effect" of household leverage ratio on consumer confidence is greater than the "crowding out effect",and the improvement of household leverage ratio can help to boost consumer confidence in the medium and long term.However,due to the limitations of objective factors,the change of the consumer confidence will has limited impact on the change of household leverage ratio.
引文
[1]Atif Mian,Amir Sufi and Emil Verner,Household Debt and Business Cycles Worldwide[J].NBER Working Paper,2015,no.221:581.
[2]Mian,A.,K.Rao and A.Sufi,Household balance sheets,consumption and the economic slump[J].Quarterly Journal of Economics,2013,128(4):1687-1726.
[3]Tobin James.Asset Accumulation and Economic Activity:Reflections on Contemporary Macroeconomic Theory[M].oxford:Basil Black-well,1980.224-256.
[4]郭新华,周程程.消费者信心与房价对家庭借贷行为的影响分析[J].统计与决策,2014(01):99-101.
[5]何孝星,孙涛.经验模态分析的发展及其在经济分析中的应用[J].经济学动态,2014(07):32-37.
[6]何建敏,白洁.基于EEMD-VAR的余额宝收益率影响因素研究[J].现代财经-天津财经大学学报,2015(08):80-89.
[7]李合龙,冯春娥.基于EEMD的投资者情绪与股指波动的关系研究[J].系统工程理论与实践.2014(10):2495-2503.
[8]李成,郭哲宇,王瑞君.中国货币政策与股票市场溢出效应研究---基于VAR-GARCH-BEKK模型[J].北京理工大学学报.2014Vol.16No.4:83-91.
[9]王晓芳,王瑞君.总体经验模式分解视角下的PPI与CPI波动特征及传导关系研究[J].数量经济技术经济研究,2013,30(05):128-139.
[10]王瑞君.沪深股市结构特征及作用关系研究---基于EEMD和状态空间模型[J].北京理工大学学报.2013(01):46-53.
[11]王晓芳,张娥.人民币国际化背景下人民币汇率和港元汇率传导机制研究---基于集总平均经验模态分解、SVAR和状态空间模型的分析[J].世界经济研究.2015(10):13-22.
[12]周利,王聪.家庭债务与居民消费---来自家庭微观调查数据的证据[J].软科学,2018,32(03):33-37.
(1)2004年前居民杠杆率较低且数据不连续,因此本文主要研究了2004年以后的情况。
(2)一是整个序列的极值点个数与过零点个数必须相等或最多相差一个;二是在任意时间点上,由局部极大值点确定的上包络线和局部极小值点确定的小包络线的均值必须为0。
[2]Mian,A.,K.Rao and A.Sufi,Household balance sheets,consumption and the economic slump[J].Quarterly Journal of Economics,2013,128(4):1687-1726.
[3]Tobin James.Asset Accumulation and Economic Activity:Reflections on Contemporary Macroeconomic Theory[M].oxford:Basil Black-well,1980.224-256.
[4]郭新华,周程程.消费者信心与房价对家庭借贷行为的影响分析[J].统计与决策,2014(01):99-101.
[5]何孝星,孙涛.经验模态分析的发展及其在经济分析中的应用[J].经济学动态,2014(07):32-37.
[6]何建敏,白洁.基于EEMD-VAR的余额宝收益率影响因素研究[J].现代财经-天津财经大学学报,2015(08):80-89.
[7]李合龙,冯春娥.基于EEMD的投资者情绪与股指波动的关系研究[J].系统工程理论与实践.2014(10):2495-2503.
[8]李成,郭哲宇,王瑞君.中国货币政策与股票市场溢出效应研究---基于VAR-GARCH-BEKK模型[J].北京理工大学学报.2014Vol.16No.4:83-91.
[9]王晓芳,王瑞君.总体经验模式分解视角下的PPI与CPI波动特征及传导关系研究[J].数量经济技术经济研究,2013,30(05):128-139.
[10]王瑞君.沪深股市结构特征及作用关系研究---基于EEMD和状态空间模型[J].北京理工大学学报.2013(01):46-53.
[11]王晓芳,张娥.人民币国际化背景下人民币汇率和港元汇率传导机制研究---基于集总平均经验模态分解、SVAR和状态空间模型的分析[J].世界经济研究.2015(10):13-22.
[12]周利,王聪.家庭债务与居民消费---来自家庭微观调查数据的证据[J].软科学,2018,32(03):33-37.
(1)2004年前居民杠杆率较低且数据不连续,因此本文主要研究了2004年以后的情况。
(2)一是整个序列的极值点个数与过零点个数必须相等或最多相差一个;二是在任意时间点上,由局部极大值点确定的上包络线和局部极小值点确定的小包络线的均值必须为0。