Statistical Modeling of J-effect and Policy Experiments

Acta Scientiarum Naturalium Universitatis Pekinensis

Statistical Modeling of J-effect and Policy Experiments

XIE Zhongjie¹, LIU Yali¹, IP Wai-Cheung², WONG Heung²

¹Dept.of Finan.Math. and Dept.of Prob. & Statist., Peking University, Beijing, 100871; ²Dept.of Appl.Math., The Hong Kong Polytechnic University

Received:1999-08-30 Online:2000-01-20 Published:2000-01-20

关于J-效应的时间序列分析及其政策性实验

谢衷洁¹, 刘亚利¹, 叶伟彰², 黄香²

¹北京大学金融数学系与概率统计学系，北京，100871; ²香港理工大学应用数学系

Abstract

Abstract: The main purpose of this paper is to investigate the statistical analysis of J-effect in trade balance of Mexico in 1989-1995. Sparse coefficients modeling has been successfully introduced for the model construction of J-effect. Based on the model, the recovery period index is easy to define and the policy experiment also may be carried out by orthogonal experiment design. The results show that the devaluation of Pesos and the short interest rate are over adjusted but the economic and financial policy during that period were basically correct. Finally, J-effects between Mexico and Japan are compared, it seems that the recovery period of developing countries will be longer than the industry countries.

Key words: J-effect, international trade balance, sparse coefficients modeling

关键词: J-效应, 汇率, 稀疏系数模型

CLC Number:

O211.64
F740

XIE Zhongjie,LIU Yali,IP Wai-Cheung,WONG Heung. Statistical Modeling of J-effect and Policy Experiments[J]. Acta Scientiarum Naturalium Universitatis Pekinensis.

谢衷洁, 刘亚利, 叶伟彰, 黄香. 关于J-效应的时间序列分析及其政策性实验[J]. 北京大学学报（自然科学版）.

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