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4662新一轮全球朱格拉周期的判定已得到国际范围的认可，种种迹象表明中国正处于新一轮朱格拉周期的早期。文章基于2006年1月至2018年12月的月度数据，对中国朱格拉周期和设备制造业股价波动周期之间的关联性进行了研究。实证结果显示，中国朱格拉周期和设备制造业股价波动周期的整体相关系数为0.6352，说明两个周期之间存在很强的相关关系；设备制造业股价波动周期领先于朱格拉周期约3-6个月，体现了股票市场是宏观经济晴雨表这一重要功能；结合奇异谱分析方法和自回归方法构建的预测模型能较准确地预测两个周期的未来走势。文章证实了中国经济周期与股票市场波动之间的密切关系，对股票市场投资者优化投资策略和政府部门制定宏观调控政策均有重要的参考价值。
中国朱格拉周期与股价波动关联性研究——基于奇异谱的设备制造业分析
摘要
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引用本文
尹筑嘉, 胡荟, 唐谭岭. 中国朱格拉周期与股价波动关联性研究——基于奇异谱的设备制造业分析[J]. 上海财经大学学报, 2019, 21(6): 18-34.
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