作　　者： (尹筑嘉）; ;

机构地区： 长沙理工大学经济与管理学院

出　　处： 《上海财经大学学报（哲学社会科学版）》 2019年第6期18-34,共17页

摘　　要： 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顿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。 The judgment of the new round of the global Juglar cycle has been recognized internationally,and there are indications that China is in the early stage of the new round of the Juglar cycle. Based on monthly data from January 2006 to December 2018,this paper studies the correlation between the Juglar cycle and the stock price fluctuation cycle of equipment manufacturing industry in China. Firstly,according to the characteristics of the Juglar cycle and the stock price fluctuation cycle of equipment manufacturing industry,9 indicators are respectively selected from macro level,industry level and micro level to construct the comprehensive index of the Juglar cycle,and 9 representative secondary industry stock price indexes in the Shenyin Wanguo industry classification are compiled into the comprehensive index of the equipment manufacturing stock price fluctuation cycle. Secondly,the entropy method is used to calculate the scores of the two periods. Then,periodic characteristics and periodic fluctuation relations are studied by using the singular spectrum analysis method from the perspective of the combination of time and frequency domains. It is found that the first and second decomposition sequences of the Juglar cycle are periodic items,and the first,second,third,fourth,and eleventh decomposition sequences of the equipment manufacturing stock price fluctuation cycle are periodic items,and by means of the diagonal averaging,the periodic sequence of the Juglar cycle and the equipment manufacturing stock price fluctuation cycle are obtained;then,according to the periodic sequence of the Juglar cycle and the equipment manufacturing stock price fluctuation cycle,the overall correlation coefficient of these two periods is 0.6352,which indicates that there is a strong correlation between the two cycles;moreover,after combining the two periodic fluctuation graphs,it is found that the stock price fluctuation cycle of equipment manufacturing industry is ahead of the Juglar cycle for about 3-6 months,which indicates that the

关 键 词： 朱格拉周期 设备制造业 奇异谱分析 投资策略

领　　域： [经济管理—金融学]