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Research On Long Memory Process Of China’s Consumer Credit Based On The ARFIMA Model

Posted on:2014-02-13Degree:MasterType:Thesis
Country:ChinaCandidate:P LiFull Text:PDF
GTID:2249330395994622Subject:Credit economy and management
Abstract/Summary:PDF Full Text Request
Since China adopted the reform and opening-up, the national economy hasmaintained a sustained and rapid development, but the situation of investment-driveneconomic growth has never been reversed thoroughly, which brings the bubbleeconomy always existing. In the current grim international economic situation, inorder to keep ours economy being rapid and healthy growth, it must be playing therole of consumption to drive economic growth, because only the final consumer is areal growth. China’s loan balance ranks second in Asia, among them the proportion ofconsumer credit is still on the rise, but the overall rate was still lower than thedeveloped countries, clearly the consumer credit enjoy a huge space for developmentin china. Since the Eighteenth National People’s Congress, economic policy hasbecome from the steady and rapid growth into a sustained and healthy growth,consumer credit as a strong macro-control measure to stimulate demand, acceleratethe circulation of commodities, receives more and more attention. Meanwhile thedevelopment of consumer credit, including the characteristics, direction and trends,are closely related to the national economy development, therefore it is of greatsignificance to study the development law of consumer credit and deeply research thetime series characteristics of consumer credit.This article, based on the ARFIMA mode, the current economic situation both athome and abroad as the background, the long memory characteristics of consumercredit as the research object, we have systematically investigated and then evaluatedthe serial correlation of consumer credit. On the one hand, we elaborated the western classical consumption theory which is the theoretical basis for the consumer creditdeveloping, and then according to this theory analyzed the background andachievements of the researches towards consumer credit thoroughly, as well assummarized the current situation of the consumer credit development, finally weobtained the development of china’s consumer credit has affects on themacro-economic. On the other hand, by the inspection results based on the VARmode towards the affects of consumer credit on the macro-economic, we can find outconsumer credit plays a significant role in promoting economic growth, but this kindof analytic method can not contain the long memory of consumer credit sequence,ignoring the long-term correlation between sequences, so it apparently exists someinadequacies. In order to deeply study the long-term correlation of consumer creditsequence, based on the theories of long memory model, we operated an empiricalstudy with the monthly increase in domestic consumer credit from January2007toDecember2012as samples, it is concretely divided into three parts: first, to thestationary test of sequence, using a joint inspection of the KPSS, PP inspection act;second, to the long memory test, using R/S analysis method, calculation the Hurstexponents, discrimination sequence of long memory characteristics; third, to thesimulation and estimates of long memory, using ARFIMA models method with theARFIMA (0, d,1) as fixed-order model, by estimating the parameter d, determinationthe correlation characteristics of time series of consumer credit. Finally, according toanalyze results of the above processes, examining whether the sequence of consumercredit is a fractional integration process, and whether the consumer credit exist along-term stability, namely a long memory.According to the empirical analysis, we can get a conclusion: China’s consumercredit time series has apparent long memory characteristics. It can’t be ignored thatthis long memory characteristics has major impacts not only on the macro-economicregulation and control but also on the micro-economic individuals, therefore, researches not only towards the correlation between consumer credit and time series,but also towards the applications of consumer credit long memory, should bestrengthened in the future.
Keywords/Search Tags:consumer credit, long memory, ARFIMA model
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