摘要
厂商存货调整会对一国经济波动,特别是短期经济波动产生重要的影响。以制造业上市公司为样本研究对象,通过H-P滤波将存货等变量进一步分解成趋势项和周期项,研究存货等变量周期项的波动性、相关性和周期性等特征,发现以绝对量衡量的存货投资与营业收入在当期存在较显著的正相关,而以相对值衡量的存货占比与营业收入环比增速则在短期存在明显的负相关。对存货等变量周期项进行分析表明,存货投资、营业收入和存货占比都存在一个长度约9个季度的主周期。最后对2008年以来各季度厂商存货调整和营业收入变动的关系进行了分析。
Firm inventory adjustment behavior will cause fluctuations in the economy of a country, especially in the short -term economic fluctuations. This paper takes listed manufacturing companies as samples and breaks in- ventory and other variables down into trend items and periodic items by H - P filter. Thereafter, volatility, correla- tion and periodicity of those periodic items are carefully studied, and some conclusions come to us： there is a sig- nificant positive correlation between inventory investment and operation revenue, but a significant negative correla- tion in the short term between inventory ratio and operation revenue growth rate on a quarter - on - quarter basis. As a necessary complement, spectral analysis is also carried out; the results show that periodic items of inventory investment, operation revenue and inventory ratio all have a primary cycle with a length of about nine quarters. Fi- nally, the relationship of variable changes in each quarter since 2008 are described and analyzed.
出处
《经济问题》
CSSCI
北大核心
2014年第3期76-82,共7页
On Economic Problems
关键词
存货
相关性
谱密度
周期变动
inventory
correlation
spectral analysis
cycle
