A Relevance Study of Economic Time Series Data

Lei Han (), Wei Cui () and Wei Zhang ()
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Lei Han: China University of Geosciences
Wei Cui: China University of Geosciences
Wei Zhang: Digital China Group Co. Ltd

A chapter in LISS 2020, 2021, pp 405-417 from Springer

Abstract: Abstract Time series research has always been an important field in economics, finance and management. Econometrics and time series data mining are important means of time series research. This paper starting from the research on the correlation of macroeconomic data, studies the lag of macroeconomic variables and process of long-term equilibrium and short-term volatility from the perspectives of time series data mining and econometrics. Taking CPI index (CPI), money supply (M2) and total investment in fixed asset (INV) as examples to exam the above hypothesis, the result shows that there is a lag effect between CPI, M2 and INV, and there is a long-term equilibrium relationship.

Keywords: CPI index; Money supply; Total investment in fixed asset; Lag; Long-term equilibrium; Short-term volatility (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-33-4359-7_29

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DOI: 10.1007/978-981-33-4359-7_29

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