产业间投入产出波动耗散理论 相关性

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摘要翻译：
本文将波动耗散理论应用于日本工业生产指数数据，从宏观层面揭示产业间的投入产出关系。利用随机矩阵理论对相关矩阵进行特征值分析，仔细地消除了由于时间序列数据的有限性而产生的统计噪声；结果，检测到两个主要的本征模。我们以前的研究成功地利用这两种模式来证明内在经济周期的存在。这里，从这两种模式构建的相关矩阵以统计意义的方式描述了真正的产业间相关。进一步，它使我们能够在线性响应框架中定量地讨论最终需求商品的出货量与中间商品生产之间的关系。我们还研究了当前全球经济危机对日本经济的独特外部刺激。这些刺激来自于国际投资头寸移动平均波动减去固有商业周期所产生的长期成分后的残差。观测结果表明，涨落耗散理论适用于远离物理平衡的经济系统。
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英文标题：
《Fluctuation-Dissipation Theory of Input-Output Interindustrial
  Correlations》
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作者：
Hiroshi Iyetomi, Yasuhiro Nakayama, Hideaki Aoyama, Yoshi Fujiwara,
  Yuichi Ikeda, Wataru Souma
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--

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英文摘要：
  In this study, the fluctuation-dissipation theory is invoked to shed light on input-output interindustrial relations at a macroscopic level by its application to IIP (indices of industrial production) data for Japan. Statistical noise arising from finiteness of the time series data is carefully removed by making use of the random matrix theory in an eigenvalue analysis of the correlation matrix; as a result, two dominant eigenmodes are detected. Our previous study successfully used these two modes to demonstrate the existence of intrinsic business cycles. Here a correlation matrix constructed from the two modes describes genuine interindustrial correlations in a statistically meaningful way. Further it enables us to quantitatively discuss the relationship between shipments of final demand goods and production of intermediate goods in a linear response framework. We also investigate distinctive external stimuli for the Japanese economy exerted by the current global economic crisis. These stimuli are derived from residuals of moving average fluctuations of the IIP remaining after subtracting the long-period components arising from inherent business cycles. The observation reveals that the fluctuation-dissipation theory is applicable to an economic system that is supposed to be far from physical equilibrium.
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PDF链接：
https://arxiv.org/pdf/0912.1985

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关键词：投入产出 耗散理论 入产出 相关性 Quantitative fluctuation 波动 有限性 dissipation 日本