产业间投入产出关联的波动耗散理论
Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations
摘要：
在本研究中，通过运用波动耗散理论，对日本的工业生产指数（IIP）数据进行分析，从宏观上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，消除了由于时间序列数据的有限性而产生的统计噪声，从而检测出两个主要的特征模。我们之前的研究成功地使用这两种模式来证明内在商业周期的存在。在这里，一个相关矩阵从两种模式构建描述真正的产业间的相关性在统计上有意义的方式。此外，它使我们能够定量地讨论之间的关系，最终需求的货物和生产的中间产品的线性响应框架。我们还调查了当前全球经济危机对日本经济施加的独特外部刺激。这些刺激因素是从国际投资头寸的移动平均波动减去固有商业周期产生的长期成分后的剩余部分得出的。观察表明，波动耗散理论是适用于一个经济系统，应该是远离物理平衡。
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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