基于SVAR模型的上证指数收益率与成交量的相关性研究.pdf

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5ēࣁವaሧЧ൧ӆč8000ሳĎࠎႿSVARଆ྘֥ഈᆣᆷඔ൬ၭੱაӮࢌਈ֥ཌྷܱྟ࿹࣮ ๰Ւᇆ ӧဉ໳č޿౅ն࿐ඔਈࣜ࠶࿹࣮ჽđڞࡹ ಅᇜ ĎᅋေğЧ໓ᄎႨ47"3ଆ྘ؓഈᆣӮٺᆷඔ൬ၭੱაӮࢌਈᆭࡗ֥ཌྷܱྟࣉྛ࿹࣮đ֤ԛ๝௹֥Ӯࢌਈაܢௐࡎ۬ᆭࡗ֥႕ཙb๝ൈࣉ၂҄ඪૼӮٺᆷඔ൬ၭੱაӮࢌਈ൞၂۱ᆜุ֥༢๤đھ༢๤ଽ҆թᄝሢཌྷ޺ᇅჿ֥ၹ෍টቅᆸ൬ၭੱࠇӮࢌਈ҂؎Ӕ๝ଖ၂۱ٚཟؿᅚ֥౴൝bቋުᄝؓھ༢๤ቓઝԊཙႋٳ༅ൈؿགྷđ֒༢๤൳֞൬ၭੱބӮࢌਈٚ૫֥Ԋࠌൈđᆃ၂༢๤ႵॆࠌຓটԊࠌ֥ۿିđ൬ၭੱაӮࢌਈ׻ၛ၂۱ࢠູ௜໗֥ٚൔ҂؎ֹ࿼࿃༯ಀbܱ࡯Սğ൬ၭੱĠӮࢌਈĠ47"3 Correlation Analysis between Return Rate and Volume of Sales of the Shanghai Stock Exchange Index Based on SVAR modelAbstract:This paper applies SVAR model to study the correlations between the return rate and the volume of sales of the Shanghai Stock Exchange Index, reflecting the corresponding effects between the volume of sales and stock prices of the same period. The return rate and the volume of sales of Shanghai Stock Exchange Index is an integrated system, the interior of which exists an inter-restrictive factor to prevent the return rate or the volume of sales continuously develop towards the same direction. The impulse response analysis of the system finds that the system has the function to resist the exterior impact when it suffers from the impulse from the return rate and volume of sales, and the return rate and volume of sales continuously proceedby a relatively stationary : return rate; volume of sales; vector autoregressive model; structural vector autoregressive modelࠎࣁཛଢğۚ֩࿐཮Ѱൖׄ࿐॓ህཛ॓࿹ࠎࣁč20050385001Ďa2007୍؇“ڞࡹസۚ֩࿐཮ྍൗࡀႪྮದҌᆦӻ࠹߃”č07FJRC07Ďቔᆀࡥࢺğ๰Ւᇆđ޿౅ն࿐അ࿐ჽඔਈࣜ࠶࿐ህြ2007ࠩණൖ࿹࣮ളđᇶေՖ൙ႋႨࣜ࠶࠹ਈ࿹࣮Ġӧဉ໳đ୯đ޿౅ն࿐അ࿐ჽaඔਈࣜ࠶࿹࣮ჽڬ࢝൱b1 ၂ႄ࿽ࠣ໓ང߭ܤܢௐӮࢌਈაܢௐࡎ۬൞ٳ༅ᆣಊ൧ӆᄎྛࠏᇅaࢲܒหׄބڄགหᆘ֥ᇗေၹ෍đ္൞གྷᄝࣁವ৘ંؓᆜ۱ܢௐ൧ӆࣉྛൌᆣ࿹࣮֥ࠎԤđ෰ૌऎႵّ႘aԮ־ބཨ߄൧ӆྐ༏֥ۿିb࿹࣮ܢௐӮࢌਈაܢௐࡎ۬č൬ၭੱĎᆭࡗ֥ܱ༢đႵᇹႿ๧ሧᆀಪ്ᆜ۱ܢௐ൧ӆ֥ᄎྛࠏᇅࠣڄགหᆘbܢௐӮࢌਈაࡎ۬ᆭࡗ֥ܱ༢࿹࣮ቋᄪॖሔි֞Osbome(1959)ิԛܢ൧Ӯࢌਈაࡎ۬ᆭࡗऎႵଖᇕܱ༢֥ં؎đᆭު҂؎֥Ⴕ࿐ᆀՖ҂๝֥࢘؇ಀ࿹࣮ܢௐӮࢌਈაࡎ۬ᆭࡗ֥৳༢đYing(1966)০ႨS&P500ᆷඔაNYSE֥Ӯࢌਈࣉྛ࿹࣮đಪູ෱ૌ[1]ᆭࡗಒൌթᄝ၂ུཌྷܱྟb୍࣍টđܢௐӮࢌਈა൬ၭੱᆭࡗܱ༢֥࿹္࣮ರၭ൳֞ݓଽ࿐ᆀ֥ܱᇿbӧתૼč1991Ďؓ໡ݓ෻ຖֹ౵ܢ൧֥Ӯࢌਈაࡎ۬ࣉྛ࿹࣮ؿགྷ෻ຖܢ൧ࡎ۬[2]აӮࢌਈࡗऎႵචཟၹݔܱ༢ĠBrook(1991)๙ݖൌᆣ࿹࣮іૼܢௐ൬ၭੱაః[3]ӮࢌਈऎႵ٤ཌྟܱ༢Ġӧᙛਪaසڇૼč2000Ď০Ⴈഈᆣܢௐඔऌ๙ݖGARCHଆ྘ؓᇏݓܢ൧֥ࡎ۬э׮აࢌၞਈᆭࡗ֥ܱ༢ࣉྛਔ؟ҪՑ֥ൌᆣ࿹࣮đѩႨྐ༏ࣜ࠶࿐֥ܴׄؓൌᆣࢲݔࣉྛਔٳ༅ࢣൕᇏݓܢ൧թᄝ҂ؓӫ֥ࢌၞਈ---ࡎ۬э׮ܱ༢đᆷԛਔ၂Ϯ෮ಪູܢ֥ࡎэ׮აࢌၞਈᆞཌྷܱ֥ࢲં൞҂ሙಒ֥đѩٳ༅ਔყ௹ࢌၞਈა٤ყ௹ࢌၞਈაܢࡎэ׮֥ܱ༢đؓܢ൧ྐ༏֥ቔႨࣉྛਔбࢠധೆ֥࿹࣮෮ࠆ֤ၛ༯֥ࢲંğᇏݓܢ൧֥ರࡎ۬э׮֥धؓਈაರࢌၞਈӯགྷཌྟᆞཌྷܱđᇏݓܢ൧թᄝ҂ؓӫ֥ࢌၞਈ---ࡎ۬э׮ܱ༢đᇏݓܢ൧֥ರࡎ۬э׮Чദაರࢌၞਈӯགྷཌྟᆞཌྷܱ֥ܱ༢đᇏݓܢ൧֥ರࡎ۬ѯ׮აರࢌၞਈᆞཌྷܱđᆃᇕᆞཌྷܱܱ༢֥Ӂള൞ၹູoҩਈܢࡎэ׮pbᆃུ࿹࣮ࢲݔؓᆞಒಪ്ᇏݓܢ൧֥ັܴࢲܒބࣉ၂҄ܿٓ൧ӆྛູႵ၂ק֥ҕॉࡎᆴ[4]Ġᆢٚᬘa໱ӑவa໱ൗ୪č2007ĎᄝLorente֩ದ֥࿹࣮Ӯݔč2002Ď֥ࠎԤഈđႨ1996୍1ᄅ1ರᇀ2003୍12ᄅ31ರ௹ࡗധa޻ܢ൧255ᆺܢௐູဢ[5]ЧđิԛਔܢௐӮࢌਈაܢௐ൬ၭੱ྽ਙཌྷܱྟ֥ࠎЧܱ༢bՎ໓ᅣ҂֌࿹࣮ਔܢௐӮࢌਈაܢௐ൬ၭੱ྽ਙཌྷܱྟ֥ܱ༢đط౏ߎؓܢௐ֥ྐ༏҂ؓӫӱ؇ؓᆃᇕܱ༢֥႕ཙࣉྛਔٳ༅bࢲݔіૼğֻ၂đ໭ં൞୤൧aྦྷ൧ߎ൞௜ޙ൧đۚӮࢌਈࢌၞರ֥ܢௐ൬ၭᄝෛުࢌၞರᇏࡼіགྷԛoّሇpĠֻؽđ୤൧ބྦྷ൧ᇏđܢௐರӮࢌਈؓರ൬ၭੱ྽ਙཌྷܱྟ֥႕ཙ༢ඔა܄ඳܿଆᆞཌྷܱđაܢࡎѯ׮ྟڵཌྷܱđᆃіૼᄝۚӮࢌਈ֥ࢌၞರᆭުđྐ༏҂ؓӫӱ؇ࢠ֥ۚܢௐః൬ၭੱაྐ༏҂ؓӫӱ؇ࢠ֥֮ܢௐཌྷбđ۷ౠཟႿіགྷԛّሇb຦ૼᅶ֩ᄝu޻ധਆ൧൬ၭੱაӮࢌਈၹݔܱ༢֥ൌᆣ࿹࣮vᇏၛഈᆣሸކ2 ᆷඔބധᆣӮٳᆷඔ֥ರ൬ၭੱࠣರӮࢌਈູ࿹࣮ؓའđႋႨླྀᆜ৘ંބGrangerၹݔܱ༢đॉҳਔਆ൧ᆷඔರ൬ၭੱაರӮࢌਈэ׮ੱ֥ཌྷ޺ܱ༢đ޻ധਆ൧൬ၭੱაӮࢌਈэ׮ੱ྽ਙ׻൞௜໗ྟ྽ਙđ۲྽ਙཌྷ޺ᆭࡗ֥ܱ༢൅ٳૡ్đթᄝሢླྀᆜྟđ޻൧൬ၭੱؓധ൧൬ၭੱႵభ֝ቔႨđطധ൧Ӯࢌਈؓ޻[6]൧ӮࢌਈႵభ֝ቔႨĠ෤ࡹૼ္ᄝuᆣಊᆷඔაӮࢌਈᄹਈܱ༢֥ၹݔٳ༅vᇏᄎႨGrangerၹݔܱ༢ؓӮࢌਈބ൬ၭੱࣉྛ࡟ဒ֤ԛӮࢌਈᄹਈބᆷඔᄹਈ[7]ᆭࡗ޺ູGrangerၹݔܱ༢bᆃུ࿹࣮׻іૼđܢௐӮࢌਈބܢௐࡎ۬ಒൌթᄝሢଖᇕཌྟܱ༢ࠇ൞٤ཌྟܱ༢đ֌൞ؓႿܢௐӮࢌਈაܢௐࡎ֥۬ऎุܱ༢ၛࠣ႕ཙ֥ӻ࿃ྟ֩ѩીႵ۳ԛᆇࢤ֥߭ճđط౏ݓଽն҆ٳ࿐ᆀࣉྛൌᆣ࿹࣮෮Ⴈ֥ଆ྘ն҆ٳ൞GARCHቂଆ྘ࠇ൞ݓຓ࿐ᆀ֥Էഡਔ၂ུ٤ཌྟ݂߭ଆ྘đѩ҂ିࢳ൤Ӯࢌਈაࡎ۬ޅູଽളэਈaޅູຓളэਈ໙ีbЧ໓ҐႨSAVRଆ྘ؓഈᆣᆷඔ൬ၭੱაӮࢌਈࣉྛ࿹࣮đ၂ٚ૫ॖၛஆԢଽളэਈაຓളэਈᆃ၂໙ี֥ۄಠđਸ਼၂ٚ૫đھଆ྘ߎିّ႘ԛؽᆀ֥ऎุܱ༢ၛࠣ႕ཙ֥ӻ࿃ྟ֩ĠཌྷбႿVARଆ྘đᆃ၂ଆ྘ିϜӮࢌਈაܢௐࡎ۬ཌྷ޺ࡗ֥๝௹႕ཙّ႘ԛটđܣᆃ၂ଆ྘ႨႿ࿹࣮ؽᆀ֥ܱ༢đऎႵః׿หྟbؽ47"3ଆ྘ٳ༅ႮႿЧ໓෮࿹࣮֥༢๤ടࠣ֞ਆэਈđܣၛ༯෮Ⴕ֥ଆ྘ٳ༅नၛਆэਈູ২ࡆၛٳ༅bč၂ĎVARଆ྘ٳ༅ࡼVARଆ྘ሇӮݣႵᇌުෘሰ֥ሱ݂߭ྙൔđॖіൕູğA(l)y č1Ďtt2pఃᇏA(l)AlAlllAlđkູэਈ֥۱ඔđpູᇌުࢨඔđAູkkk12piົइᆔđyູkົଽളэਈཟਈđູkົҗҵཛཟਈbtt೏ࡼVARଆ྘ሇӮཟਈ၍׮௜नčVMA()ĎྙൔđॖіൕູğyC(l) č2Ďtt12ఃᇏC(l)A(l)đC(l)CClCl...đkູэਈ֥۱ඔđpູᇌުࢨඔđy012tູkົଽളэਈཟਈđູkົҗҵཛཟਈbt3 Ⴎൔč1Ďč2Ďॖ֤đC0k[8]čؽĎSVARଆ྘ٳ༅ࡼSVARଆ྘ሇӮݣႵᇌުෘሰ֥ሱ݂߭ྙൔđॖіൕູğ'B(l)yu & uu) č3Ď ttttk2pఃᇏB(l)Blllllđkູэਈ֥۱ඔđpູᇌުࢨඔđBa012p0iູkkົइᆔđyູkົଽളэਈཟਈđuູkົҗҵཛཟਈđ౏Bbtt0k೏ࡼSVARଆ྘ሇӮཟਈ၍׮௜नčVMA()ĎྙൔđॖіൕູğyD(l)u č4Ďtt12ఃᇏD(l)B(l)đD(l)DDlDl...đkູэਈ֥۱ඔđpູᇌުࢨඔđ012yູkົଽളэਈཟਈđuູkົҗҵཛཟਈđDູkkົ༢ඔइᆔbtt01Ⴎൔč3Ďč4Ďॖ֤đDB00č೘ĎVARაSVAR֥ܱ৳ྟٳ༅1aઝԊཙႋݦඔႮൔč1Ďč3Ďॖᆩğ1Bu č5Ďt0tՖൔč5ĎॖᆩđVARଆ྘֥җҵཛ൞SVARଆ྘֥җҵཛu֥ཌྟቆކđܣttVARଆ྘֥җҵཛࡗॖିթᄝሢ๝௹ཌྷܱྟđᆃ္֝ᇁਔᄝࢳ൤VARଆ྘֥tઝԊཙႋݦඔൈđ҂ିඪ൞ֆ۱эਈ֥Ԋࠌؓ༢๤֥႕ཙđၹູVARଆ྘֥җҵཛ൞චэਈԊࠌ֥ཌྟቆކđ൞ؽᆀ܋๝ቔႨؓ༢๤Ӂള֥႕ཙđطSVARtଆ྘֥җҵཛuಏஆԢਔᆃᇕ܋๝Ԋࠌ֥ॖିྟđᆃ္൞Ч໓ીႵҐႨVARଆt྘֥ჰၹb2aҕඔܙ࠹Ⴎൔč2Ďč4Ďॖ֤ğC(l)D(l)u č6ĎttႮႿCđܣDu č7Ď0k0ttႮൔč6Ďč7Ďॖ֤ğC(l)DuD(l)u0ttࠧğC(l)DD(l) č8Ď04 Ⴎൔč8Ďॖᆩđೂݔေܙ࠹SVARଆ྘֥༢ඔइᆔD(l)đᆺླေοᆞӈӱ྽ܙ࠹ԛVARଆ྘֥༢ඔइᆔC(l)đၛࠣDࠧॖđᆃູ໡ૌؓଆ྘֥ҕඔܙ࠹ิ܂0ਔ၂۱ޓݺ֥ٚཟb֌൞ႮႿSVARଆ྘֥րܙҕඔбVARଆ྘؟đܣླေؓଆ྘֥ҕඔࡆၛჿඏҌି֤֞ཌྷܱ֥ҕඔܙ࠹đఃჿඏ၂Ϯ۴ऌ༢๤ଽ҆۲ၹ෍ࡗ֥ࣜ࠶ၩၬটࣉྛbؓႿkჭpࢨSVARଆ྘đଆ྘ീࡆk(k1)/2ჿඏ่ࡱb೘ൌᆣ࿹࣮č၂ĎඔऌটჷЧ໓෮ҐႨ֥ඔऌູഈݚᆣಊࢌၞ෮֥ഈᆣሸކᆷඔč൬஍ĎބӮٺᆷඔ֥ರӮࢌਈčVĎđඔऌॴ؇ູᇀčഈᆣᆷඔᄝᆃ؍ൈࡗࣜt৥ਔࠫՑ֥նᅨაնיđିܔႵིॉဒ෮Ⴈଆ྘֥ႵིྟĎđඔऌটჷႿྖြᆣಊϢࣁϱྛ౦༢๤bЧ໓࿹࣮֥൞൬ၭੱčRĎაӮࢌਈ֥ܱ༢đؓӮٺᆷඔ֥t൬ၭੱࣜೂ༯܄ൔ࠹ෘğR(PP)/P č9Ďttt1t1ఃᇏRіൕ֒฿֥൬ၭੱđPіൕ֒฿֥൬஍ᆷඔđPіൕభ၂฿֥൬஍ᆷඔbttt1൬ၭੱ҂൐Ⴈࡥֆ֥ؓඔҵٳྙൔđ൞ູਔิۚ࠹ෘ֥ࣚಒྟđطӮࢌਈᄵၛతၡჭটߐෘbčؽĎඔऌ֥௜໗ྟᆺႵᄝഈᆣӮٳᆷඔ֥൬ၭੱ྽ਙაӮࢌਈ྽ਙ൞௜໗֥౦ঃ༯đҌିؓఃؽᆀ֥ܱ༢ࣉྛSVARࡹଆbؓඔऌ֥௜໗ྟ࡟ဒࣜӈႨ֥ႵADF࡟ဒაPP࡟ဒđᄝЧ໓ᇏđҐႨDickey-Fuller֥ADF࡟ဒٚمؓਆ྽ਙࣉྛ௜໗ྟ࡟ဒđః࡟ဒࢲݔೂі1෮ൕğі1 ྽ਙ֥௜໗ྟ࡟ဒčADFĎ൬ၭੱ྽ਙčRĎt-StatisticProb.*ADF๤࠹ਈਢࢸᆴ1% % % Ӯࢌਈ྽ਙčVĎt-StatisticProb.*ADF๤࠹ਈਢࢸᆴ1% % % ᇿğ࡟ဒݖӱ֥ᇌުࢨඔႮ&WJFXTೈࡱ۴ऌ"*$ሙᄵሱ׮஑؎b5 і1֥࡟ဒࢲݔཁൕđ൬ၭੱ྽ਙބӮࢌਈ྽ਙ൞௜໗֥đॖؓఃࣉྛSVARࡹଆbč೘Ď൬ၭੱაӮࢌਈࡗ֥ჿඏ่ࡱᄝؓSVARࡹଆ֥ݖӱᇏđႮႿఃրܙҕඔݖ؟đླေؓఃҕඔࡆၛӉ௹ࠇ൞؋௹֥ჿඏĠЧ໓෮࿹࣮֥ؓའູචэਈ༢๤đܣఃླေ၂۱ჿඏ่ࡱbႮCampbellؿགྷđܢௐರ൬ၭੱ֥྽ਙཌྷܱྟᇶေթᄝႿ၂ࢨܱ༢ഈđؽࢨၛഈ྽ਙཌྷܱྟ҂ཁᇷđၹՎđЧ໓ᇶေ࿹࣮ܢௐӮࢌਈა൬ၭੱ၂ࢨ྽ਙཌྷܱྟ֥[5]ܱ༢đࠧӮࢌਈؓ༯௹൬ၭੱ֥ყҩቔႨđ္ࣼ൞Ӯࢌਈؓ൬ၭੱ֥Ӊ௹႕ཙčჿඏ่ࡱĎđଆ྘ೂ༯ൔ෮ൕğR*R*V*R č10Ďtt1t1t1tఃᇏaaູրܙҕඔđіൕ۱ܢӮࢌਈؓ൬ၭੱ྽ਙཌྷܱྟ֥႕ཙ༢ඔđ೏ູᆞđᄵܢௐӮࢌਈ֥٢նౠཟႿ൐֤ܢௐ֥൬ၭੱіགྷԛܸྟđّᆭᄵّđط֥նཬᄵіൕӮࢌਈؓܢௐ൬ၭੱൈࡗ྽ਙหᆘ֥႕ཙӱ؇čӉ௹ჿඏĎbࡼ൬ၭੱ྽ਙაӮࢌਈ྽ਙ۴ऌൔč10Ď֥ଆ྘ࡹଆđॖၛ֤֞֥ҕඔܙ࠹đఃࢲݔູğđؓႿھଆ྘֥ധҪՑษંđᆢٚᬘa໱ӑவa໱ൗ୪č2007Ď֩࿐ᆀᄝః࿐ඌં໓ၘࣜࣉྛંඍđѩ҂൞Ч໓࿹࣮֥ᇗׄđܣ҂ሕඍbčඹĎ൬ၭੱაӮࢌਈ֥SVARࡹଆᄝؓ༢๤ࣉྛSVARࡹଆൈđླေॉ੮֥൞эਈ֥ᇌުࢨඔ໙ีđᇌުࢨඔ෾ཬᄵ҂ିܔࢠնӱ؇ֹّ႘эਈࡗཌྷ޺႕ཙđᇌުࢨඔ෾նᄵ߶֝ᇁሱႮ؇նਈࡨഒđᆰࢤ႕ཙଆ྘ҕඔܙ࠹֥Ⴕིྟđଆ྘֥ቋࡄࢨඔॖ۴ऌ۲ᇕ࡟ဒѓሙটಒקđЧ໓၇ऌLR๤࠹ਈč5Ċᇂྐඣ௜ĎaFPEčቋᇔყҩ༂ҵĎaSCྐ༏ሙᄵaAICྐ༏ሙᄵHQčHannan-QuinnĎྐ༏ሙᄵ໴۱ᆷѓটࣉྛ஑؎đఃࢲݔೂі2෮ൕğі2 SVARଆ྘֥ᇌުࢨඔ࡟ဒ* *-06***і2֥࡟ဒࢲݔཁൕđᇌުࢨඔඹࢨ൞SVARଆ྘֥ቋࡄࢨඔb๙ݖCampbell֥ଆ྘đࡼӉ௹ჿඏႄೆ֞SVARଆ྘ᇏđॖၛ֤֞ਆэਈࡗ֥Ӊ௹ჿඏइᆔđఃࢲݔ࡮і3෮ൕğі3 Ӊ௹ჿඏइᆔ࡟ဒCoefficientStd. (1)(2)(3) і3ᇏđC(1)іൕ֒௹൬ၭੱ൳ᇌު௹൬ၭੱ֥႕ཙ༢ඔđC(2)іൕ֒௹Ӯࢌਈ൳ᇌު௹൬ၭੱ֥႕ཙ༢ඔđC(3)іൕ֒௹Ӯࢌਈ൳ᇌު௹Ӯࢌਈ֥႕ཙ༢ඔđط֒௹൬ၭੱ൳ᇌު௹Ӯࢌਈ֥႕ཙ༢ඔᄵุགྷᄝCampbellଆ྘ᇏ֥༢ඔđі3ඔऌཁൕđ۲႕ཙ༢ඔ׻ޓཁᇷ֥bᄝ൬ၭੱ൳ᇌު၂௹Ӯིਈ֥Ӊ௹႕ཙᆃ၂ჿඏ่ࡱ༯đ๙ݖEviewsೈࡱѩࡆၛсေ֥ӱ྽đॖၛ֤֞൬ၭੱაӮࢌਈࡗཌྷ޺႕ཙ֥SVARଆ྘đఃࢲݔೂൔč11Ď෮ൕ t t t1t2 č11Ď t1t2 t3t4rt t3t4vt೏ࡼ൬ၭੱაӮࢌਈᆭࡗ֥SVARଆ྘ࡆၛѓሙ߄ުđି۷ౢԣّ֥႘ԛؽᆀᆭࡗ֥ཌྷ޺႕ཙaཌྷ޺ቔႨ֥ଽ҆৳༢đ๙ݖࡥ߄ުđఃࢲݔೂൔč12Ď෮ൕğ1 tt1 tt1 t2t3 č12Ď t2t3 0t4rt t4vt7 ႮႿ܄ൔč2Ďᇏ֥ҕඔ൞ࣜVARଆ྘֥ҕඔܙ࠹ࢲݔࢲކӉ௹ჿඏ่ࡱط֤ԛ֥đၹູᄝVARଆ྘ᇏđ෮Ⴕҕඔܙ࠹न൞ཁᇷ֥đط౏Ӊ௹ჿඏ่ࡱ֥ჿඏइᆔ္൞ཁᇷ֥đܣSVARଆ྘֥۲ҕඔܙ࠹ࢲݔၳ൞ཁᇷ֥đط౏ؓਆ۱ٚӱ֥җҵ྽ਙࡆၛ࡟ဒđनડቀᆞ෿ྟđ໭ၳٚҵაሱཌྷܱđᆃུࢲݔ׻ඪૼਔSVARଆ྘֥ႵིྟbႮൔč12Ďֻ֥၂۱ٚӱіૼđ๝௹൬ၭੱა๝௹֥ӮࢌਈӮᆞཌྷܱܱ༢đ֒Ӯࢌਈิۚ၂۱ϤٳׄđӮٳᆷඔ൬ၭࡼᄹࡆ۱ϤٳׄቐႷĠط๝௹൬ၭੱაᇌު௹֥ӮࢌਈӮّٚཟэ׮čᆃ๝ၛభ࿐ᆀ֥࿹࣮ࢲݔ၂ᇁĎđෛሢᇌު௹ඔ֥ᄹࡆđᆃᇕڵཌྷܱ֥ӱ؇҂؎֥ࡨ೐đᆃ္ඪૼਔ໡ݓᆣಊ൧ӆ൞೐൧Ⴕི֥đࠧໃট֥൬ၭੱྐ༏۷؟֥൞ّ႘ᄝ֒భ֥Ӯࢌਈഈđෛሢൈࡗ֥๷၍đݖಀൈ௹Ӯࢌਈ෮Їݣ֥ྐ༏߶ุགྷ֞֒భൈख़ᇏটĠط֒భൈ௹֥൬ၭੱაఃᇌު௹֥൬ၭੱ္ӯགྷԛڵཌྷܱܱ༢đᆃඪૼᆣಊ൧ӆӮٺᆷඔ൬ၭੱթᄝሢनᆴ߭گ֥གྷའđ֒ݖಀ֥൬ၭੱݖۚࠇ൞ݖ֮ൈđ൧ӆᄝ֒௹߶Ϝ൬ၭੱӔሢཌྷّ֥ٚཟঘđᆃ္൞໡ݓᆣಊ൧ӆӈ࡮֥གྷའđ֒ݖಀൈ௹ؿളնיൈđֻؽ฿ᆷඔࣼ߶Ⴕ෮߭ശbֻؽ۱ٚӱіૼđ֒௹Ӯࢌਈა֒௹֥൬ၭੱӯགྷԛّཟܱ༢đ֌აᇌު௹൬ၭੱಏӯགྷԛᆞཟ֥ܱ༢đෛሢᇌު௹֥ᄹࡆđఃᆞཟཌྷܱ֥ཌྷܱӱ؇္ᄝ҂؎֥ࡨ೐ĠՖі૫ഈुđᆃაֻ၂۱ٚӱ֤ԛਔປಆཌྷّ֥ࢲંđ֌൞ᆃؽᆀѩ҂઱؛đၹູᄝSVARଆ྘֥ࢳ൤ݖӱᇏđֻ၂۱ٚӱϜ൬ၭੱቔູၹэਈđӮࢌਈቔູሱэਈđֻؽ۱ٚӱᄵϜӮࢌਈቔູၹэਈđ൬ၭੱቔູሱэਈđ೏Ϝؽᆀ֒Ӯ၂۱ᆜุটࢳ൤đࣼ߶ؿགྷᆃਆ۱эਈ൞ཌྷ޺႕ཙބᇅჿ֥đ֒Ӯࢌਈݖޓ֮ൈđֻ၂۱ٚӱᇏ֥൬ၭੱ္ޓ֮đֻؽ۱ٚӱᇏ൬ၭੱؓӮࢌਈ֥႕ཙ္߶ࡨ೐đؓӮࢌਈ֥ࣉ၂҄ิ֥ۚ႕ཙࢠཬđط֒Ӯࢌਈݖۚൈđֻ၂۱ٚӱᇏ൬ၭੱ֥ഈശ္ࢠॹđطֻؽ۱ٚӱᇏ൬ၭੱ֥ഈശؓӮࢌਈ֥ࣉ၂҄ഈശ֥ቅ৯ࢠնđӮࢌਈࣼ߶༯ࢆbࠧ໭ં൞൬ၭੱߎ൞Ӯࢌਈఃሱദ׻Ⴕ၂۱ଽᄝ֥ᇅჿၹ෍টቅᆸః҂؎Ӕ๝၂۱ٚཟؿᅚđгᆀಪູᆃބᆷඔ֥Ⴕིڄ೛ڄགႵܱb֒ᆃ၂༢๤൳֞ຓটၹ෍֥Ԋࠌൈđఃؓ൬ၭੱބӮࢌਈ߶Ⴕޅ႕ཙđᆃᇕ႕ཙ֥ӱ྽ೂޅđᆃུॖၛՖSVARଆ྘֥ઝԊཙႋݦඔ֤֞đі4൞SVARଆ྘ઝԊཙႋݦඔ֥і۬ྙൔđᇌު௹ඔ࿊ູ໴௹b і4 ઝԊཙႋݦඔіResponse Response of R:of V: ֒༢๤൳֞൬ၭੱაӮࢌਈ֥Ԋࠌđ২ೂն஍ېष஍ൈ֥ᆷඔaܢௐ֥ണܓ֩đі4ᇏ൬ၭੱაӮࢌਈ֥Ԋࠌਈनູ1ֆ໊ѓሙҵđཁൕਔఃؓ༢๤č൬ၭੱაӮࢌਈĎӁള֥໴௹႕ཙb໭ં൞൬ၭੱ֥Ԋࠌߎ൞Ӯࢌਈ֥Ԋࠌđෛሢൈ௹֥ᄹࡆđఃؓ༢๤֥႕ཙ߶҂؎֥೐߄đᆰᇀ႕ཙູਬb২ೂđ֒༢๤൳֞൬ၭੱ֥Ԋࠌđ႕ཙֻ၂௹֥൬ၭູቐႷđطֻ֞໴௹đః႕ཙ֥ඔحࠫެູਬbࠧᆃ၂༢๤ႵॆࠌຓটԊࠌ֥ቔႨđ൬ၭੱაӮࢌਈ׻ၛ၂۱ࢠູ௜໗֥ྙൔ҂؎ֹ࿼࿃༯ಀbඹࢲંЧ໓๙ݖؓഈᆣӮٺᆷඔ൬ၭੱაӮࢌਈᆭࡗཌྷܱྟ࿹࣮đ֤ԛၛ༯ࠫ۱ࢲંğ೏ϜӮࢌਈुቔ൞ሱэਈđӮٺᆷඔ൬ၭੱुቔၹэਈđ๝௹൬ၭੱა๝௹֥ӮࢌਈӮᆞཌྷܱܱ༢Ġ๝௹Ӯٺᆷඔ൬ၭੱაᇌު௹֥ӮࢌਈӮّٚཟэ׮čᆃ๝ၛభ࿐ᆀ֥࿹࣮ࢲݔ၂ᇁĎđෛሢᇌު௹ඔ֥ᄹࡆđᆃᇕڵཌྷܱ֥ӱ؇҂؎֥ࡨ೐b֒ϜӮࢌਈुቔၹэਈđӮٺᆷඔ൬ၭੱुቔሱэਈൈđ֒௹Ӯࢌਈა֒௹֥൬ၭੱӯགྷԛّཟܱ༢đ֌ა௹ᇌު௹൬ၭੱಏӯགྷԛᆞཟ֥ܱ༢đෛሢᇌު௹֥ᄹࡆđఃᆞཟཌྷܱ֥ཌྷܱӱ؇္ᄝ҂؎֥ࡨ೐b೏ϜӮٺᆷඔ൬ၭੱაӮࢌਈुቔ൞၂۱ᆜุ֥༢๤đᄵھ༢๤ଽ҆թᄝሢཌྷ޺ᇅჿ֥ၹ෍টቅᆸ൬ၭੱࠇӮࢌਈ҂؎Ӕ๝ଖ၂۱ٚཟؿᅚđгᆀಪູᆃބӮٺᆷඔ֥ܒӮႵܱđၹູӮٺᆷඔ൞Ⴎྸ؟ӮٺܢௐܒӮ֥ቆކđھቆކٳ೛ਔն҆ٳ֥٤༢๤ྟڄགđ֌ఃቆކႻթᄝሢ༢๤ྟڄགđ෮ၛ൬ၭੱ҂߶෾္ۚ҂߶෾֮đᆃဢࣼ൐֤Ӯٺᆷඔ൬ၭੱ҂߶ສਆ۱ࠞ؊ٚཟሼb9 ҕॉ໓ངğ[1]Ying, C. 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