31
4 `)[X3XS[, 4eSystemsEngineering—Theory&PracticeApr.,2011L|$ :1000-6788(2011)04-0617-14'/62 :) [:AZ~f\Æ#1Fy<KU n
SKUaH wÆ'r , Q, 5( 8R q ~yR P , N100190) q #S#+ M2 0
D CPI| W,1HVAR℄ ,*}7 $ #!LZh4a -& n $pWM j 3C.℄ OBU[| , w:OBF
<xCF
$ i,* #!LZh4n-n$pW% J9 \:2007 2009` "W$ #!LZh4n-n, d2007`%4nG(b$=A ) {!LZh;℄ >tuX!L!4n-n Z $eT,,2005` "W!L!4n-n Z ,v l2005`4nG%b$=A. !L !n Z . ℄ $3CJ9,^2*:gA`}7OB $Æ % /;${I℄ 4n!LZ $E ,V E J9℄_XÆ.fkz!,?sF
,fkz!o
n .{ Y #!L;4an ;-& n ;!LZ ; W"?6℄ EmpiricalestimationforcapitalflowintostockandrealestatemarketsfrommonetaryandcreditaccountsDIAOSi-cong,CHENGKe,YANGXiao-guang(AcademyofMathematicsandSystemsScience,ChineseAcademyofSciences,Beijing100190,China),M2,industrialaddedvalue,,andCPI,,inparticular,,;stockmarket;realestatemarket;capitalflow;VAR1um7 5 &w9n>Æ wD5Bt hp4 ^:, { r6kNB[ x=,#0 r6kNBh . ", r6k- L: +6 ,8Nw! U_N+ . HkKxho A,^ C r6ko? |2007 YM},&whko?IS,/ HS 6000 H,.2006 , nb l&^lCJLtd( ErO, n oA6k+Bhk Qk,f8 G“l&ÆD” ,O^lC r6kNBhk&),MrE>:2010-05-31
`9:xE:6 /l(70673009,70933003) :
i,Y ,1d% R;*}r,% ℄,' G ,E-mail:xgyang@.
618a*\Y4YT\T 31
P L9 !.Sr&Rh.
5hk(8,Qk-k2007 n|C8^9 | .lPh . HkK Wo?HHQ[=,U,&2/,v“N {T”U hj Wo?H/T),[=.2006 2007 6 kK Wo?H{ r6k>,
/h~|K%Uis+l0,(Y- CLoB08.>L%k2007 1d$3 lPp/40*>Æ.k>0
S 2` .Z9-ql=k& ,#t/#C r6k ,k457x=g4? 0 e,w} re^8^"A,
5H Q{757 rr&+1,hk Qk-Y54 H.2009 7d,khk|na 53400 ,jh^lC“l&ÆD” H 6HIQ$ HO/h C+ r6kwh . HkKo?N ,- $CK%Ui5ol0.>L% &w9n>Æk2009 #< `>Yz0 r6kRQRh.
&w9n>Æ + >< ,hk Qkk7dt-^lC! .&w9n>Æ C5g K%Ui P r6kNBh . HkK&)2Nl0, [=kP, 2ol`|[ x=i>~NWhÆ,Zl`|wDk> 0.:A,Ay~_44~xA, ~ }2009 H + >L JdLFHk[ x=H, + >Æn ![U wDk>=kLo L), xA |&{O? p LA,/T Æ &i
3e?,& pÆe?. 6kNw Ae?, 3H-LA6kNw*g, Lo5g k>0
L5N9HI .30
:,0
2N)m6kNw,viw! L0
LA|6kN & /2~)F^6kkh kK [ x= MN .:A, h kK+60
6kNwLA ~ okh kK }. zEC6kNwLAL 7
lL6kNw &oo ~U℄A U℄I= , fyL ~ 9 =>,oUlL6kNwLA &3% .w!w}kKH o x0
+6>Vo xY;k kK*g H, -nnD x(, 5{ o[ P r6kNBhk*.kql$2NLo,o x$ 6&k+ ^BA* + >Sh . HkKql$[1]+ 6HB
s + m +6 6HB
&/v6H,+ ^B\-{ +6 k+ S 6H MpÆ!q, p :+ ZL| .Berkman[2]$l,h IQo DY |+ >& F^ql) Roley[3]_H1977–1982 *x O(Ch IQ + ^B`P)B, fXiDY |+ lA& Sh IQ& iEwl`.Eunkyung[4]$$l,+ > HIQL oDt.
$C HIQk+ d{0"&FH,; HIQ0 Sk+ nÆ&)e HQJ k+ d{0"& |Ci.+}lPh IQS+ kK $Uy_ ,A ~ [5] WYp[6] N6 'H [7] t w}h kKS+ ^(pÆ{3X [ $.viw!w} P r6kNBhk*.k$|([8] Pw>Æ r6kpBh kKpÆC$,/ 2000 r6kNBh kKtspÆCA R}5\. 9 \|
[9] >Æ r6kBk&)pÆC .6 ;[10] Pw>Æ6kSh kKl`pÆC[ $.vi $ -,i%Kk Bk ,* i/ .axAl`5\,/dL`) A {/V M xApÆ5\. /,ki= r6k> F 6s|l0/T &),J/,k-i= ve? L/ | .2009 ,K a wZa$v$& tMn + r6kNBhkxAE^e?, iw}qh ` A /O .2{, De?fyqE_o,"$ [B&)hj~<2#.f2 D- i r6kNBhkxApÆCe?,dL ^|[ x=&)E^$. K S|6kNe?O NBGi/T{wO ,ke?^ .aH,p/4Mn 8^H ~^l{N^&)pÆe?. 6kNwLA & _ n,j k5\ 3 ^, L_ YzFH Y .2l(Q3, 6kk[ x= h . HkK MN E^e?, 3j `*M`^ / rSh . HkK M6kN i2 nA, w!&)- ,H `&e?+ r M6kN 2 L Æ .2{,j+ r [ x=-, (, M8^x - , L2N#qll`. A,w+ r*nY ,H^ XI/ %e\ 6HIQ!Z;"+
4
i, :Qx
s7lOCi lL / IlL \ f 619 r+}Y ,H^ XI/ %H 6HIQ-H. l`k roÆ2005 r+}2007 *l~C i.. i KMnHM`& + r M6kN pÆe? L Æ .a,ek JvM`&e? s,&. K5\ Ri:jx=^ ,r& [ x=-, ((CPI [.rF + ^BA) M L/ l`,j x= ( 3e?^qÆ HQC[B yr&A,e? &w9n>Æ)? ME(:E=&w9n>Æ)? Qe? ,ek |:ESf
89q() 3H-e? r6k>xA;j?Ax=^ ,?A,X~dV^ T,X`)qBx=~9e? , [ Se? E(8:E)if,X2~hj55. PY;k[ x=(K e~d)B[ x=r& ,s "&,Hfs ? r&~~| B[ x=55r&A,y
fs :E%" ~[ x= 255.:E Y,i5[B rAQ{Cx=hÆ , r (, + ^ rA %N^[ x=;:E EY,i5[B rA2~a x=hÆ , r (, + ,L x=6kNB[ x=.vo x= *h kK . HkK u2kK 'Q kK,vikPwu2kK 'Q kKq "&ts _~,=fj[ x=NB N^6H-,-9h kK . HkK..P + S, K[r&:EF NBN^h kK . HkK6k A. C#j 0 ,Hd s g(^ed:E,5 w 12Td:EqF,~^:E .Ay:E ,pHs e?^-SCPI + ^BA H^qÆ r&AJP&w9n>Æ)?r&A,*pw ;) ,Ay E,&N^. Ke? T,k:qgis x=H44 .W H 5\ R,i5,Ays P+ rk[ x=&
44,y
s 2~hj55-:E-%Z ~55. his )?H ,Ays LZI)? ~,y
Pfye?% LZNw . pVARs F e?s [=i:q &C~#W ,&, 5 x=hj~9E/ ,vi x e?℄~/ i#P s ( 5 ~/ i,F tMn{_HC~#W ,&$ KO ,C $l iVARs yC
3).3 Kg℄|IS' |\8i zdk ) 7h_ . L_P6 Ks Y;k+ r [ x=-, (l`.aH, /IVw}2LoA$.Fried-man Schwartz[11] Cover[12]&{[ $ $l,+ ^BA& H^0 %,McCandless Weber[13]&{ 110TwDu30 H^rOU & U + ^BArOU Ml`pÆ[ $ ~^,O - ,H^rOU + ^BArOUdLql .~^1 fX LKormendi Meguire[14] Boschen Mills[15].w} Pw+ ^BASx=rO &+ l`-L $. g v#[16]31980–1997 x .a,8H OLS,&5\Y + ^BrO H^ B,fXi+ 2& .L-[17]8H Æ5\$C+ > H^ XIDt,$l+ PH^Dt lk,kO i& ;+ ^BA& XI& L #ql ,+ ^BA& XI%HQG }lP+ S[ x=qll`n $o SCXI H^ + ^{,w2$& 3 |jZ ^ D“+ & ”O .LF rf&[18]&{Km $ ^s & Bk>0
r&R i“_lL$Z0k
3”. KY;VAR`) ~4T&A:+ ^BA &+ x=rO r&,5,HM2 CPI [.rF r&< -)F, &[.rF kK&Hiavq*,r&< Hlq*. ( 3FH“sa”q*G (pÆC<e Æ.s `)8Hd x .j+ >d{0"" ikK0" T(4- ,Pw&)>Æ 89+ >=F `P1998 . / 9n>Æ.{CG.>Æ r ? , `[Æ6HEu :o3. K Hx `YM 1998 1d|2009 r&< x -_P&w9n>Æ8{,CPI [.rF x -9WINDx #.qg (pÆtFWO(,O(fyU*1.
620a*\Y4YT\T 31
N1^Ws o (X12 e ClO)'Bd ZN+h% byADF Log(cpisa)MT0−(Log(cpisa))TT0−∗∗Log(lsa)MM1−(Log(lsa))MT0−∗∗Log(iavsa)MM1−(Log(iavsa))MT1−∗∗Log(m2sa)MM0−(Log(m2sa))MT0−∗∗ q:∗∗+
l5% j/ } f \*1O(fy 3 ^, L&A/aE5 k5%i. O(| e CtFWGL,j"U&A iI(1) D..PADFO( pÆ Æ5\. n 5U ( i2 N/atÆ D,v h ~lkv( Np B
, Tp B
)FC&A MO N l`,8 Æl`. KHJohansen ÆO( &AM Æl`pÆ Æ ÆO( !," g4 VARs f
. C Z
39K _s 9x L_#hj~<,(YO,{`[Ev9ql,_HLR)?AF pCI$ axO((4,/H UvO(,&-O(s )? ~.x{)DO(4 Æ&A Lp *g/L
v, p$ 4 ,~|ql ÆO(fyU* o ZR (λmax) o\HMH0 Xλmax* B(P )3* B(P )r=()()r≤()()r≤()()r≤()() ÆO(fy*p+ ^BA &+ x=rO r& 4T ( MlkO l`,$2Ni..k5%i. | e, WO( 2O( *ps `)lk4T ÆwA, 8E5 h Mlk5O l`,vi ( l`#E ,ekp/45\._T nVARs LWszx" ~P1——8 LWszxFPtF^}6N .Ays 2N ,q5\fy[2iL .ARWO(fyibCoWszx ,=fs ARWO(&{.ekH`\tB x5\ ( M qDt&).`\tB x ik7 vHF/T/h \- P}Q&Aw! D- p-`\tB !, ,jx=3XH S&AChol-esky5h~ .qg,+ },&wx= !w(-,kPx=rO,Æn ! x=rOBZ, 3 [.rF 1k
/F. h,+ ^BA%DtCPI,viCPI + ^BADtq _~, 3 + ^BA1k
# ,CPI%Dt&w9n>Æ r !, 3 CPI1k
FF,r&1k
. ~ :[.rF →M2→CPI→r&< .ekpÆNW O(.KPCholesky5hh ,E5h `\tB xfy L2N),Dt, 3 K SC T pCholesky5hh ,3 D3H. 5hh ~^fyi> LNW . S| r^V%DtCPI,vCPI N* &w9n>ÆO% ! r^V, 3 r^V CPI[BHiq Dt.=f 3 CPI r&F! , + 5hh :[.rF →M2→r&< →CPI.[BH,= r& + ^BA Lq Ql`,CPIA5 3Dtr&,- 3Dt+ ^BA, 3 3 CPI1kM2 r& !,q 5h :[.rF →CPI→M2→r&< .
4
i, :Qx
s7lOCi lL / IlL \ f 621 T pCholesky5hh ~^,E5h `\tBfyS. 5hh ~^fy : / (KP ? o, 5V/ * .), p1 . Cholesky5hh ~^e?fyiNW._&
M℄ n&{Y;VARs , 3E`\tB ,E5h,/$~|/ x=*lO(-, i W s ~|fyi>~S+ Mx=[B*lq .k!v℄,,&.aH,&{`\tB x 01`\tB x( &01`\tB x)FC1tF\-~ y), 35\1tFDt= \- 5\&AHQDt..1–12iqB`\tB x 01`\tB x `5X_wV2M2ltr `-
5X_wV3[+ltr `5X_wV4[+ltr `-
5X_wV5CPIltr `5X_wV6CPIltr `-
5X_wV7M2lCPI`5X_wV8M2lCPI`-
5X_w
622a*\Y4YT\T 31
V9[+lCPI`5X_wV10[+lCPI`-
5X_wV11tr lCPI`5X_wV12tr lCPI`-
.3`\tBfy 3 ^:wk VM2*r&< /T \-Y, }% H^
U w, ,5 (Dt,X
yo?. .4 B0?`\tBfy 3 ^:wk VM2*r&< /T \-,k } % [.rF
U~ y , ,/$ (, k
10 DNn|N .+ r+} Px=rO DtidL
;, / k } % x=rO pi,jO - ,lT 5 + ^BA\-[{ [.rF %,lT 5 r&\-[{ [.rF %. 3 ^:wk VCPI/T \-,%oU[.rF He0 ,5 _[.rF ,X
yo?.0? y.- ,CPI\- H^k L24 ,O -iEwDt, (Ew, FHk20 DNn|N . &+ Px=rODt L24 , -
Ænx= / n ——2(&+ 1 Px=rODt2(:J &+ x= LkpFH,! &+ Px=L4" - ,&+ x=rO LEwFH,0?`\tBfyiblT 5 XI\-[{ [.rF %. .9 3 ^:wk VM2*r&< /T \-, %k } CPIoUEwDt,/$+ r CPI\-ko?{X&- L_i.24 . (+ r\-k℄`a SCPIEql }SCPIl`24 lx,2
)x= d)3X,vi
&wl[&), -8i G+ “&w i” .100? y. 3 ^:wk VM2*r&< /T \-, `a % CPIoUE01~ y,5 6,X
U CPI w, , (, FHoIk18 ,- i/ YM *PN .O - ,lT 5 + ^BA\-[{ %,lT 5 r&\-[{ %. 3 ^:wk V[.rF /T \-, CPI Lpi w, , (, FH2N , L_#Z ,/$
y? ~. 3 ^:[.rF \- CPI, FHn|N YM_$, ,10 &lT 5 H^\-[{ %. 5L/TL8 fy:+ r+} x=, FH $,k2|/ YM5%~ x=LpikpFH,"+ r+} CPIDtqq ,x=rO PCPI w, .jYMH ,+ r+} x=rO, FHk10TdDNn|N , CPI, FHk18TdDNn|N ,x=rO CPI, FHk10TdDNn|N . +/-,+ r+}&{, x=rO{ &+ ,20Tdn|N , S+ r+} ` CPI, n|N ,18Td
4
i, :Qx
s7lOCi lL / IlL \ f 623YM `u. p+ r+} ~/2%; { &+ ,+ r+},0NXI," g, H^,p (rF,5 6~0 XIH.3H5\fy, 3F hj“&w i”+ lx3K /:+ +B2~ `DtXI, ,&{H^d{,"+ +B H^Dt ,/T{X, 3 }+ SXIidLl`,-8[B& *l^24 l`.J2, ~/ i, k5\fy [ fyS 5fyiq A .ekhH,E5h&,&{(h7 v wA9!us YA ,[Eam ,ChU1= [.rF &+ U\-FH,UT&A,E5hfyU*3 * `mRq (LOG(IAVSA))D(LOG(M2SA))D(LOG(CPISA))D(LOG(LSA))`mRq (LOG(IAVSA))D(LOG(M2SA))D(LOG(CPISA))D(LOG(LSA))*3 U:[.rF ,E0 -,u=P9N,[.rF \-hjC 0 84%,XI + r\- [.rF 0 hjX qF - L16%. )F^kO &, 5+ r= x=rOLDt,vi (Dt/2i..j*4 U:+ r= PCPI0 hj<#P+ r P[.rF 0 hj<, o 10%.[.rF PCPI0 hj<V#P+ r PCPI0 hj<,o 12%.J2,j*4fy- 3$l,[.rF PCPI0 hj ,k
5 2x`uCo| ,"+ r= q _b, S!k`\tBfy L/ ,8; + & ,K (, d{.[BH,`C!k |“&w i”,= -i/T _ :8-p TO := x=x8z1 [ÆC10 % + >,vi15dL^lpi&+ , [=-,i% + >/dL, x=,- dLp XIH.j,E5hfy- :O &+ Px=rODt_E, 3; + i“& ”.J2,&{&w[ x , 3 |O }+ r= P&+ am15_~, pdL$lkO }+ ^BrOUDt&+ .5L[19]$l,k1979–1984 M,&w+ ^BrOU`oP&+ USx=rOU , ; 3H&wx=+ pX-hj /lx,x=+ X N_~+ N& , \ ,oA+ rA x=+ { ~$fyx=~9[BHi,kx=+ pX&,+ ^BrOU N/2/ { &+ .f[H,LF rf&[18]x )? ^,D3M2Sr9GDP : Ax=+ X ,y
, / (k1978 %,"2003 %,25 MHSCb155T 5 , Ux=+ X oo |2003 ,M2K11597ZHS 2192277Z, %;[BGDP xK100HS , rOU %;"D3HrXI x A&+ U,G xK100HS , rOU %.Kf U,k 25 M,+ ^BArOU2o`NP&+ U,"$<5`oP&+ USx=rOU ,
624a*\Y4YT\T 31
p+ ^Bo?+}4[dL &+ UHQpiDt.!j&wx=k+ 10 YM5*l, 3 |,j2000 `,KPp^"Z , ,&wGDP< r dL P{8%,x=/
kN rO&, & S+ r& qll`_~( S,E5hfyq ——O &+ Px=rODt_E).=f,ek-, D+ rSCPIl`. KW + r+} oÆ2), + 1998 |2009 5U4Ta :
/a i1998 |2000 7d, /Y rr&Z oÆ,/$^lC&+nÆ&)(2000 7d F YM5jd^l{td rr& E&));
#a i2000 8d|2003 6d, /Y + rZ +};k2003 6dtd rr&^la tdCo ,&w9n>ÆO `!oN ,/ |2005 7d /a C /htd rr& E&)^l, 3
Fa i2003 7d|2005 7d;
a i2005 8d m, /a N _ [X;2008 KPx=s|_#2Q\-, N}khÆ0"s| oDt, 3=0$Qw &)2zB D*?,-, D=0 &).k
/a + rZ oÆDte,x=rO CPIk2001 {{? . &GDPk2001 F< U / `,X! 4d6 `U ! ,GDPs+ rDt_$,"CPIq _b;jYMH , rk S BCPIk L20TdMS, SHk5\fyqM
,8+ r CPIDtLoI1 Z .
#a ,2000 8d+ r^V `rF,v }CPI15Z ? ( S !5\fyq ——+ rH&℄`a SCPIEql).
#a + r+} ,CPIrO/ Z |2004 < ℄, S2003 6d+ rk ^lYMq
-. i/ YM.
Fa ,+ rk2003 7d `oÆ,CPIk :Td15 7d,+ r1B+}a ,CPI Bk k2006 ^l, q
. -i/ .k>=0$Q 2009 , &)-S !5\fy/ .sk>=0Dt,2008 < H^ XI s| o\-,lko?e\ ~,=f2008 12d+ r `o?+}30 (&)^l,+}/ Z |2009 6d.+ r+} $ 1CH^e ,vi/dLA mY &+nÆ.[BH,j2006 `,&we rr& / i, rF,+ r/ _ % , 33XHCPI2BG^l E&).2009 ^l&+nÆ30ix=e { , )F^H^ PXIDt#P+ , -S !5\fyq .3H5\*p, K Y;VARs ,2ok)?Hi ,"$ )FC&wx=hÆtT.=f 3 H-F A[ x= r (/T[ ,j"M` A r6kwh kK . HkKN .4IS' |z= odTLV $2hbx !/a_y
j n/T nf[i2007 L2J r6kNpChk .k,2009O^lC +&).lkO 2x2i2009 ℄Y
Xi>L ,"iL L)?NW x=
3 .aH, K !n 5\fy,ekn. /O pÆe?. ~/ i,Ay ke?fy
3,y
-~){-( KY;s
3 ./T
3s YA y-BG _ , K ,5\Cfs YA℄~,$l Pr&YA~<pi#PADL ARIMA s ,8_ P2008 < 2009 /< r&o?0 &)e, YA[E-2N~; & L2008 12d[EUi2%, RY [E ~P2%;J2,AyYA,M2i tPTd,q o55Y s YA[E 2|1%(KP ? o, 5V/ [E*).kVARs
3.aH,ek[j?A^ -p4pH:E5\ &N
3 .KP. HL)?x `_4,/$. H℄5A`~Ph ℄5A, L/ = , 3 K phkdo:UF &, S|1999 2007 3 hklko?+ , 6kk o:UN l`L oDt, 3 K5\,M 2000–2006 7 .ekHr&:E M2 hkU℄ F 9&A hkdo:UY;!u,X,!u,X)?fyU*5, &SY
4
i, :Qx
s7lOCi lL / IlL \ f 625*bH xd o:U,SV*bH d ℄5 (D(SV)*b d rA),LR*br&:E,D(M2)*bd rr&.j*5 U,hkU℄ + ^BArQShk U qll`, SkK[B&)iq .J2,r&:E-Shk U wl`, S!k3X5\/ .<-,k=&Ax 0 E$.x ~&)e,ÆT,X L/
I /$dLpi9ql, p!ufy_ .j (T)? - ,hkU℄ i0 hkHC ` <, Sh kKx(q ——U℄A1o o xY 0 xH,^ QE o xY
xe .hkU℄ 2o ~+ r6k ~l&6k wB8 ,3BiC),Dthk (.M2)?"} -`oPr&, 3td r+ ^BA PhkDtBG#Ptd rr&,vir&:E td r+ ^BAq ,r&:ET)? x=i. oP , `~ p K Hr&:E
3 –r&:E J + ^BArQZ44)F+ r6k Dt.(0: td rM2 Utd rr&qBs ,qtd rr&i. Z`EPr&:E).N5 }mWU
(SV)(M2) q:"v-Y , !/f_:iu kHv5\.aH,ekH !
YVARs 2009 &)pÆe?,e?Y8H|
0&.e?~|fyi2009 H /bLob/57 , /x x|CH rr&%. S|&w9n>Æj7d7 `on r/#! rNw,y
2009 < H 55%pi~%. Cp3He?fy
3 , ,H(+s e?,& E: 5\, fyi>
8^[B. KVARs Ys,Mj1998 `, MKPLs1997 1998 "+k>=0Dt"[U2Nt+ r >,^lC2000 1999 rr&( e\C80%<N0 ,=f, K p2001–2009 O(,M.~|6kN e?fyA*6 b( e?fy <e ÆpÆC [).ek Kf
&w8^[B&)5\*6e?fyi>
"0g`;jv
(^W:t})ZNx ss'x \C Rf ;F y\C
6 2001 −−%2002 %2003 %2004 %2005 −−%2006 %2007 %2008 −−2%2009 I %&whkk2001 H
P/WkKN { C ,j2001 e `|2005 e ,kK/
P2{ &,h -j2245 /Re |998 .&w. HkKN rO`P1998 e ,1999–2003 /TN rO , WrOk2003 n| ,
^ C10 v . HÆ. ! >, & * rHnÆ >.j*6e?fy- ,2001 &~N^, BGYwYh kKK{ w2{ 1
626a*\Y4YT\T 31
Ll,kK M{ 2{ 1 99%oU6ko? N .2002 ,2003 , ,i2003 ,% r , BGYwY. HkKn|a 2003 ,2004 `^&N^*g,/$2005 &o?N^, /,ki= wYhkOn: YM2{ ,J/,kwDk . HkKpÆC !.08|2005 , &~N^ xw rr&%,`CHk | x=2{ ,J/ ,),i,2005 rr&q 2004 rr&^lCQJ, k2000 3 V & ^l{/ `,hk .k `pB$ HS&},*6ib2006 `2L l,.2007 iÆTw}2x=
PN rO/ , &- *6HIQI,*6ibw L`u6 7 ,xw rr&%, / : 2009 H :`u( S|&w9n>Æ2009 6d `l06H
u,/4 !oN , 32009 :BG %). ~08i, 52007–2008 rr&< H Z5N rO(2007 2008 rr&kxAHq 2006 /dLo?0 ),vi? fyp4ib^2007 r6ko?,2008 &~N^. ,i2008 ,vow rr&Q{C2007 ,vi? fy15ibw &N^, S[B&)iq
.(08,2008 12d&w9n>Æ `+ r >,wd rr&n|w 0 rr&18%,D ` /<N Dt,q2008 !&N^6kNn40007,i!11d rr&<A11%.) !/f_~iu Kekp/4jed^ Zb D6kN &)e?7 BH, s,&Æ H-iH:EF 5\.a. S|t d7 (B5o x ( L<e ,/$M2 r& (kT,d7- 5s|2Q\-Dt,^l o0 , C ` <NJ7 NfyNW , , edfypÆ/
3,_fyZ
3/$Z~)F}kx=& ([BH,F tPt `Hed:E- D6kNw,fy$lx 0 o, y-2 ), K 6kN td (
3[qAe:GA6kNw Hlt*b,tdr&:EHrt*b,q
td6kNw :lt=rt+rt−1+rt−2rt+(1)rt−1+rt−2+···+rt−118[CuFTdr&:E S{/12Tdr&:E F 6kNw , + / (`C KCCuFTd _2, ~C{// _,2o C0 ,"$ ^CZ8FLA Yz _.*7iW Hv,&~|6kN d e?. PH/ v/ [q, -:KP6kN hkHQDt ,LT1 B, 3996kK^l> NB*N^Yhk/2%; H*e ,"i%*l^/ YMY$;"$,8^x(*p,hkhÆ L #q ,=fw6k> NB*N^hkoUChkH*e , (*g% L/ Z .;H, 3&{e?hk6kNw- hkD- &)pÆLAYz, -i K He?,& 3H-LAYz5\& 3 |, K (5\,& Pwhk L N[H, 9H Ae:> FdNBQ{5%(* > dQ{6%) piNB*g,KfY hkkD-:dH;> dN^Q{5% piN^*g,KfY hkkD-:de ;y
f
&whk{/V 8^ [B&)- ,*7fy L5NY 44 .p/4 (Y L_NY ,eh ~k*g
U ℄ LA^-,/$LA|H*g e *g B| -qBU *U YM/ ! J 3H. A,2001 ℄,0'N ;
u m,&whk- ak / 1 , K5\fynk2001 3 4d LA^6k `~N^ ,k2001 9 10d 2002 1 2d,6k2% N^. ,ihk2005 a g 2007 2009 a 9 , K5\,& !ib^C/ , ,82005 2009 6kN,w# A fySH xd o I?g _.,G.-~ nib^6kNLAfy h kK?g L_ LAYzFH.( C_6kN? fy H xo IkxA9H/ 3%P.
_, 5H x32001 1do .a,edo IQ/,5 `310000. +A2%H&H x #,O~_ xA9/ ).
4
i, :Qx
s7lOCi lL / IlL \ f 627N7^
"0gA,v
−−−−−−−−−−−−−−−−−−−−−−−−−−−−−−−−−−−−−−
"0b {G
O J`J ~iu _%sOp[ f Uu6 kKH x(ib,kK2{ C a K}6k%F /$> N^,kKk/ &^lg ;"kKk{ { C a K26k%F Z NB6 kK,kKk5 /n&^l9 ,/$9 ^l hk `?E/> e .Hvlx- 3j03Hhj:kkK2{ C a kK9S 5 n,_ Z N^kK w L"k_ k ( n& e { ÆY,kKH"k^ P_ ,*g)1,kK^lg .j*7~|fy- ,2005 ^lC> 7Td6k
628a*\Y4YT\T 31
~N^,2007 O^lC> 4Td6k~Pwh kKk2005 6d,n|8^ C 998 ,2007 10d\N|6124 . , ,2005 Pwhk 1000 Y ,kKH 5 n,L0
; hk% |800 L0
; % |600 L9 ^hk% |10 !| ;"kK9S kkK{ { t 5 /n,^ Z ^ pkK,w L"k^ { ÆY,kKHj-dL` 6k,*g)1,kK^l9 .2007 ,whk\H6000 Y,kKH o x0
2N/n,L0
; %- 8000 ,P L0
S%H10000 , Æ -S!K5\q/ .p/4, x= [ x=*lf
- ,%$lwhk^l6k~N^Y,CPIk }99%& N ;
u moUChk6kN^,f
*7fy CPI8^x 3 ^, 52001 2002 Pwx=< Hi&+nÆ2 ,vik6k~N^d7,CPI/ i .2004 6 7d7,hk^lC2000 3-6kCo? N^,CPI-k2004 7dn|2000 3-tdCN .2005 H KP&w9n>Æo?!oN , 36kjhk&o?N^/ ℄,khkU ;<e,6ko?N^,f
*7fy CPI8^x 3 ^,2008 3 4d6ko?N^
5CPIk2008 4dn|2000 3-tdCo .[BH,hr=0 fw$Q&)-S&w1 .fwhk-k2007 10d| ,viU fww}CPI k,XHS,/$k2008 7de^V 3-8^CN .AyLoB;℄|Hv&),y
~dkB x==
3mU: A,&w9n>Æ f=b 2BGk2008 ℄o?oÆN , 5wY wCPI e^V -CN ,v [ =/2-,iN {T ,"&N^ .wYnÆ + > ioU2008 w^l&+nÆ),[=."$,xPw[B&)- ,Ay&w9n>ÆdLk2008 ℄o?oÆN ,y
2Hk2008 8HAf4p+ >, + x=HQDt~Z W .;H,2oj fy id fy- ,hHVAR`)e? r6k Nwi
8^[B&).2oAf,d 5\fy hk*gLAk2001–2009 O(+ ,MS8^[B&): 30M
.J2, 31 *gLAfy hkD-?wpÆY ——W HKL H ,w6k^lNB*gY,hk99Z H;w6k^lN^*gY,hk99Z e .hk*gLAfy 3~d)FD-?w,-,.P [=: /i+ >=F Lq ; #i6 kK Lq .+ >/ -k/ YM} L> ,2% 5nÆ 5+},=fK+ >& 6kNw& 99 Lq ;6 kKZi Lq ,8^x(*p,2oi&w ( kK i f UukK,/u*g4;,kK%2%9PD" 9P# , |*g)~iu _Y j n Cp/4 DHvLA,&i>44 i> LNW , + ,MG5U T8,M, fyi>S0,Mfy/ .f
0+ ,M&:TlVY ,j S|s ,/ O + A, K 0+ ,MG5U1998 1d–2005 8d,1998 1d–2005 11d,2000 1d–2007 10d,2001 1d–2008 4d,2001 6d–2009 3d WB,M, WB,M5,Ys e?,/ WB,M 0,MfypÆ _. &
/B C /BfyU*8 {1998;1–2005;8
"0gA,J f gz1-N1998 1e–2005 8e2005-2-1−−-3-1−−-4-1−−-5-1−−-6-1−−-7-1−−-8-1−− {2001;6–2009;3
"0gA,J f gz1-N2001 6e–2009
4
i, :Qx
s7lOCi lL / IlL \ f 629j*8–9fy 3 ^,`Cx HV<E<2,8,M P6kNw*gLAfyS0,Mfy: 30/ . A C Ke?s ,& ,(Y-pC Ke?fy L_#NW .(KP ? o, 5 D^
/B C /Bfy, Rfy1 ).~i !/a_ Q ?vxAy K ^,&~L LA6kNw,qBG 3W KLAfypÆL +/T+6>V, pÆ!
An,O( +6>VL .AyW LAfypÆ+6! o:_ ,qj/T k)FC K Hs
3 .W “”555\fy,8,MS0,Mfy LN / ,=f 3; 8^H Y ,8,M 0,Mfy- `u,8,Mfy 3H*70,Mfyu )F. A,GLlki2002 12d,W 2003 pÆ+6,y
i5 ~H2002 73!x Ys,/W e?^2002 C :d6kNw*gpÆ+,M 0,MfyN / , P U,ek 3H*7fyu q!3! x Ys ~,W *7fy *gH L (4s/T+6>V,/ _ S8^( o * ,08i,[BBH&,KPwdÆnx=x / iked
#*`3,=f[B=F^_Y -%$ ob/T d. -,w*gLAfyib6k NB*N^Y,^B*_^Æ>khd
#* Y(8HdÆnx=x `3Y)E^.s+6 i2001 5d(
#*)–2009 *7fy,2001 3–4d6k^lo?N^, 32001 5d
#* `8. <2 .KP2003 1–2d6k> NBkK(a H L (4 d> NBQ{6%),k2003 3d
#*^B,^BYo ;2004 6–7d,6k^l> N^,Pik2004 8d
#*_^,_^ 11d6k^l> NB,qk2005 12d
#*^B, 4d6k> N^,Pik2008 5d
#*_^,_^ 2d6k^l> NB,Pik2009 3d
#*^B,^B 6do F Hv+6,
,2001 5d(
#*)–2009 6dG+6>V01o:Ui:( ( kK01o:U,2001 5d
#*H F ,2009 6do ,( H x0?o:U : 3 ^:W 6kNwLA &pÆ+6,{/9 &~~|`QkK! .;H 3$l: KHVARs hkd *gpÆLA,&,2XH0,Me? 8,Me?,fy 2NNW,/$S8^[B&) M
. p Ks ,&i
3,/$ L_N44 ."$,J is L_ LA y, lC #[H . FH-,k :/i P6kNwe?,#i P*g 4 K Pw[ x=Sh . HkK M6kN 7 qlO pÆC[ $.qg&{Y;K[.rF M2 CPI r&< d x BUVARs ,k&{x=O( )?O(.aH,9HVARs M` 2001–2009 MNBN^E^ d e?,$lfyS8^[B&)N M
. K-,~^3e: fX:
/, 3H~ )F[ x= r (VARs ,F e?[ x=6kNBN^[ x=/T A,j" ^/TL e?[ .
#,&{9H~|VARs , 3e?^2009 H oIL157 rr&, xH rr&%, / :ohP6 kK
u X CNY2007 .W KA ,2007 Yo % rr&."k6 kKq y$2005 2008 ,&~N^lx.
F,
o6kNLA,&$l,S fUu6 kKkK*lq ,&whk-*l^kkK2{ C a K}6k%F /$> N^,p kKk/ &^lg ;"kKk{ { C a ,K26k%F Z NB6 kK,p kKk5 /n&^l9 .
630a*\Y4YT\T 31
,Ay x= [ x=*lf
- ,%$lwhk^l6k~N^Y,CPIk }99%&o. 3hj 2007 t&f w `oÆN ,vi2008 !Z hko?e {e, wCPIk &e^10 N.
W, 3H K ^,&Y;6kNwd LA Yz `,)~6kk[ x= MNw*g_44 ,/$ 31 *gLAfypÆ+6.!
Anfy)F^*g+6! `#PkK**X^[1][J].JournalofFinancialEconomics,1974(1):245–302.[2][J].NewEnglandEconomicReview,1978(7):305–366.[3]PearceDK,[J].JournalofBusiness,1983,58:49–67.[4],landprices,andcollateraleffectsoneconomicfluctuations:EvidencefromJapan[J].JournaloftheJapaneseandInternationalEconomies,1998,12:175–203.[5] .7IJR' ,! ? Eu[J].y>% ,1998(1):70–[J].EconomicResearchJournal,1998(1):70–76.[6] lL ,! )T=By>:0
6℄[J].y>% ,2001(5):45–,moneydemandandaggregateeconomy:Ageneralequilibriumanalysis[J].EconomicResearchJournal,2001(5):45–52.[7]O7,(I .'xi lLT,! ? #z[J].l?% ,2001(12):29–,[J].JournalofFinancialResearch,2001(12):29–42.[8]V}), % ,?
s7lqCi lL% [J].p4ej,2001(4):86–,SongQH, screditfundsenteringintothestockmarketinChina[J].ManagementWorld,2001(4):86–95.[9] :,℄}d.?
s7lCl [J].l?4YT\T,2003,23(4):18–,’screditfundsenterthestockmarket[J].FinancialTheoryandPractice,2003,23(4):18–20.[10]7 <.Qx? 7lTi lLma \ % [J].{-l?,2004(12):40–[J].SouthChinaFinance,2004(12):40–42.[11]FriedmanM,[J].ReviewofEconomicsandStatistics,1963,45:32–64.[12][J].QuarterlyJournalofEconomics,1992,107:1261–1282.[13]McCandlessGT,[J].FederalReserveBankofMinneapolisQuarterlyReview,1995,19:2–11.[14]KormendiRC,-regimeevidenceofmacroeconomicrationality[J].JournalofPoliticalEcon-omy,1984,92:875–908.[15]BoschenJF,-runneutralityusingpermanentmonetaryandrealshocks[J].JournalofMonetaryEconomics,1995,35:25–44.[16] h , w$.,! ?' T3 T \ % [J].p4 ,2000(6):34–,[J].JournalofManagementSciencesinChina,2000(6):34–41.[17]M..Qx,!_CBTI_ YJNr ma \ % [J].l?% ,2002(7):10–,priceandmonetaryaggregates[J].JournalofFinance,2002(7):10–17.[18]MG,sg'.,!_C ',
T'xy>sP——/Q \ 6℄[J].* % ,2005(3):14–,,inflationandeconomicgrowthofChina—Theexperimentalanalysisbasedoncointegrationanalysis[J].StatisticaResearch,2005(3):14–19.[19]6M.'x ,!_)T',
[J].y>% ,1995(5):51–,demandandinflationinChina[J].EconomicResearchJournal,1995(5):51–58.