ꆡꆡꆡꆡ쫕죫늻좷뚨ꆢ막욱쫐뎡폫훐맺뻓쏱믵뇒탨쟳췵폀훐3ꆡꆡ쓚죝쳡튪ꆡ놾컄룹뻝훐맺뻓쏱퓚뺭볃쳥훆맬맽돌훐쏦쇙뗄쫕죫늻좷뚨탔돌뛈짏짽뫍막욱쫐뎡뛔믵뇒탨쟳뗄펰쿬죕틦퓶잿뗈틲쯘,붨솢쇋튻룶틽죫막욱볛룱ꆢ뻟폐훐맺쳘즫뗄뒢탮욫뫃탍뻓쏱믵뇒탨쟳몯쫽,횼퓚뷢쫍훐맺돖탸듦퓚뗄뎬뛮믵뇒탨쟳쿖쿳ꆣ샭싛럖컶쿔쪾,훐맺뻓쏱쪵볊믵뇒탨쟳폫쫕죫ꆢ쫕죫늻좷뚨탔뫍듦뿮샻싊헽쿠맘,폫풤웚춨믵엲헍뢺쿠맘,뛸폫막욱볛룱뗄맘쾵늻좷뚨ꆣ뺭퇩퇐뺿랢쿖,훐맺뻓쏱뗄뎤뛌웚믵뇒탨쟳몯쫽쫇쿔훸컈뚨뗄ꆣ볓죫쫕죫늻좷뚨탔뫍막욱볛룱뇤솿뫳,뻓쏱뎬뛮믵뇒탨쟳쿖쿳뗃틔쿻돽ꆣ쫕죫늻좷뚨돌뛈짏짽틔뗝복랽쪽퓶볓뻓쏱뒢탮탨쟳,뛸막볛짏헇틔뗝퓶랽쪽붵뗍뻓쏱뒢탮탨쟳ꆣ맘볼듊ꆡ뻓쏱믵뇒탨쟳쫕죫늻좷뚨막욱볛룱튻틽퇔퓚훐맺떱잰뷰죚쫐뎡늻랢듯,쫐뎡샻싊쫜헾뢮퇏룱볠뿘,믵뇒떱뻖욵랱퓋폃쫽솿뿘훆릤뻟뗷헻믵뇒릩펦솿뗄쳵볾쿂,퇐뺿믵뇒탨쟳몯쫽뗄컈뚨탔컊쳢뻟폐쳘쫢훘튪뗄틢틥ꆣ틲캪퓚샻싊쫜헾뢮뿘훆뛸좱랦ퟣ릻뇤뚯탔,쟒웳튵탅듻뷰탨쟳뗄샻싊쏴룐뛈뗍뗄쟩탎쿂,믵뇒떱뻖쓑틔춨맽샻싊뗈볛룱쫖뛎살뗷뿘믵뇒쫽솿,횻쓜틀삵탅듻맦쒣뿘훆ꆢ뗷헻ힼ놸뷰싊뗈쫽솿뗷뷚릤뻟살뿘훆믵뇒쫽솿ꆣ믵뇒떱뻖뗄쫽솿뿘훆쫖뛎쯤쓜쿔훸펰쿬믵뇒릩펦솿,떫죴믵뇒탨쟳몯쫽늻컈뚨,쫽솿뿘훆헾닟뫜폐뿉쓜닺짺뗷헻솦뛈맽듳뗄컊쳢,뷸뛸틽랢뺭볃늨뚯ꆣ본폚믵뇒탨쟳컊쳢뗄훘튪탔,톧헟쏇뛔훐맺믵뇒탨쟳몯쫽ퟷ쇋듳솿뗄퇐뺿ꆣ헢킩퇐뺿훷튪듓맬뺭볃쳥뗄쫓뷇,뛔훐맺뺭볃룄룯맽돌훐믵뇒릩펦솿뗄퓶뎤싊돖탸룟폚뺭볃퓶뎤싊뫍춨믵엲헍싊횮뫍뗄쿖쿳뷸탐뷢쫍ꆣ훷튪폐솽훖쿠랴뗄맛뗣ꆣ튻훖맛뗣붫맽룟뗄M2/GDP맩뻌캪죋캪틖훆탔춨믵엲헍ꆣ룃싛뗣죏캪,훐맺뗄춳볆볛룱쫇쫜틖훆뗄,뗍맀쇋헦쪵볛룱쮮욽,죴쪹폃헦쪵뗄볛룱쮮욽,믵뇒뗄쫕죫쇷춨쯙뛈붫쟷폚컈뚨,믵뇒쇷춨쯙뛈쿂붵횮쏕붫믡쿻쪧(FeltensteinandHa,1991)ꆣ쇭튻훖맛뗣붫횮맩뷡캪붡뾵뗄믵뇒뮯맽돌ꆣ룹뻝틗룙(1991ꆢ1995)믵뇒뮯볙쮵,뺭볃닺돶럖뷢캪믵뇒뮯늿럖뫍럇믵뇒뮯늿럖,럇믵뇒뮯닺돶쫇ퟔ닺ퟔ쿺ꆢퟔ룸ퟔퟣꆢ쎻폐뷸죫쫐뎡뗄닺돶,헢늿럖닺욷늻탨튪틔믵뇒캪쎽뷩뷸죫쫐뎡ꆣ쯻죏캪,믵뇒뮯맽돌쫇틔믵뇒캪쎽뷩뗄뺭볃믮뚯뇈샽늻뛏퓶뎤,떱뺭볃랢햹쪱,늻뷶ퟜ닺횵퓶볓,뛸쟒믵뇒뮯뺭볃뇈샽튲믡퓶볓ꆣ3췵폀훐:훐맺짧믡뿆톧풺쫀뷧뺭볃폫헾훎퇐뺿쯹놱뺩붨맺쏅쓚듳뷖5뫅ꆡ100732뗧ퟓ탅쿤:yongzhong01@ꆣ쫀뷧뺭볃3ꆡ2009쓪뗚1웚ꆡꆤ26ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
췵폀훐ꆡꆡ틲듋,떱뺭볃듦퓚믵뇒뮯맽돌쪱,붫믡닺짺뛮췢뗄믵뇒탨쟳,듓뛸룄뇤믵뇒탨쟳훐풭폐뇤솿맘쾵ꆣ폠폀뚨(2002)죏캪,뗍춨믵엲헍싊ꆢ룟뒢탮싊ꆢ룟늻솼햮좨싊ꆢ웳튵쇴샻쮮욽뗍ꆢ놾쫐뎡늻랢듯뫍웳튵뷰샻폃쮮욽뗍뗈틲쯘쫇훐맺쓜릻퓚믵뇒릩펦솿퓶뎤쯙뛈듳듳룟폚GDP퓶뎤쯙뛈뗄쟩뿶쿂틀좻쓜릻놣돖컯볛컈뚨뗄풭틲ꆣ20쫀볍90쓪듺틔살,맺폐웳튵ꆢ힡랿ꆢ튽쇆뫍뷌폽뗈쳥훆뇤룯훰늽췆뷸,떼훂뻓쏱쫕죫닮뻠죕틦삩듳,쫕죫횧돶늻좷뚨돌뛈늻뛏짏짽ꆣ틲듋,뻓쏱쟣쿲폚룼뛠뗘돖폐풤럀탔뒢탮살펦뛔늻좷뚨탔탔ꆣ좻뛸,돽틸탐듦뿮횮췢,웤쯻쳦듺탔닺뗄맦쒣죔뇈뷏킡,훂쪹뻓쏱퓶볓뗄뒢탮쿠떱듳튻늿럖틔뒢탮듦뿮뗄탎쪽듦퓚,듓뛸뻓쏱뒢탮듦뿮탨쟳톸쯙퓶볓ꆣ쟘뛤(2002)랢쿖,룄룯틔살훐맺뻓쏱쫕죫늻좷뚨탔돌뛈(쫕죫뇪ힼ닮)뗄퓶듳ꆢ뻓쏱믽샛뷰죚닺뗄춾뺶떥튻뗈틲쯘쫇퓬돉훐맺뻓쏱뒢탮듦뿮ꆢힼ믵뇒ꆢM2/GDP돖탸뎬룟쯙퓶뎤뗄훘튪틲쯘ꆣ짏쫀볍90쓪듺돵탋웰뗄막욱쫐뎡,늻뷶퓶볓쇋훐맺뻓쏱춶뷰죚릤뻟뗄뿉톡퓱탔,뛸쟒쪹뗃훐맺믵뇒탨쟳폫샻싊ꆢ막욱쫕틦싊뗈믺믡돉놾틲쯘닺짺쇋쏜쟐뗄솪쾵ꆣ틗탐붡(2004)뺭퇩퇐뺿랢쿖,훐맺막욱쇷춨쫐횵폫믵뇒탨쟳ퟜ솿뢺쿠맘,뛸막볛짏헇뫍막욱쇷춨쫐횵짏짽퓶잿쇋믵뇒쇷뚯탔ꆣ췴뫬뻔ꆢ헅믛솫(2006)죏캪,막쫐쫕틦싊쿂붵뫍막쫐쫕틦싊랽닮퓶듳(춶럧쿕짏짽)붫퓶볓뒢탮듦뿮탨쟳ꆣBaharumshah뗈(2007)횸돶,막욱볛룱뛔훐맺맣틥믵뇒뗄뎤웚탨쟳닺짺쿔훸쳦듺킧펦,늢쟒,틅슩막볛횸쫽뇤솿붫떼훂훐맺뎤ꆢ뛌웚믵뇒탨쟳몯쫽닺짺퇏훘뗄컳짨컊쳢ꆣ놾컄뾼달쫕죫늻좷뚨ꆢ막욱쫐뎡폫훐맺뻓쏱믵뇒탨쟳뗄맘쾵컊쳢ꆣ뛔폚훐맺돇쿧뻓쏱뛸퇔,돖폐뗄믵뇒훷튪뿉럖캪솽룶닣듎:튻쫇쿖뷰M0;뛾쫇뒢탮듦뿮,냼삨믮웚듦뿮뫍뚨웚듦뿮ꆣ뻓쏱돖폐쿖뷰훷튪풴폚붻틗탨쟳,돖폐믮웚듦뿮훷튪돶폚붻틗탨쟳뫍풤럀탔탨쟳,뛸돖폐뚨웚듦뿮뿉맩폚볛횵뒢님탨쟳뫍풤럀탔탨쟳ꆣ믹폚훐맺떱잰짧믡놣헏쳥쾵늻췪짆ꆢ뻓쏱횧돶늻좷뚨돌뛈늻뛏짏짽헢튻쿖쪵,놾컄횱뷓붫뚨웚듦뿮폠뛮틽죫쿻럑헟뗄킧폃몯쫽훐,듓뛸,뚨웚듦뿮뫍쿻럑퓚뻓쏱룶죋뗄짺쏼훜웚쓚쪼훕듦퓚ꆣ뛾ꆡ샭싛쒣탍볙뚨튻룶듺뇭탔뻓쏱뗄벴쪱킧폃몯쫽u(t)뿉뇭쪾캪:u(t)=u(c(t),m(st))(1)ꆡꆡ웤훐,c(t)캪쪵볊쿻럑솿,ms(t)캪쪵볊뚨웚듦뿮폠뛮,듺뇭컞럧쿕볛횵훼듦ꆣ퓚쪱뿌t,듦뿮폠뛮ms풽듳,뻓쏱뗄싺ퟣ룐ꆢ낲좫룐풽룟,킧폃몯쫽횵풽듳ꆣ헢훖쟩뿶춬뒫춳킧폃몯쫽훐ퟷ캪붻뮻쎽뷩뗄쿖뷰(믮웚듦뿮)뗄뗘캻쿠쯆ꆣ쿖뷰놾짭늻쓜놻쿻럑,횻쓜폃폚릺싲쿻럑욷ꆣ떫쿖뷰캪릺싲쿻럑욷쳡릩쇋랽뇣,틲뛸뻟폐뛀솢뗄킧폃ꆣ퓚쫕죫룸뚨쳵볾쿂,c(t)뫍m(st)횮볤듦퓚쳦듺맘쾵,틲듋킧폃몯쫽듦퓚ퟮ듳뮯컊쳢ꆣ쪵볊짏,헢훖뛔뒢탮듦뿮뗄뎬뛮탨쟳믲ꆰ욫뫃ꆱ쿖쿳,퓚떱잰훐맺뻟폐맣랺뗄듺뇭탔ꆣ퓚훐맺뺭볃쳥훆맬맽돌훐,맺폐웳튵뗄햽싔훘ퟩ뫍쯹폐훆룄퓬ꆢ뷌폽튽쇆횧돶뗄퓶볓ꆢ짧믡놣헏쳥쾵뗄늻췪짆,쪹뗃뻓쏱쏦쇙뗄쫕죫횧돶늻좷뚨럧쿕퓶듳,뻓쏱뗄풤럀뚯믺탨쟳퓶볓ꆣ퓚뷰죚쫐뎡늻랢듯쳵볾쿂,뻓쏱뿉틔톡퓱폃폚맦뇜쫕죫늻좷뚨럧쿕뗄뷰죚릤뻟럇뎣폐쿞,횻쓜춨맽돖폐뒢탮듦뿮뗄랽쪽살맦뇜늻좷뚨탔럧쿕ꆣ뛸쟒,뎤웚틔살탎돉뗄돧짐뷚볳뗄컄뮯뒫춳,튲쪹뗃훐맺뻓쏱뗄뒢탮듦뿮탨쟳쿔훸룟폚웤쯻맺볒ꆣ틲듋,킧폃몯쫽(1)뷼쯆뿌뮭쇋떱잰훐맺뻓쏱퓚쫕죫늻좷뚨럧쿕짏짽쳵볾쿂뛔뒢탮듦뿮뗄뎬뛮탨쟳믲욫뫃ힴ뿶ꆣ뻓쏱ퟮ듳뮯탐캪뗄쫽톧뇭쫶쫇:퓚튻뚨풤쯣풼쫸쳵볾쿂,춨맽퓚쿻럑c(t)폫뚨웚듦뿮폠뛮m(st)횮볤뗄쫀뷧뺭볃3ꆡ2009쓪뗚1웚ꆡꆤ27ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆡꆡ쫕죫늻좷뚨ꆢ막욱쫐뎡폫훐맺뻓쏱믵뇒탨쟳톡퓱,틔쪹ퟔ벺퓚쒳튻쪱뛎(0,n)짏뗄킧폃듯떽ퟮ듳(BarroandGrossman,1976)ꆣU=ꇒnu(t)dt(2)0ꆡꆡ퓚쿻럑몯쫽뗄샫즢쪱볤쒣탍샯,튻훖뷏캪웕뇩뗄ퟶ램쫇,볙뚨튻룶뗤탍뻓쏱듓떱웚뾪쪼쪱,틔떱잰뗄볛룱ꆢ릤싊뫍쫕죫뗈탅쾢틔벰뛔캴살쿠펦뇤솿뗄훷맛뗣풤웚캪믹뒡,훆뚨캴살폠짺뗄쿻럑볆뮮ꆣ튻냣뗄샫즢쪱볤킧폃몯쫽횻뾼싇솽룶쪱웚:ꆰ쿖퓚ꆱ뫍ꆰ붫살ꆱꆣ뻓쏱퓚듋뫳쯹폐쪱웚훐뗄킧폃,췹췹폃ꆰ붫살ꆱ헢룶쪱웚뷡쫸쪱뻓쏱쯹펵폐뗄믵뇒폠뛮살듺뇭(NearyandStiglitz,1983;King,1985)ꆣ캪폫쿻럑몯쫽뗄췆떼놣돖튻훂탔,컒쏇볙뚨킧폃몯쫽뻟폐뿉럖탔뫍뿉볓탔,뻓쏱볆뮮쪱폲럖캪ꆰ쿖퓚ꆱ(쪱웚1)ꆢꆰ캴살ꆱ(쪱웚2),틔벰ꆰ캴살ꆱ뷡쫸뫳튻룶뛌퓝뗄쿻럑룟럥웚ꆣ볙뚨뗚2웚(ꆰ캴살ꆱ)뷡쫸횮뫳,뻓쏱폐튻룶뇘탫쪵쿖뗄닺(뒢탮듦뿮볓웤쯻뷰죚닺)쒿뇪,늢쟒헢룶훕벫뒢탮쒿뇪뛔폚뗤탍뻓쏱살쮵쫇룸뚨뗄,늢늻뷸죫킧폃몯쫽뛸뷶뷸죫킧폃몯쫽뗄풤쯣풼쫸쳵볾ꆣ듺뇭탔뻓쏱뗄킧폃몯쫽뇭쪾캪:u=ꛁ1lnc1+ꛂ1lnms1+ꛕ(ꛁ2lnc2+ꛂ2lnms2)(3)ꆡꆡꛁiꆢꛂ(ii=1,2)럖뇰뇭쪾뻓쏱듓쿻럑뫍뚨웚듦뿮훐믱뗃뗄킧폃떯탔,듺뇭쿠펦뇤솿퓚ퟜ킧폃훐뗄좨쫽ꆣꛕ=1/(1+ꛄ)(ꛄ캪쪱볤욫뫃싊믲훷맛쳹쿖싊)ꋙ쫇뛔쫽쿟탔킧폃몯쫽훐뗄헛쿖틲ퟓꆣ쿂뇪1뫍2럖뇰듺뇭떱잰폫캴살솽룶늻춬쪱웚ꆣ쯤좻뻓쏱퓚뗚2웚쒩붫ퟟ떽짺쏼뗄뺡춷,떫웤틀좻믡돖폐뒢탮듦뿮,뛸늻믡볆뮮퓚짺쏼뷡쫸횮잰냑뒢탮듦뿮폠뛮복캪쇣ꆣ쿔좻,뻓쏱쏦쇙뗄쫕죫늻좷뚨럧쿕ꛒ폫뻓쏱듓돖폐뒢탮듦뿮훐믱뗃뗄킧폃떯탔ꛂ돊헽쿠맘맘쾵ꆣ퓚쫕i죫횧돶늻좷뚨돌뛈ꛒ짏짽쟩뿶쿂,뻓쏱캪믘뇜늻좷뚨탔럧쿕,뇘좻톡퓱복짙쿻럑,퓶볓뒢탮,틔욽뮬웤짺쏼훜웚쓚뗄쿻럑ꆣ퓚뷰죚쫐뎡늻랢듯쳵볾쿂,뻓쏱퓶볓뗄뒢탮훷튪틔틸탐뚨웚듦뿮뗄탎쪽듦퓚ꆣ틲듋,퓚킧폃ퟮ폅뮯쳵볾쿂,쫕죫늻좷뚨럧쿕뗄짏짽,붫쪹뗃뻓쏱뛔뚨웚듦뿮뗄킧폃움볛ꛂi쳡룟,뷸뛸퓶볓뚨웚듦뿮뗄돖폐맦쒣,벴ꛂꇤ(ꛒ)>0ꆣ캪랽뇣웰볻,볙뚨ꛒ뛔ꛂ1ꆢꛂ2닺짺쿠춬펰쿬,듓뛸,ꛂi1/ꛂ2캪뎣쫽ꆣ볙뚨튻맺뺭볃캪럢뇕뺭볃ꋚ,뻓쏱퓚돶짺쪱쎻폐믱뗃죎뫎틅퓹,돵쪼닆뢻캪0ꆣ뻓쏱퓚짺쏼뗚1웚닎볓릤ퟷ,믱뗃쏻틥릤쫕죫W1;퓚짺쏼뗚2웚췋택,믱뗃쏻틥췋택쫕죫캪W2ꆣ컒쏇붫뒦폚짺쏼뗚1ꆢ2뷗뛎뗄뻓쏱럖뇰돆횮캪ꆰ쓪쟡죋ꆱꆢꆰ샏쓪죋ꆱꆣ퓚뗚1웚,뻓쏱붫쏻틥릤쫕죫W1폃폚릺싲쿻럑욷ꆢ춶막욱ꆢ듦죫틸탐뚨웚듦뿮헋뮧ꆢ돖폐믮웚듦뿮뫍쿖뷰뗈폃춾ꆣ퓚뗚2웚,뻓쏱룹뻝췋택쫕죫W2뫍뷰죚닺뗄맦쒣(막욱뫍듦뿮),뻶뚨쿻럑욷뗄릺싲솿ꆢ뚨웚듦뿮춶틔벰믮웚듦뿮(쿖뷰)뗄돖폐솿ꆣ뻓쏱믵뇒탨쟳뗄풼쫸쳵볾캪:c1Pc1+M11+Ms1+E1Pe1=W1(4)c2Pc2+Ms2+M12=W2+(1+i)Ms1+E1Pe2ꆡꆡci캪1ꆢ2웚쪵볊쿻럑,Pci캪1ꆢ2웚쿻럑욷볛룱(쪵볊짏캪뿉쫓캪컯볛횸쫽),M1i캪1ꆢ2웚쿖뷰뫍믮웚듦뿮뗄쏻틥퓶솿,Msi캪쏻틥뚨웚뒢탮듦뿮,i캪뚨웚듦뿮샻싊,E1캪뗚1웚싲죫뗄막욱(퓚뗚2웚늻퓙릺싲탂막욱),E1Pe캪막쫐쫐횵,막욱볛룱퓚1ꆢ2웚룷늻쿠춬ꆣ뿉붫헢솽룶풤쯣풼쫸쳵볾뇤캪튻룶냼몬솽룶쪱웚뗄풤i쯣풼쫸쳵볾:ꋙ쪱볤욫뫃싊풽듳틢캶ퟅ뻓쏱뛔쿖퓚뗄킧폃풽훘쫓,뛸캴살뗄킧폃볛횵풽짙ꆣ틲뛸,캴살킧폃퓚뻓쏱쿻럑몯쫽훐뗄좨쫽튲뻍풽킡ꆣ캴살킧폃헛쿖틲ퟓꛕꇔ1/(1+ꛄ)뗄췆떼뿉닎퓄웤쯻컄쿗뫍뷌뿆쫩ꆣꋚ쯦ퟅ훐맺뺭볃뾪럅뛈뗄쳡룟,믵뇒쳦듺뫍놾쇷뚯뛔훐맺믵뇒탨쟳뗄펰쿬붫훰늽퓶잿ꆣ떱잰,퓚죋쏱뇒짽횵풤웚쿂,돶쿖듳솿맺췢놾뷸죫훐맺뗄쿖쿳,뇣쫇튻룶쏷쿔샽횤ꆣ떫쫇,훐맺쒿잰짐캴럅뾪놾맜훆,뛌웚놾쯤뿉춨맽럇헽맦짵훁럇램춾뺶뷸돶훐맺,떫놾쇷뚯쯙뛈폫맦쒣뇏뺹폐쿞ꆣ뛸쟒,췢뇒뒢탮맦쒣햼죋쏱뇒뒢탮뗄뇈샽짐뒦폚뷏뗍뗄쮮욽ꆣ틲듋,듓ퟜ쳥짏살쮵,믵뇒쳦듺뫍놾쇷뚯뛔훐맺믵뇒탨쟳뗄펰쿬뷏킡ꆣ쯹틔,놾컄늻뾼싇믵뇒쳦듺뫍놾쇷뚯뛔뻓쏱믵뇒탨쟳뗄펰쿬ꆣ쫀뷧뺭볃3ꆡ2009쓪뗚1웚ꆡꆤ28ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
췵폀훐ꆡꆡW1-(c1Pc1+M11+Ms1)c=2Pc2+Ms2+M12-(W2+(1+i)Ms1)(5)Pe1Pe2ꆡꆡ쇮wi=Wi/Pciꆢm1i=M1i/Pciꆢmsi=Msi/Pci,퓲wiꆢm1iꆢmsi럖뇰캪뻓쏱쪵볊릤(췋택뷰)쫕죫ꆢ쪵볊믮웚듦뿮뫍쿖뷰ꆢ쪵볊뚨웚듦뿮ꆣ춬쪱,쇮ꛐ=Pc2/Pc1-1ꆢꛑ=Pe2/Pe1-1,퓲ꛐꆢꛑ럖뇰캪춨믵엲헍싊ꆢ막욱볛룱짏헇쯙뛈ꆣ뿉붫쪽(5)뇤뮻캪:[w1-(c1+m11+ms1)](1+ꛐ)(1+ꛑ)=c2+ms2+m12-w2-(1+i)ms1/(1+ꛐ)(6)ꆡꆡ뺭헻샭뿉뗃c2m12m2w:c1++m11++mss1+w21+(1+ꛐ)(1+ꛑ)(1+ꛐ)(1+ꛑ)(1+ꛐ)(1+ꛑ=)(1+ꛐ)(1+ꛑ)1+i+ꆣ쿂쏦컒쏇뷸튻+ꛑms1(1+ꛐ늽뾼달뻓쏱뛔쿖뷰뫍믮웚듦뿮뗄탨쟳ꆣ듓릦쓜뷇뛈뾴,m11좡뻶폚쿻럑)(1)욷뫍닺(막욱)뗄붻틗탨쟳,m12좡뻶폚뛔쿻럑욷뗄붻틗탨쟳(뻓쏱퓚뗚2웚늻퓙싲죫막욱)ꆣ짨m11=ꛌc1+ꛍE1Pe1/Pc1ꆢm12=ꛌc2,ꛌꆢꛍ럖뇰캪쿻럑욷ꆢ막욱뗄믵뇒붻틗탨쟳쾵쫽ꆣ듓뛸풼쫸쳵볾뿉룄킴캪:(1+ꛌ)c1+(1+ꛌ)c2ꛍE1Pe1ms2w1+i+m=w2Ps1+(1+ꛐ1+)(1+ꛑ+)c1(1+ꛐ)(1+ꛑ)(1+ꛐ)(1+ꛑ+2ms1,샻폃삭룱샊죕)(1+ꛐ)(1+ꛑ)뚨샭쟳뷢,뿉뗃:ꛂw2ꛍE1Pe11[w1-](1+ꛐ)(1+ꛑ)Pmc1(7)s1=(ꛁ1+ꛕꛁ2+ꛂ1+1+ꛕꛂi2)[1-2(1+ꛐ)(1+ꛑ])ꆡꆡ쪽(7)쿔쪾,뻓쏱뛔뗚1웚(쓪쟡쪱)쪵볊뚨웚듦뿮탨쟳ms1,폫쪵볊쫕죫쮮욽wiꆢ쫕죫늻좷뚨ꛒ(ꛂꇤ1(ꛒ)>0)ꆢ쏻틥듦뿮샻싊i헽쿠맘,폫춨믵엲헍싊ꛐꆢ막욱볛룱짏헇싊ꛑ뢺쿠맘ꆣ쿔좻,ꛑ캪ms1뗄믺믡돉놾뇤솿ꆣ막볛짏헇붫떼훂막욱컼틽솦짏짽,뻓쏱뚨웚듦뿮탨쟳쿂붵ꆣ평삭룱샊죕뚨샭튲뿉뗃돶:ꛕꛂwvE1Pe12(1+ꛐ)(1+ꛑ)[w1+2(1+ꛐ)(1+ꛑ-])Pmc1s2=ꛁ1+ꛕꛁ2+ꛂ1+ꛕꛂ(8)2ꆡꆡ쪽(8)뇭쏷,뻓쏱뛔뗚2웚(쓪샏쪱)쪵볊뚨웚듦뿮탨쟳ms2폫쫕죫늻좷뚨ꛒ(ꛂꇤ2(ꛒ)>0)ꆢ막볛짏헇싊ꛑꆢ춨믵엲헍싊ꛐ뻹돊헽쿠맘맘쾵ꆣ막욱볛룱짏헇춨맽닆뢻킧펦떼훂뚨웚듦뿮탨쟳퓶볓,벴막볛짏헇쪹뗃뻓쏱뷰죚닆뢻짏짽,듓뛸뻓쏱믵뇒탨쟳퓶볓ꆣ춨믵엲헍싊짏짽떼훂샏쓪죋뚨웚듦뿮탨쟳짏짽,튻훖뿉쓜뗄뷢쫍쫇,춨믵엲헍쟖쪴쇋샏쓪죋뗄막욱ꆢ틸탐듦뿮뗈뷰죚닺뗄쪵볊볛횵,샏쓪죋돶폚풤럀뫍낲좫뗄뾼싇,놻웈룼뛠뗘돖폐뚨웚듦뿮ꆣ뻟쳥살쮵,풤웚춨믵엲헍싊뗄짏짽,춨맽틔쿂춾뺶펰쿬샏쓪죋뚨웚듦뿮탨쟳:튻쫇쳦듺킧펦,돖폐뚨웚듦뿮뗄돉놾짏짽떼훂뚨웚듦뿮탨쟳쿂붵;뛾쫇닆뢻킧펦,샏쓪죋돖폐뗄뷰죚닺쯵쮮붫붵뗍뚨웚듦뿮탨쟳;죽쫇풤럀뚯믺킧펦,퓚쫕죫늻좷뚨돌뛈짏짽쟩뿶쿂,샏쓪죋돶폚풤럀뚯믺뫍낲좫뗄뾼싇,탨튪룼뛠돖폐뚨웚듦뿮ꆣ뗚죽룶킧펦듳폚뗚튻ꆢ뛾룶킧펦횮뫍,벴풤웚춨믵엲헍싊뗄짏짽,붫떼훂샏쓪죋뚨웚듦뿮탨쟳뗄짏짽ꆣ틲듋,샏쓪죋뚨웚듦뿮탨쟳샠쯆폚ꆰ벪럒짌욷ꆱ,돖폐뚨웚듦뿮돉놾믲볛룱풽룟,뚨웚듦뿮탨쟳풽듳ꆣ평폚뻓쏱뒦폚짺쏼훜웚뗄늻춬뷗뛎,틲뛸듦퓚볓ퟜ컊쳢ꆣ볙뚨뺭볃훐죋뿚맦쒣캪1떥캻,쟒쓪쟡죋뫍샏쓪죋뗄쫽솿쿠뗈,듓뛸,쓪쟡죋뫍샏쓪죋뗄맦쒣뻹캪떥캻ꆣ틲듋,뻓쏱볓ퟜ(믲욽뻹)뗄쪵볊믵뇒(쿖뷰ꆢ믮웚듦뿮뫍뚨웚듦뿮)탨쟳몯쫽뿉뇭쪾캪:md=(m11+ms1)+(m12+ms2)ꆡꆡꆡꆡꆡꆡꆡꆡꆡ=ꛌ(c1+c2)+ꛍE1Pe1/Pc1+(ms1+ms2)쫀뷧뺭볃3ꆡ2009쓪뗚1웚ꆡꆤ29ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆡꆡ쫕죫늻좷뚨ꆢ막욱쫐뎡폫훐맺뻓쏱믵뇒탨쟳wꛍE1Pe1ꛌꛁꛌꛕꛁw1+2ꛑꛂ1+ꛐ+ꛑ-P=12c1ꛍE+1Pe1[)+1(1+2ꛐ+ꛑ)(9)1+ꛌ+(1+ꛌ+ꛕꛂ2)(1+ꛐ+2ꛐ+ꛑ]-i2(ꛁ1+ꛕꛁ2+ꛂ1+ꛕꛂ2)2Pc1ꆡꆡ뛔md럖뇰쟳쫕죫쮮욽wiꆢ쫕죫늻좷뚨ꛒꆢ듦뿮샻싊iꆢ춨믵엲헍싊ꛐꆢ막욱볛룱짏헇싊ꛑ뗄욫떼쫽캪ꋙ:5mdmd5md5ꛂꛌꛕꛁi2>0(i=1,2)ꆢ5(5wi5ꛒ=5ꛂi5ꛒ>0(i=1,2)뫍5md>0ꆣ5md/5ꛐ뿉뇭쪾캪5md1:5i5ꛐ=2ꛋ[1+ꛌ+ꛕꛂ2)-2ꛂ1(1+i)w2ꚤ2]-(2ꛐ+ꛑ-i)2(1+ꛐ+ꛑ2)(ꛁ1+ꛕꛁ2+ꛂꆣ웤훐,ꚤꛌꛁ1ꛌꛕꛁ2=1+ꛕꛂ2)1-ꛌ+(1+ꛌ+ꛕꛂ2)(1+ꛐ+ꛑ)+ꛂ1(1+2ꛐ+ꛑ)ꆣ5md/5ꛐ헽뢺럻뫅늻좷뚨,뗚튻쿮캪헽,뗚뛾ꆢ죽쿮캪뢺ꆣ퓚뒢탮틢풸뷏뗍(ꛕ뷏킡)ꆢ뚨웚2ꛐ+ꛑ-i듦뿮룸샏쓪죋듸살뗄뇟볊킧폃뷏뗍(ꛂ2뷏킡)쟩뿶쿂,풤웚춨믵엲헍짏짽,뻓쏱붫퓶볓쿖웚쿻럑,복짙믵뇒(믮웚듦뿮뫍뚨웚듦뿮)돖폐솿,벴5md/5ꛐ<0ꆣ퓚뷚볳틢풸잿(ꛕ듳)ꆢ뚨웚듦뿮킧폃듳(ꛂ2듳)뗄쟩뿶쿂,풤웚춨믵엲헍짏짽,붫떼훂뻓쏱돖폐뗄믵뇒ꆢ막욱뗈뷰죚닺뇡횵,뻓쏱캪캬돖볈뚨뗄낲좫놣헏쮮욽,늻뗃늻복짙쿻럑,퓶볓돖폐믵뇒ꆣ뛸쟒,춨믵엲헍쮮욽풽룟,뛔춨믵엲헍붫뷸튻늽볓뻧뗄풤웚뻍풽잿쇒,떼훂뻓쏱퓶돖뚨웚듦뿮믵뇒뗄뿉쓜탔튲뻍풽듳,벴5md/5ꛐ>0ꆣ평쪽(7)ꆢ(8)횪,샏쓪죋ꆢ쓪쟡죋펦뛔춨믵엲헍짏짽뗄랽쪽쫇쿠랴뗄,쓪쟡죋쟣쿲폚복짙뒢탮,샏쓪죋톡퓱퓶볓뚨웚듦뿮ꆣ틲듋,죴뺭볃훐쓪쟡죋뇈훘뷏듳,춨믵엲헍싊짏짽붫붵뗍뒢탮탨쟳ꆣ쯹틔,퓚춨뎣쟩뿶쿂,5md/5ꛐ<0뿉쓜탔펦룃뇈뷏듳ꆣ떱좻,헢탨튪뺭퇩쫽뻝뗄볬퇩ꆣ5md/5ꛑ뇭듯쪽캪:5md1ꛌꛕꛁ21(1+i)w2ꚤ+ꛕꛂꛂ5ꛑ=2)-2ꛋ[(1+ꛌ2]-(2ꛐ+ꛑ-i)2(1+ꛐ+ꛑ2)(ꛁ1+ꛕꛁ2+ꛂ1+ꛕꛂ2)5md/5ꛑ폫5md/5ꛐ뗄뇭듯쪽벸뫵쿠춬,횻쫇퓚뗚뛾쿮쾵쫽횵짏듦퓚닮뇰,잰헟캪뫳헟뗄튻냫ꆣ틲듋,5md/5ꛑ>0뗄룅싊듳폚5md/5ꛐ>0ꆣ룹뻝쪽(7)뫍(8),막욱볛룱짏헇뛔쓪쟡죋듦뿮믵뇒탨쟳쫇틔쳦듺킧펦캪훷,뛔샏쓪죋퓲틔닆뢻킧펦캪훷ꆣ틲뛸,막볛짏헇뛔믵뇒탨쟳뗄펰쿬랽쿲좡뻶폚솽헟솦솿뗄뛔뇈ꆣ듓짏쪽뿉뾴돶:퓚뻓쏱뒢탮틢풸뷏룟(ꛕ듳)뫍뚨웚듦뿮킧폃뷏룟(ꛂ2듳)쳵볾쿂,막볛짏헇뛔샏쓪죋닺짺뗄닆뢻킧펦뿉쓜듳폚뛔쓪쟡죋뗄쳦듺킧펦,믵뇒탨쟳퓶볓,벴5md/5ꛑ>0;퓚막욱볛룱짏헇싊ꛑ뷏룟(솽룶뢺쿮횵뷏킡)쟩뿶쿂,막볛짏헇싊뗄뷸튻늽짏짽,뻓쏱붫틢쪶떽막욱럧쿕맽룟,샭탔뻓쏱믡톡퓱싴돶막욱,퓶볓돖폐믵뇒;죴뻓쏱퓚쓪쟡쪱릺싲뗄막욱닺ꛍE1Pe1/Pc1풽뛠(ꛋ횵풽킡),뻓쏱듓막볛짏헇훐믱뗃뗄춶쫕틦풽뛠,듓뛸뷰죚닺맦쒣풽듳,폚쫇,퓚닆뢻킧펦ퟷ폃쿂,뻓쏱돖폐뗄듦뿮믵뇒솿짏짽ꆣ퓚뻓쏱뒢탮틢풸늻룟ꆢ듦잮럀샏맛쓮늻잿틔벰풤웚춨믵엲헍뫍막볛짏헇싊쮮욽뷏뗍뗄쳵볾쿂,막욱볛룱짏헇붫훷튪뛔믵뇒탨쟳닺짺쳦듺킧펦ꆣ폚쫇,훐맺뻓쏱쪵볊믵뇒탨쟳몯쫽뗄튻냣탎쪽뿉뇭쪾캪:mD=f(w,ꛒ,ꛐ,i,ꛑ)(10)ꆡꆡ쪵볊쫕죫쮮욽w캪맦쒣뇤솿,쫕죫늻좷뚨ꛒ캪훆뚨뇤솿(쫕죫럖엤훆뛈)ꆢ춨믵엲헍싊ꛐꆢ쏻틥듦뿮샻싊i캪믺믡돉놾뇤솿,뛸막욱볛룱짏헇싊ꛑ쫇럱캪맦쒣뇤솿믲믺믡돉놾뇤솿짐늻좷뚨ꆣ내Friedman(1988)맛뗣,막볛짏헇붫떼훂뻓쏱뷰죚닆뢻퓶볓뷸뛸믵뇒탨쟳짏짽,떫튲폐뿉쓜쪹뗃막욱컼틽솦퓶볓틔훂뻓쏱복짙믵뇒돖폐솿ꆣ쿔좻,잰헟뇭쏷ꛑ캪맦쒣뇤솿,뫳헟쿔쪾웤캪믺믡돉놾뇤솿ꆣD춨맽욫캢럖랽램뿉좷뚨몯쫽훐룷뇤솿뛔믵뇒탨쟳뗄펰쿬ꆣ룹뻝쪽5mD5mD(9)뗄뷡싛5:>0,>05w5ꛒ>0,,5iꋙ뾼싇떽md뇭듯쪽뇈뷏뢴퓓,컒쏇룹뻝퓋쯣맦퓲ퟶ돶쇋튻킩뫏샭뗄볲뮯뒦샭,죧(1+ꛐ)(1+ꛑ)=1+ꛐ+ꛑꆢ(1+ꛐ2)(1+ꛑ)=1+2ꛐ+ꛑꆣ쫀뷧뺭볃3ꆡ2009쓪뗚1웚ꆡꆤ30ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
췵폀훐ꆡꆡD5mD쿂돉솢5m;5ꛑ뗄헽뢺eꛐ<0퓚춨뎣쟩뿶뫅늻좷뚨,좡뻶폚쳦듺킧펦뫍닆뢻킧펦뗄솦솿뛔뇈ꆣ죽볆솿쒣탍ꆢ랽램뫍쫽뻝(튻)볆솿쒣탍퓚뒫춳뷌뿆쫩훐,믵뇒탨쟳몯쫽춨뎣놻볲뷠뗘짨뚨캪쪵볊믵뇒폠뛮탨쟳m폫붻틗믲맦쒣뇤솿y뫍믺믡돉놾뇤솿r횮볤뗄맘쾵,벴m=f(y,r)ꆣ헢튻볲떥쒣탍춨뎣돉캪믵뇒탨쟳몯쫽뺭퇩럖컶뗄샭싛웰뗣ꆣ놾컄샭싛럖컶뇭쏷,훐맺뻓쏱쪵볊믵뇒탨쟳솿폫쪵볊쿻럑쮮욽ꆢ쫕죫늻좷뚨탔ꆢ틸탐듦뿮샻싊헽쿠맘,폫춨믵엲헍싊뢺쿠맘,폫막욱볛룱뗄맘쾵늻좷뚨ꆣ뻓쏱쪵볊믵뇒탨쟳몯쫽뗄뺭퇩랽돌뿉짨뚨캪:m=f(y,ꛒ,r)(11)ꆡꆡy캪붻틗믲맦쒣뇤솿(쪵볊GDP)ꆣꛒ캪쫕죫늻좷뚨탔,폃쪡볊돇헲뻓쏱죋뻹뿉횧엤쫕죫뇪ힼ닮뇭쪾ꆣm=(m0,mp,mh)ꇤ캪뻓쏱돖폐믵뇒쪵볊폠뛮쿲솿,냼삨죽룶닣듎믵뇒듦솿:튻쫇쪵볊쿖뷰폠뛮m0;뛾쫇돇쿧뻓쏱쪵볊뒢탮듦뿮mp,냼삨뻓쏱뗄믮웚듦뿮뫍뚨웚듦뿮;죽쫇뻓쏱돖폐뗄쪵볊믵뇒폠뛮mh,쫇잰솽룶닣듎믵뇒폠뛮횮뫍,벴mh=m0+mpꆣ돖폐믵뇒뗄믺믡돉놾냼삨믵뇒ퟔ짭뗄쫕틦싊뫍쳦듺닺뗄쫕틦싊ꆣ쿲솿er=(r,ps,p)ꇤ캪뻓쏱돖폐믵뇒뗄믺믡돉놾,냼삨죽룶뇤솿:튻쫇튻쓪웚쪵볊뚨웚듦뿮샻싊r,뛔폚믵뇒m0뛸퇔,쫇쳦듺닺쫕틦,뛸뛔폚mpꆢmh살쮵,쫇ퟔ짭쫕틦;뛾쫇욽뻹쪵볊짏횤막욱볛룱횸쫽ps,뛔ps뗄뛔쫽ퟷ1뷗닮럖뇤뮻,뿉뗃막욱쫕틦싊ꚤlnps,쿔좻,ꚤlnps캪믵뇒뗄쳦듺닺쫕틦;죽쫇풤웚쿻럑헟볛룱횸쫽eep,뛔p뗄뛔쫽ퟷ1뷗닮럖뇤뮻,뿉뗃돶풤웚춨믵엲헍싊ꛐet=ꚤelnpt,ꛐet뿉쫓캪돖폐믵뇒뗄뢺믘놨싊믲늻뚯닺뗄믘놨싊ꆣ퓚뷰죚쫐뎡캴뗃떽돤럖랢햹뗄쟩뿶쿂,풤웚춨믵엲헍싊춨뎣쫇뫢솿돖폐믵뇒뗄믺믡돉놾뗄ퟮ훘튪뇤솿ꆣ뛔폚훐맺뻓쏱뗄믵뇒탨쟳몯쫽뛸퇔,춨뎣탨튪뾼싇뺭볃맬쪱웚튻킩쳘폐뗄훆뛈탔틲쯘죧믵뇒뮯맽돌ꆢ쫕죫늻좷뚨뗈ꆣ20쫀볍90쓪듺틔살,쯦ퟅ쫕죫럖엤쳥훆룄룯뗄짮죫,훐맺뻓쏱쫕죫럖엤뷡릹랢짺쇋쿔훸뇤뮯,뻓쏱쫕죫닮뻠훰쓪삩듳,쫕죫늻좷뚨돌뛈늻뛏짏짽ꆣ듓헢룶틢틥짏쮵,쫕죫닮뻠뗄삩듳뻍틢캶ퟅ쫕죫늻좷뚨탔뗄퓶잿ꆣ놾컄퇹놾웚쫇듓1993쓪1벾뛈훁2007쓪4벾뛈,퓚헢뛎쪱볤훐맺믵뇒뮯맽돌쏷쿔복뮺,떫뻓쏱쫕죫횧돶늻좷뚨럧쿕쿔훸짏짽,틲듋,퓚뻓쏱믵뇒탨쟳몯쫽훐늻냼삨믵뇒뮯맽돌뇤솿,떫뇘탫틽죫쫕죫늻좷뚨탔뇤솿ꆣ놾컄ퟱ톭쟘뛤(2002)뗄쮼슷,폃좫맺룷쪡돇헲뻓쏱쪵볊뿉횧엤쫕죫뇪ힼ닮뫢솿쫕죫늻좷뚨탔ꋙ,쫕죫뇪ힼ닮ꛒ풽듳,쫕죫늻좷뚨탔풽룟ꆣ뛔쪽(11)솽뇟쟳ퟔ좻뛔쫽,뗃믵뇒탨쟳랽돌캪:lnmit=b0+b1lnyt+b2lnꛒet+b3lnpst+b4lnpt+b5lnrt+ꛅt,i=0,p,h(12)ꆡꆡ컒쏇뿉풤웚b1>0,b2>0,b4<0ꆣb3뗄럻뫅늻좷뚨,좡뻶폚쫕죫킧펦뫍쳦듺킧틦뗄솦솿뛔뇈ꆣb5뗄럻뫅붫쯦믵뇒듦솿닣듎뗄뇤뮯뛸뇤뮯,샽죧,뛔폚m0뛸퇔,b5<0,뛔폚mp,b5>0ꆣ(뛾)볆솿랽램컒쏇뾼싇튻룶럇쿞훆탔VAR(p)쒣탍:ꆡꆡꆡyt=A1yt-1+ꆭ+Apyt-p+ꛅt,ꆡt=1,2,ꆭ,T(13)ꆡꆡyt쫇k캬럇욽컈뗄I(1)쓚짺뇤솿쿲솿,냼삨믵뇒듦솿ꆢ닺돶ꆢ볛룱횸쫽ꆢ막볛횸쫽뫍듦뿮샻싊뗈뇤솿,p캪훍뫳뷗쫽,T캪퇹놾룶쫽ꆣkꇁk캬뻘헳A1,ꆭ,Ap쫇듽맀볆쾵쫽뻘헳,ꛅt캪k캬죅뚯쿲솿,쯼쏇횮볤뿉춬ꋙ훐맺뻓쏱뒢탮훷튪평돇헲뻓쏱돖폐,틲듋,붫돇헲뻓쏱쫕죫닮뻠ퟷ캪뫢솿훐맺뻓쏱쫕죫닮뻠횸뇪쫇뫏쫊뗄ꆣ죴튪볓짏얩듥뻓쏱쫕죫,퓲탨튪믱좡룷쪡룷벾뛈뗄돇헲ꆢ얩듥뻓쏱죋쫽뇈샽,헢쿔좻쫇쓑틔믱좡뗄ꆣ쫀뷧뺭볃3ꆡ2009쓪뗚1웚ꆡꆤ31ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆡꆡ쫕죫늻좷뚨ꆢ막욱쫐뎡폫훐맺뻓쏱믵뇒탨쟳웚쿠맘,떫늻폫ퟔ짭훍뫳횵뫍뗈쪽폒뇟뇤솿쿠맘,웤킭랽닮뻘헳캪ꇆ,쫇튻룶kꇁk캬헽뚨뻘헳ꆣ뛔튻냣뚯첬쒣탍(13)뷸탐1뷗닮럖뇤뮻,뿉뇭쪾캪쿲솿컳닮탞헽쒣탍탎쪽,듓뛸뿉붫쒣탍훐뇤솿뗄뎤웚맘쾵폫뛌웚뚯첬쟸럖뾪살ꆣ뻟쳥캪:ꆡꆡꆡꚤyt=ꇇyt-1+ꇆp-1ꚣꚤyit-+ꛅ(it14)i=1ꆡꆡ웤훐,ꇇ=ꇆpAi-I,ꚣi=-ꇆpAjꆣ죴0<rk<k,뇭쏷ꇇyt-1듦퓚rk룶킭헻ퟩ뫏ꆣ듓뛸,뻘헳ꇇ럖뷢돉i=1j=i+1솽룶kꇁrk캬뻘헳ꛁ뫍ꛂ,벴ꇇ=ꛁꛂꇤꆣ듺죫쪽(14)뗃:ꚤyt=ꛁꛂꇤyꚣꚤ)t-1+ꇆp-1yit-+ꛅ(it15i=1ꛂꇤ캪킭헻쿲솿쾵쫽뻘헳,ꛂꇤyt-1뿉뷢쫍캪뇤솿뛔웤뎤웚뻹뫢쮮욽뗄욫샫;ꛁ캪뗷헻쾵쫽뻘헳,뇭쪾컳닮탞헽쿮뛔닮럖뗄틲뇤솿뗄뗷헻쯙뛈ꆣ(15)쪽놾훊짏쫇튻룶럇쿞훆탔ꆢ볲뮯뗄VAR쒣탍,뎤웚뷡릹탅쾢쳥쿖퓚킭헻뻘헳ꛂꇤ훐,뛌웚탅쾢냼몬폚뗷헻쾵쫽뻘헳ꛁ뫍쾵쫽뻘헳ꚣi훐,죅뚯쿲솿뗄킭랽닮뻘헳ꛅt평ꇆ룸뚨ꆣ웤뻖쿞퓚폚,쎻폐룸돶뇤솿횮볤떱웚쿠맘맘쾵뗄좷쟐탎쪽,벴퓚랽돌폒뛋늻몬폐쓚짺뇤솿,헢킩떱웚쿠맘탅쾢틾님퓚컳닮쿮뗄뷡릹횮훐컞램뷢쫍ꆣ뷼살,틔Hendry뫍Mizon(1993)ꆢJohansen뫍Juselius(1994)틔벰Boswijk(1995)뗄퇐뺿캪믹뒡,VAR볆솿벼쫵랢햹뗄튻룶탂랽쿲쫇뷡릹VAR쒣탍뫍뷡릹VECM쒣탍뗄펦폃ꆣ뷡릹VARꆢ뷡릹VECM쒣탍춨맽퓚랽돌폒뛋쳭볓떱웚쓚짺뇤솿뗄랽쪽,랴펳쇋뇤솿횮볤뗄춬웚맘쾵,늢뛔뷡릹탔닎쫽쪩볓뛌웚믲뎤웚쇣풼쫸쳵볾,듓뛸붫럇쿞훆탔ꆢ볲뮯쪽VAR쒣탍뮯캪뷡릹탔VAR쒣탍ꆣ뛔(15)쪽솽뛋춬돋틔뛌웚뷡릹닎쫽뻘헳A0,뇣뿉뮯캪뷡릹VECM쒣탍:A0ꚤyt=ꛁ3ꛂꇤy(t-1+ꇆp-1ꚣ3ꚤiyt-i+ut16)i=1ꆡꆡ쪽훐,ꛁ3=A0ꛁ,ꚣ3i=A0ꚣi,ut=A0ꛅt,ꚸ=A0ꇆAꇤ0ꆣ컒쏇뿉샻폃솪솢랽돌쒣탍뗄맀볆랽램뛔(16)뗄닎쫽뻘헳뷸탐맀볆ꆣ뷸탐솪솢랽돌맀볆뗄잰쳡쫇쒣탍뿉쪶뇰,쒣탍쪶뇰뗄맘볼쫇쪶뇰돶뎤웚뷡릹닎쫽뻘헳ꛂꇤ뫍뛌웚뷡릹닎쫽뻘헳A0ꆣ평폚뎤웚뷡릹닎쫽뻘헳ꛂꇤ늻쫜쒣탍평볲뮯쪽쿲뷡릹쪽뮻뗄펰쿬,틲듋,뛌웚뷡릹닎쫽뻘헳A0뗄쪶뇰쫇쒣탍쪶뇰뗄맘볼ꆣ퓚쪵볹훐,뛔A0뗄쪶뇰훷튪틀뻝쿂쫶ힼ퓲뷸탐:튻쫇룹뻝뺭볃풭샭뛔A0훐튻킩풪쯘쪩볓쇣풼쫸쿞훆ꆣ샽죧,튻킩뇤솿뗄뇤뚯뫜뿉쓜늻쓜떼훂쇭튻뇤솿랢짺춬웚뇤뚯ꆣ뛾쫇춨맽쿞훆킭랽닮뻘헳캪뛔뷇뻘헳살뛔A0쪩볓쿞훆ꆣ퓚VAR럖컶훐,춨탐뗄ퟶ램쫇뛔쒣탍뗄뷡릹컳닮쿮ퟷ돶쿞훆,쪹횮춬웚늻쿠맘쟒늻ퟔ쿠맘,듓뛸뷡릹컳닮쿮킭랽닮뻘헳ꚸ=A0ꇆAꇤ0캪뛔뷇뻘헳,뷸뛸뛔A0쪩볓쿞훆ꆣ샽죧,A0뎣놻쿞훆캪뛔뷇풪쯘캪1뗄쿂죽뷇뻘헳ꆣ(죽)쫽뻝놾컄퓋폃뗄훐맺뫪맛뺭볃쫽뻝쫇벾뛈쫽뻝,쪱볤뿧뛈캪1993쓪1벾뛈훁2007쓪4벾뛈(쿻럑헟볛룱횸쫽CPI뿧뛈캪1992쓪4벾뛈훁2007쓪4벾뛈)ꆣ쯹폐벾뛈쪱볤탲쇐쫽뻝뻹뺭맽X12벾뷚뗷헻ꆣ쫽뻝살풴폚퇇훞뺭볃쫽뻝뿢뫍ꆶ훐맺죋쏱틸탐춳볆벾놨ꆷ쿠맘룷웚ꆣ벾뛈쿻럑헟볛룱횸쫽(CPI)p쫇틔1993쓪뗚1벾뛈캪믹웚뗄뚨믹뇈볛룱횸쫽ꆣ맺쓚릫늼뗄퓂뛈CPI쫽뻝믹놾캪춬뇈볛룱,틲뛸탨튪붫춬뇈볛룱뮻쯣캪뮷뇈볛룱ꆣ틔퇹놾웚쓚쯹폐퓂럝뗄CPI춬뇈볛룱캪믹뒡,뷡뫏쒳쓪(죧2001쓪)뗄퓂뛈CPI뮷뇈횸쫽,췆쯣돶쯹폐퓂럝뗄CPI뮷뇈횸쫽,뷸탐쫽톧욽뻹뗃돶벾뛈CPI뮷뇈횸쫽,늢틔1993쓪뗚1벾뛈캪믹웚,볆쯣돶퇹놾웚쓚쯹폐벾뛈CPI뚨믹뇈횸쫽ꆣ쿻럑헟뗄볛룱풤웚닉좡훍뫳1웚뗄쫊펦탔풤웚탎쪽,벴ept=pt-1ꆣ쪵볊막욱볛룱횸쫽ps톡좡짏횤ퟛ뫏횸쫽쪵볊횵ꆣ믱좡짏몣ퟛ뫏횸쫽뗄랽램쫇,쿈쟳쎿벾뛈3룶퓂뗄짏몣ퟛ뫏횸쫽뗄욽뻹횵,퓙뺭벾뛈CPI횸쫽뗷헻,뇣뗃돶룷벾뛈뗄쪵볊막욱볛룱횸쫽ꆣ쫀뷧뺭볃3ꆡ2009쓪뗚1웚ꆡꆤ32ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
췵폀훐ꆡꆡ쫕죫늻좷뚨횸뇪ꛒ톡좡돽훘쟬ꆢ컷님췢좫맺29룶쪡쫐벰ퟔ훎쟸(쿂컄볲돆쪡)돇헲뻓쏱죋뻹뿉횧엤쫕죫뗄뇪ힼ닮ꆣ훘쟬틲돉솢횱쾽쫐쪱볤뷏췭뛸떼훂퇹놾웚뛌,컷님튻킩쓪럝쫽뻝좱쪧,틲듋,컒쏇쳞돽쇋훘쟬뫍컷님헢솽룶맛닢뗣ꆣ듓쿖폐뗄춳볆살풴쟾뗀뾴,쎻폐룷쪡돇헲뻓쏱죋뻹뿉횧엤쫕죫뗄벾뛈쫽뻝,떫폐룷쪡뗄쓪뛈쫽뻝뫍2001쓪틔살뗄퓂뛈쫽뻝ꆣ놾컄룹뻝짏쫶퓂뛈쫽뻝뗃돶2001쓪틔살뗄벾뛈쫽뻝틔벰룷벾뛈쫕죫햼좫쓪쫕죫뗄욽뻹뇈훘횵,뷸뛸틔룷쪡뗄벾뛈쫕죫햼좫쓪쫕죫뗄욽뻹뇈훘캪좨훘,붫2001쓪틔잰룷쪡뗄쓪뛈뿉횧엤쫕죫쫽뻝닰럖캪벾뛈쫽뻝ꆣ좻뫳쟳돶쎿룶벾뛈29룶뷘쏦뗄뿉횧엤쫕죫뇪ힼ닮,뺭CPI횸쫽뗷헻뫳,뇣뗃돶돇헲뻓쏱쪵볊쫕죫뇪ힼ닮ꆣ벾뛈맺쓚짺닺ퟜ횵y듦퓚쫽뻝늻뿉뇈컊쳢ꆣ맺볒춳볆뻖룹뻝2004쓪훐맺뺭볃웕닩쫽뻝뛔1993ꆫ2004쓪뛈GDP쫽뻝ퟷ쇋탞헽,떫뛔2004쓪벰횮잰벾뛈GDP쫽뻝캴ퟷ뗷헻ꆣ놾컄뛔2004쓪벰횮잰뗄벾뛈GDP샺쪷쫽뻝뷸탐뗷헻ꆣ뗷헻쮼슷쫇퓚놣돖풭폐룷벾뛈GDP햼좫쓪GDP뇈훘늻뇤잰쳡쿂,붫뗷헻뫳뗄GDP쓪탂퓶솿럖첯떽룷룶벾뛈짏좥ꆣ뛔뗷헻뫳쏻틥벾뛈GDP쫽뻝돽좥CPI볛룱틲쯘뫳,뇣뗃떽쪵볊벾뛈GDP쫽뻝ꆣ컒쏇샻폃쿻럑헟뚨믹뇈볛룱횸쫽뛔룷닣듎쏻틥믵뇒듦솿뗷헻뫳,뇣뗃떽룷닣듎쪵볊믵뇒듦솿ꆣ춬쪱,놾컄뛔튻쓪웚쏻틥듦뿮샻싊ퟷ쇋캢뗷ꆣ퓚쏻틥듦뿮샻싊랢짺뗷헻뗄벾뛈,틔탂ꆢ뻉샻싊쪵볊랢짺ퟷ폃뗄쪱볤뎤뛈캪좨훘,뛔샻싊뷸탐볓좨욽뻹ꆣ뛔쏻틥듦뿮샻싊뷸탐볛룱뗷헻뫳,뇣뗃떽쪵볊듦뿮샻싊ꆣ쯄뺭퇩럖컶뷡맻(튻)떥캻룹볬퇩캪럀횹ꆰ캱믘맩ꆱ쿖쿳뗄닺짺,퓚뷸탐킭헻럖컶잰,뇘탫볬퇩쪱볤탲쇐뇤솿뗄욽컈탔ꆣ뎣폃뗄볬퇩랽램폐DF볬퇩믲ADF볬퇩ꆣADF볬퇩뷸탐죧쿂믘맩:ꚤy=at0+a1t+ꛑyt-1+ꇆkꛃꚤyit-+u(17)iti=1ꆡꆡ뇭1떥캻룹볬퇩뷡맻풭탲쇐볬퇩탎쪽ADF볬퇩볬퇩탎쪽ADF볬퇩(c,t,n)(-t볬퇩뷡싛닮럖탲쇐)(c,t,n)(-t볬퇩뷡싛)LMh(c,t,1)(1)D(LMh)(c,0,0)(0)LM0(c,t,0)(1)D(LM330)(c,0,0)(0)LMp(c,t,1)(1)D(LMp)(c,033,0)(0)LY(c,t,3)(1)D(LY)(c,0,1)(0)Lꛒ(c,t,0)(1)D33(Lꛒ)(c,0,1)(0)LPe(c,t,2)(1)D(LPe)(0,03,1)(0)LP3s(c,t,3)(1)D(LP)s(0,0,2)(0)LR(c,t,0)(1)D(LR3)(c,0,1)(0)ꆡꆡ쮵쏷:캪돇쿧뻓쏱쪵볊뒢탮맦쒣폫쪵볊쿖뷰맦쒣횮뫍뗄뛔쫽;LM0캪쪵볊쿖뷰폠뛮뗄뛔쫽;LMp캪돇쿧뻓쏱쪵볊뒢탮맦쒣뗄뛔쫽;LY캪쪵볊GDP뗄뛔쫽;Lꛒ캪쪡볊돇헲뻓쏱쪵볊뿉횧엤쫕죫뗄뇪ힼ닮뗄뛔쫽;LPe캪풤웚CPI횸쫽(CPI훍뫳1웚)뗄뛔쫽;LPs캪쪵볊짏횤횸쫽뗄뛔쫽;LR캪튻쓪웚쪵볊뚨웚듦뿮샻싊뗄뛔쫽ꆣ2.볬퇩탎쪽(c,t,n)훐cꆢt뫍n럖뇰뇭쪾ADF볬퇩쒣탍훐뗄뎣쫽쿮ꆢ쪱볤쟷쫆뫍훍뫳뷗쫽3;ꆢ33럖뇰뇭쪾쿔훸탔쮮욽캪5%ꆢ1%,쿂뇭춬ꆣꆡꆡADF볬퇩풭볙짨캪H0:ꛑ=0(yt럇욽컈),놸퓱볙짨캪H1:ꛑ<0(yt욽컈)ꆣ죴ADF횵듳폚쇙뷧횵,뷓쫜H0,럱퓲뷓쫜H1ꆣ훍뫳뷗쫽톡좡내AIC뫍SCퟮ킡풭퓲뷸탐ꆣ룷뇤솿뗄ADF볬퇩뷡맻볻뇭1ꆣ쫀뷧뺭볃3ꆡ2009쓪뗚1웚ꆡꆤ33ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆡꆡ쫕죫늻좷뚨ꆢ막욱쫐뎡폫훐맺뻓쏱믵뇒탨쟳뇭1쿔쪾,쪵볊믵뇒듦솿뗄뛔쫽(LMhꆢLM0ꆢLMp)ꆢ맦쒣뇤솿뗄뛔쫽(LY)ꆢ돇헲뻓쏱쫕죫뇪ힼ닮뗄뛔쫽(Lꛒ)ꆢ믺믡돉놾뇤솿뗄뛔쫽(LPeꆢLPsꆢLR)뗈탲쇐뗄떥헻뷗쫽쿠뗈,뻹캪1뷗떥헻쪱볤탲쇐뇤솿ꆣ(뛾)킭헻볬퇩평폚믵뇒듦솿mꆢ맦쒣뇤솿yꆢ쫕죫늻좷뚨뇤솿ꛒ뫍믺믡돉놾뇤솿r뻹캪1뷗떥헻,틲듋,뿉샻폃Jo2hansen뫍Juselius(1990)킭헻볬퇩랽램살에뛏룷뇤솿횮볤쫇럱듦퓚뎤웚뻹뫢맘쾵ꆣ퓚럖컶볬퇩뷡맻횮잰,틔쿂솽뗣쫇횵뗃잿뗷뗄:튻쫇컒쏇샻폃AIC뫍SCힼ퓲살에뚨훍뫳뷗쫽,늢뛔볲뮯쪽VAR랽돌뗄닐닮뷸탐헯뛏볬퇩틔에뚨VAR쾵춳짨훃뗄쫊떱탔;뛾쫇Johansen볬퇩퓚퇹놾쫽뷏킡믲뇤솿뷏뛠쳵볾쿂쟣쿲폚룟맀킭헻맘쾵뗄룶쫽,컒쏇룹뻝뺭볃샭싛살좷뚨뇤솿킭헻맘쾵뗄뇭듯쪽ꆣ쿂쏦,컒쏇럖뇰쳖싛mhꆢm0ꆢmp폫웤뻶뚨틲쯘횮볤뗄뎤웚킭헻맘쾵ꆣ1.뻓쏱뎤웚믵뇒(mh)탨쟳몯쫽ꆣ퓚훍뫳뷗쫽캪4뗄쳵볾쿂,벣춳볆솿횵볬퇩뫍ퟮ듳쳘헷횵볬퇩쿔쪾,뻓쏱믵뇒돖폐솿mh폫맦쒣뇤솿yꆢ쫕죫늻좷뚨뇤솿ꛒꆢ믺믡돉놾뇤솿r듦퓚4룶뎤웚킭헻맘쾵(뇭2)ꆣ룹뻝뺭볃샭싛,뿉뗃뻓쏱쪵볊믵뇒탨쟳솿폫맦쒣뇤솿ꆢ쫕죫늻좷뚨뇤솿ꆢ믺믡돉놾뇤솿횮볤뗄뎤웚킭헻맘쾵캪:ꆡꆡꆡlnmeht=+ꛒ)t+(t18()()()()()삨뫅훐뗄쫽횵캪t볬퇩횵(쿂춬)ꆣ뇭2Johansen벣볬퇩뫍ퟮ듳쳘헷횵(ꛋmax)볬퇩랽돌(18)랽돌(19)랽돌(20)풭볙짨H0쳘헷횵벣ꛋ볆춳ꛋ솿춳볆ma솿x쳘헷횵벣볆춳솿춳볆ma솿x쳘헷횵벣볆춳ꛋ솿춳볆ma솿xr=ꇜꇜꇜꇜꇜ쪽(18)쿔쪾,훐맺돇쿧뻓쏱쪵볊믵뇒탨쟳솿mh폫쪵볊GDP쮮욽yꆢ쫕죫늻좷뚨탔ꛒꆢ돖폐믵뇒쫕틦싊(뚨웚듦뿮샻싊)r돊헽쿲맘쾵ꋙ,폫풤웚CePI볛룱횸쫽p뫍막욱볛룱횸쫽ps돉뢺쿲맘쾵ꆣ헢뇭쏷,닺돶쮮욽퓶볓ꆢ쫕죫늻좷뚨탔쳡룟ꆢ뚨웚듦뿮샻싊쮮욽짏짽붫쳡룟뻓쏱뗄믵뇒탨쟳,뛸컯볛쮮욽짏짽뫍막욱볛룱짏헇,붫붵뗍뻓쏱뗄믵뇒탨쟳ꆣ퓚볓죫쫕죫늻좷뚨뇤솿뫳,뻓쏱믵뇒쫕죫떯탔늻퓙쿔훸듳폚1,뛸쫇뗈폚,틲듋,쫕죫늻좷뚨뇤솿뗄틽죫,튻뚨돌뛈짏쿻돽쇋훐맺돖탸듦퓚뗄뎬뛮믵뇒탨쟳쿖쿳ꆣ늻좷뚨돌뛈짏짽1%,붫떼훂뻓쏱믵뇒탨쟳퓶볓%ꆣ뻓쏱믵뇒탨쟳뗄풤웚볛룱떯탔캪,풶듳폚샻싊떯탔()뫍막욱볛룱떯탔(),헢쮵쏷,퓚뻓쏱믵뇒탨쟳뗄믺믡돉놾뇤솿훐,춨믵엲헍햼훷떼뗘캻,떫막욱볛룱튲뛔뻓쏱믵뇒탨쟳닺짺쇋훘튪뗄펰쿬ꆣ2.뻓쏱뎤웚쿖뷰(m0)탨쟳몯쫽ꆣ뇭2쿔쪾,퓚훍뫳4뷗쳵볾쿂,뻓쏱쪵볊쿖뷰돖폐솿m0폫맦쒣ꆢ쫕죫늻좷뚨뫍믺믡돉놾뗈뇤솿횮볤듦퓚뛠훘킭헻맘쾵ꆣ벣볬퇩쿔쪾듦퓚3룶킭헻맘쾵,ퟮ듳쳘헷횵볬퇩뇭쏷듦퓚2룶킭헻맘쾵ꆣ룹뻝뺭볃샭싛,뿉붫훐맺뻓쏱쪵볊쿖뷰탨쟳폫쫕죫쮮욽ꆢ쫕죫늻좷뚨탔ꆢ막볛횸ꋙ돇쿧뻓쏱쪵볊뒢탮맦쒣mp쏷쿔듳폚쪵볊쿖뷰맦쒣m0,잰헟듳풼캪뫳헟뗄4ꆫ5놶,틲듋,튻쓪웚뚨웚듦뿮샻싊r캪뿉쫓캪뻓쏱돖폐믵뇒mh뗄ퟔ짭쫕틦ꆣ쫀뷧뺭볃3ꆡ2009쓪뗚1웚ꆡꆤ34ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
췵폀훐ꆡꆡ쫽ꆢ풤웚볛룱뫍뚨웚듦뿮샻싊뗄뎤웚맘쾵뇭쪾캪:lnme0t=++ꛒt+(t19)()()()()()짏쪽쿔쪾,뻓쏱쪵볊쿖뷰탨쟳솿m0폫쫕죫쮮욽yꆢ쫕죫늻좷뚨탔ꛒꆢ막욱볛룱횸쫽ps헽쿠맘,폫풤웚컯볛횸쫽ep뫍뚨웚듦뿮샻싊r뢺쿠맘ꆣ헢뇭쏷,뻓쏱쫕죫쮮욽벰웤늻좷뚨돌뛈뗄쳡룟붫퓶볓뛔믵뇒(쿖뷰)뗄붻틗탨쟳,막욱볛룱뗄짏헇붫훷튪춨맽닆뢻킧펦쪹믵뇒붻틗탨쟳퓶볓;풤웚컯볛횸쫽뗄짏헇뫍뚨웚듦뿮샻싊뗄짏짽뻹쳡룟쇋뻓쏱돖폐쿖뷰뗄믺믡돉놾,떼훂뻓쏱쿖뷰탨쟳쿂붵ꆣ평쪽(19)횪,뻓쏱쿖뷰탨쟳뗄쫕죫떯탔캪,쫕죫늻좷뚨떯탔풼캪,쮵쏷쫕죫쮮욽쫇뻶뚨뻓쏱쿖뷰탨쟳뗄훷떼틲쯘,쫕죫늻좷뚨틲쯘뛔뻓쏱쿖뷰탨쟳펰쿬뛈뷏킡ꆣ뻓쏱쿖뷰탨쟳뗄막볛떯탔캪쿔훸뗄,뇭쏷막욱볛룱뇤뮯뗄닆뢻킧펦듳폚믵뇒쳦듺킧펦,벴막욱볛룱짏헇떼훂뻓쏱닆뢻짏짽뷸뛸뻓쏱쿖뷰탨쟳뗄퓶볓솿,뎬맽틲막볛짏헇틽랢뗄막욱쿠뛔쫕틦싊뗄쳡룟뛸떼훂쿖뷰탨쟳뗄복짙솿,듓뛸,막욱볛룱돉캪뫢솿뻓쏱뷰죚닺펵폐솿뗄튻룶뷼쯆횸뇪ꆣ쿖뷰탨쟳뗄샻싊떯탔캪,틢캶ퟅ튻쓪웚뚨웚듦뿮샻싊뗄짏짽,붫퓶볓돖폐쿖뷰뗄믺믡돉놾,듓뛸쿖뷰탨쟳쿂붵ꆣ쿖뷰탨쟳뗄풤웚컯볛횸쫽떯탔캪,뇭쏷풤웚춨믵엲헍싊틀좻쫇뻓쏱쿖뷰탨쟳ퟮ훘튪뗄믺믡돉놾뇤솿ꆣퟜ쳥짏뾴,뻓쏱쿖뷰탨쟳훷튪뻶뚨폚쫕죫쮮욽,믺믡돉놾틲쯘뗄펰쿬뷏킡ꆣ헢뿉쓜폫쿖뷰뗄릦쓜훷튪쫇붻틗쎽뷩쏜쟐쿠맘ꆣ3.뻓쏱뎤웚뒢탮(mp)탨쟳몯쫽ꆣ퓚훍뫳4뷗쳵볾쿂,벣춳볆솿뫍ퟮ듳쳘헷횵춳볆솿쿔쪾,뻓쏱쪵볊뒢탮돖폐솿폫mp뫍쪵볊닺돶yꆢ쫕죫늻좷뚨탔ꛒꆢ풤웚컯볛횸쫽epꆢ막욱볛룱횸쫽psꆢ뚨웚듦뿮샻싊r횮볤듦퓚4룶킭헻맘쾵(뇭2)ꆣ룹뻝뺭볃샭싛,뿉뗃돶짏쫶뇤솿뗄킭헻맘쾵쪽캪:elnmpt=+ꛒ+()t20()()()()()ꆡꆡ쪽(20)쿔쪾,뻓쏱쪵볊뒢탮탨쟳솿mp폫쫕죫쮮욽yꆢ쫕죫늻좷뚨탔ꛒꆢ뚨웚듦뿮샻싊r헽쿠맘,폫막욱볛룱횸쫽psꆢ풤웚컯볛횸쫽ep뢺쿠맘ꆣ헢뇭쏷,뻓쏱쫕죫쮮욽벰쫕죫늻좷뚨탔뗄쳡룟,붫퓶볓뻓쏱뒢탮탨쟳;뛸뒢탮듦뿮샻싊뗄쿂붵ꆢ막욱쿠뛔쫕틦뗄쳡룟ꆢ풤웚컯볛횸쫽뗄짏헇,붫떼훂뻓쏱돖폐뒢탮믺믡돉놾짏짽,듓뛸뻓쏱뒢탮탨쟳쿂붵ꆣ퓚틽죫쫕죫늻좷뚨틲쯘뫳,뻓쏱뎬뛮뒢탮탨쟳쿖쿳늻퓙듦퓚,뒢탮탨쟳뗄쫕죫떯탔늻퓙듳폚1뛸쫇풼뗈폚1,틲듋뻓쏱쫕죫늻좷뚨돌뛈짏짽쫇퓬돉훐맺뎬뛮뒢탮탨쟳쿖쿳뗄튻룶훘튪풭틲ꆣ쫕죫늻좷뚨틲쯘뛔뻓쏱뒢탮뗄펰쿬럇뎣훘튪,쫕죫늻좷뚨(쫕죫뇪ힼ닮)짏짽1%,붫떼훂뒢탮탨쟳짏짽%ꆣ늻맽,쫕죫늻좷뚨뇤솿ꛒ쾵쫽뗄t춳볆솿쿔훸탔늻룟,뷶퓚10%훃탅쮮욽쓚쿔훸,뛸퓚5%훃탅쮮욽짏쫇늻쿔훸뗄ꆣ평폚뒢탮듦뿮뗄릦쓜훷튪쫇볛횵뒢님뛸늻쫇붻틗쎽뷩,틲뛸쿠뛔폚쿖뷰뛸퇔,뒢탮뛔믺믡돉놾뇤솿뇤뮯춨뎣쓜ퟷ돶룼캪쏴룐뛸쿔훸뗄랴펦ꆣ뒢탮탨쟳뗄막욱볛룱떯탔캪뢺,뇭쏷막욱볛룱짏헇뗄쳦듺킧펦(막욱쿠뛔폚믵뇒쫕틦싊뗄뇤뮯떼훂춶헟닺ퟩ뫏뗄뇤뮯)뎬맽쇋닆뢻킧펦(뻓쏱돖폐뗄뷰죚닺맦쒣짏짽)ꆣ헢튻뢺뗄쳦듺킧펦펡횤쇋Friedman(1988)뗄맛뗣,막욱볛룱짏헇퓶볓쇋춶헟닺ퟩ뫏훐막욱뗄컼틽솦,붫떼훂뻓쏱복짙믵뇒돖폐솿ꆣ뻓쏱뒢탮뗄막욱볛룱떯탔풼캪,벴막볛짏헇1%붫떼훂뒢탮듦뿮쿂붵%ꆣ헢쓜뷏뫃뗘뷢쫍훐맺막욱볛룱톸쯙짏헇쪱웚돶쿖뻓쏱듦뿮뗄냡볒쿖쿳,튲틢캶ퟅ훐맺막욱쫐뎡퓋탐ힴ뿶틑돉캪뻓쏱뒢탮뇤뚯뗄튻룶훘튪틲쯘ꆣ뻓쏱뒢탮탨쟳ퟮ캪쏴룐뗄틲쯘쫇풤웚컯볛횸쫽,떯탔쾵쫽캪,뇭쏷풤웚춨믵엲헍쫇뻓쏱뒢탮탨쟳ퟮ캪훘튪뗄믺믡돉놾뇤솿ꆣ뺡맜훐맺듦뿮샻싊쎻폐쪵쿖쫐뎡뮯,좱랦ퟣ릻뗄뇤뚯탔,떫뻓쏱뒢탮뛔쪵볊듦뿮샻싊죔돊쿖돶튻뚨쏴룐탔(떯탔캪)ꆣ틲듋,퓚풤웚춨믵엲헍싊짏짽쪱웚,쳡룟듦뿮샻싊쮮욽폐훺폚컈뚨뻓쏱뒢탮믵뇒탨쟳ꆣ(20)쪽훐뗄쫕죫늻좷뚨뇤솿ꛒ춳볆쿔훸탔늻룟,컒쏇쳞돽뇤솿ꛒ,뗃떽쿂쫶킭헻맘쾵쪽:쫀뷧뺭볃3ꆡ2009쓪뗚1웚ꆡꆤ35ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆡꆡ쫕죫늻좷뚨ꆢ막욱쫐뎡폫훐맺뻓쏱믵뇒탨쟳elnmpt=+(t21)()()()()쪽(21)쿔쪾,퓚쳞돽쫕죫늻좷뚨뇤솿뫳,뻓쏱뒢탮탨쟳뗄쫕죫떯탔듯,쏷쿔듳폚1,헢퓙뛈횤쏷쫕죫늻좷뚨뇤솿쫇퓬돉뎬뛮뒢탮탨쟳뗄튻룶훘튪풭틲ꆣ춬쪱,뻓쏱뒢탮뗄막욱볛룱떯탔캪쿔훸뗄,뇭쏷막볛늨뚯틑돉캪펰쿬뻓쏱뒢탮탨쟳뗄튻룶훘튪틲쯘ꆣ(죽)뷡릹쿲솿컳닮탞헽(SVECM)쒣탍맀볆튪뾼달룷믵뇒듦솿폫웤뻶뚨틲쯘횮볤뗄뛌웚뚯첬탐캪,탨뷸튻늽맀볆뷡릹쿲솿컳닮탞헽쒣탍(SVECM)ꆣ컒쏇닉좡틔쿂죽룶늽훨살맀볆뷡릹컳닮탞헽랽돌:튻쫇뷸탐죵췢짺탔볬퇩,좷뚨솪솢랽돌훐뗄쓚짺뇤솿뫍췢짺뇤솿;뛾쫇룹뻝뺭볃샭싛뛔쒣탍훐뛌웚뷡릹닎쫽짨훃쇣풼쫸,틔싺ퟣ솪솢랽돌뗄쪶뇰쳵볾튪쟳,늢쪹솪솢랽돌ퟩ돊쿖돶뗝맩탎쪽;죽쫇퓋폃ퟮ킡뛾돋램(OLS)뷸탐떥랽돌맀볆ꆣ1.죵췢짺탔볬퇩ꆣ캪에뚨VAR쒣탍훐죵췢짺탔뇤솿,컒쏇뛔킭헻랽돌(18)ꆢ(19)뫍(20)뗄컳닮탞헽쒣탍럖뇰뷸탐Granger틲맻(Block췢짺Wald)볬퇩ꆣ퓚뇭3훐,컒쏇럖뇰쇐돶쎿튻룶쓚짺뇤솿,퓚업돽랽돌훐쯹폐웤쯻쓚짺뇤솿훍뫳쿮(늻냼삨놾짭훍뫳쿮)뫳뗄솪뫏쿔훸ꊪ2(Wald)춳볆솿횵ꆣ퓚짏쫶컳닮탞헽랽돌훐,쫕죫늻좷뚨뇤솿ꛒ뻹캪췢짺뇤솿,헢뿉쓜평폚쫕죫늻좷뚨(쫕죫뇪ힼ닮)훷튪폫쫕죫럖엤쳥훆룄룯쿠맘,뛸폫닺돶ꆢ믵뇒뫍춨믵엲헍뗈틲쯘뗄맘솪탔뷏킡ꆣ퓚쪽(19)뗄컳닮탞헽랽돌훐,돽쫕죫늻좷뚨뇤솿췢,막욱볛룱ps뫍샻싊r튲캪죵췢짺뇤솿ꆣ막욱볛룱횸쫽ps캪죵췢짺뇤솿,헢뿉쓜평폚훐맺막욱쫐뎡랢햹돌뛈뷏뗍,폫쪵쳥뺭볃뗄솪쾵늻뷴쏜,막욱쫐뎡쓑틔랢믓쪵쳥뺭볃뗄ꆰ쟧폪뇭ꆱퟷ폃ꆣ샻싊r캪죵췢짺뇤솿,헢뿉쓜훷튪풴폚샻싊튻횱쫜헾닟뿘훆,좱짙ퟣ릻뇤뚯탔ꆣ뇭3Granger틲맻(Block췢짺Wald)볬퇩킭헻랽돌ꚤLMhꚤLM0ꚤLMpꚤLYꚤLꛒꚤLPsꚤLPeꚤLR33(183333)(19333333)(20333333).뷡릹컳닮탞헽쒣탍ꆣ컒쏇틀듎맀볆믵뇒mhꆢm0ꆢmp뗄뷡릹컳닮탞헽쒣탍,벴뻓쏱뗄뛌웚믵뇒ꆢ쿖뷰뫍뒢탮뗄탨쟳몯쫽ꆣ(1)뻓쏱뛌웚믵뇒(mh)탨쟳몯쫽ꆣ퓚ꚤlnmh뗄솪솢랽돌쒣탍훐,쫕죫늻좷뚨ꛒ캪췢짺뇤솿,웤쯻5룶뇤솿뻹캪쓚짺뇤솿ꆣ캪쪶뇰컳닮탞헽쒣탍훐뗄뛌웚뷡릹닎쫽,탨짨훃10룶쇣풼쫸쳵볾ꆣ볙뚨ꚤlnpsꆢꚤlnrꆢꚤelnpꆢꚤlny뫍ꚤlnmh춬웚횮볤돊뛔뷇풪쯘캪1뗄쿂죽뷇뻘헳맘쾵,뻟쳥캪:뒢탮퓶뎤싊ꚤlnmhꆢ닺돶퓶뎤싊ꚤlnyꆢ풤웚춨믵엲헍싊ꚤelnpꆢ듦뿮샻싊퓶뎤싊ꚤlnr뻹늻뛔막욱볛룱짏헇싊ꚤlnps닺짺춬웚펰쿬;ꚤlnmhꆢꚤlny뫍ꚤelnp늻뛔ꚤlnr닺짺춬웚펰쿬;ꚤlnmh뫍ꚤlny늻뛔ꚤelnp닺짺춬웚펰쿬;ꚤlnmh늻뛔ꚤlny닺짺춬웚펰쿬ꆣ뻓쏱뛌웚쪵볊믵뇒탨쟳몯쫽(뷡릹컳닮탞헽쒣탍)뿉뇭쪾캪:ꚤlnmh=-6+ꚤlnyꚤt-1+ꚤelnpt()()()()()ꚤꚤꚤlnpst-5+ꚤlnrt-2(22)()()()()R2=,R2=,.=,LM(1)=,LM(2)=,LM(3)=,LM(4)=,ARCH(1)=ꆣ삨뫅훐뗄쫽횵캪t볬퇩횵ꆣ랽돌1ꆫ4뷗삭룱샊죕돋쫽(LM)춳볆솿쿔쪾,닐닮탲쇐늻듦퓚ퟔ쿠맘뫍욫ퟔ쿠맘ꆣARCH춳볆솿뇭쏷,닐닮탲쇐늻듦퓚틬랽닮ꆣCUSUM춳볆솿횵ꆢCUSUMSQ춳볆솿횵쪼훕실퓚훃탅쮮욽캪5%뗄솽쳵쇙뷧쿟쓚,뇭쏷랽돌뗄닎쫽뫍닐닮랽닮쫇춳볆컈뚨뗄ꆣ쫀뷧뺭볃3ꆡ2009쓪뗚1웚ꆡꆤ36ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
췵폀훐ꆡꆡ(22)쪽뇭쏷,뛌웚믵뇒탨쟳퓶뎤싊훷튪좡뻶폚닺돶퓶뎤싊ꆢ풤웚춨믵엲헍ꆢ막욱볛룱뗈틲쯘,뛸늻쫜쫕죫늻좷뚨럧쿕틔벰ퟔ짭뗄훍뫳펰쿬ꆣ랽돌뗷헻쾵쫽캪쿔훸뗄,뇭쏷뎤웚뻹뫢맘쾵퓚뛌웚믵뇒탨쟳뗷헻맽돌훐웰떽쇋컈뚨탔탞헽ퟷ폃,떫뗷헻쯙뛈뷏싽ꆣ죴잰웚믵뇒탨쟳폫뎤웚뻹뫢맘쾵돶쿖1%욫샫,붫뛔믵뇒탨쟳닺짺%컈뚨랴쿲탞헽ퟷ폃,듓뛸놣횤쇋뻓쏱뛌웚믵뇒탨쟳몯쫽뗄컈뚨탔ꆣ닺돶퓶뎤싊뛔뻓쏱믵뇒탨쟳닺짺쿔훸뗄헽쿲훍뫳펰쿬,죴잰뗚1ꆢ5벾뛈뗄닺돶퓶뎤싊럖뇰짏짽1%,퓲뻓쏱놾벾뛈믵뇒탨쟳붫퓶볓%ꆣ풤웚춨믵엲헍뛔믵뇒탨쟳닺짺훘튪뗄춬웚펰쿬,죴놾벾뛈풤웚춨믵엲헍짏헇1%,뻓쏱믵뇒탨쟳붫쿂붵%ꆣ막볛짏헇뛔믵뇒탨쟳닺짺돖뻃뛸쿔훸뗄뢺쿲훍뫳펰쿬,죴잰솽룶벾뛈벰뗚5룶벾뛈막욱볛룱욽뻹짏헇10%,퓲놾벾뛈뗄믵뇒탨쟳붫쿂붵1%ꆣ뚨웚듦뿮샻싊뇤뮯뛔믵뇒탨쟳닺짺훍뫳웚캪냫쓪뗄헽쿲펰쿬,늻맽펰쿬솦뷏킡,쾵쫽풼캪ꆣ(2)뻓쏱뛌웚쿖뷰(m0)탨쟳몯쫽ꆣ퓚ꚤlnm0뗄솪솢랽돌쒣탍훐,쫕죫늻좷뚨뇤솿ꛒꆢ막볛횸쫽ps뫍샻싊r캪췢짺뇤솿,쿖뷰m0ꆢ닺돶y뫍풤웚컯볛횸쫽ep캪쓚짺뇤솿ꆣ캪쪶뇰컳닮탞헽쒣탍훐뗄뛌웚뷡릹닎쫽,탨짨훃3룶쇣풼쫸쳵볾ꆣ볙뚨ꚤelnpꆢꚤlny뫍ꚤlnm0횮볤뗄춬웚맘쾵돊뛔뷇풪쯘캪1뗄쿂죽뷇뻘헳탎쪽,뻟쳥캪:쿖뷰퓶뎤싊ꚤlnm0뇤뮯뛔닺돶퓶뎤싊ꚤlnyꆢ풤웚춨믵엲헍싊ꚤelnp늻닺짺춬웚펰쿬;ꚤlnm0뛔ꚤlny늻닺짺춬웚펰쿬ꆣ뻓쏱뛌웚쪵볊쿖뷰탨쟳몯쫽뿉뇭쪾캪:ꚤlnm0t=ꚤꚤꚤꚤlnm0t-5()()()()()+ꚤlnyt-1+ꚤlnyt-2+ꚤlnyꚤt-3+-4+ꚤlnyt-5+ꚤlnꛒt-2()()()()()()+ꚤlnꛒt-3+ꚤlnꛒꚤꚤelnpt-4+ꚤꚤlnrt-4(23)()()()()()()R2=,R2=,.=,LM(1)=,LM(2)=,LM(3)=,LM(4)=,ARCH(1)=ꆣLM춳볆솿뫍ARCH춳볆솿뻹쿔쪾,랽돌닐닮탲쇐늻듦퓚ퟔ쿠맘ꆢ욫ퟔ쿠맘뫍틬랽닮쿖쿳ꆣCUSUM춳볆솿횵ꆢCUSUMSQ춳볆솿횵쪼훕실퓚훃탅쮮욽캪5%뗄솽쳵쇙뷧쿟쓚,쮵쏷랽돌뗄닎쫽뫍닐닮랽닮쫇춳볆컈뚨뗄ꆣ(23)쪽뇭쏷,뻓쏱뛌웚쿖뷰탨쟳퓶뎤싊훷튪좡뻶폚ퟔ짭훍뫳펰쿬ꆢ닺돶퓶뎤싊ꆢ쫕죫늻좷뚨럧쿕뫍풤웚춨믵엲헍ꆣ랽돌뗷헻쾵쫽캪쿔훸뗄,뇭쏷쿖뷰탨쟳뗄뎤웚뻹뫢맘쾵퓚뛌웚쿖뷰탨쟳뗷헻맽돌훐웰떽쇋컈뚨탔탞헽ퟷ폃,뛸쟒뛌웚쿖뷰탨쟳쿲뎤웚뻹뫢맘쾵뗄뗷헻쯙뛈럇뎣뿬,짏벾뛈쪵볊쿖뷰탨쟳폫뻹뫢쿖뷰탨쟳뗄닮뻠퓚냫쓪횮쓚뇣뗃떽좫늿탞헽ꆣ뻓쏱잰5룶벾뛈뗄쿖뷰탨쟳퓶뎤싊뗄뢺쿲훍뫳펰쿬쫇쿔훸뛸훘튪뗄,죴잰5룶벾뛈뗄쿖뷰탨쟳퓶뎤싊뻹쳡룟1%,놾벾뛈쿖뷰탨쟳붫쿂붵%;죴잰5룶벾뛈닺돶퓶뎤싊뻹짏짽1%,놾벾뛈쿖뷰탨쟳퓶뎤싊붫쳡룟%;죴짏쓪뗚2ꆫ4벾뛈뗄쫕죫늻좷뚨럧쿕욽뻹쳡룟1%,놾벾뛈뗄쿖뷰탨쟳붫퓶볓%ꆣ풤웚춨믵엲헍뛔쿖뷰탨쟳뗄뢺쿲펰쿬쫇훘튪뛸쿔훸뗄ꆣ죴놾벾뛈뫍짏쓪춬벾뛈뗄풤웚춨믵엲헍싊쳡룟1%,놾벾뛈쿖뷰탨쟳퓶뎤싊붫쿂붵%ꆣ막볛짏헇뛔쿖뷰탨쟳뗄헽쿲펰쿬훍뫳1웚,펰쿬뛈뫜킡ꆣ짏쓪춬벾뛈뗄뚨웚듦뿮샻싊뛔놾벾뛈쿖뷰탨쟳닺짺뷏킡뗄뢺쿲펰쿬ꆣ(3)뻓쏱뛌웚뒢탮(mp)탨쟳몯쫽ꆣ퓚ꚤlnmp뗄솪솢랽돌쒣탍훐,쫕죫늻좷뚨ꛒ캪췢짺뇤솿,뒢탮mpꆢ닺돶yꆢ풤웚컯볛횸쫽epꆢ막볛횸쫽ps뫍샻싊r캪쓚짺뇤솿ꆣ캪쪶뇰컳닮탞헽쒣탍훐뗄뛌웚뷡릹닎쫽,탨짨훃10룶쇣풼쫸쳵볾ꆣ볙뚨ꚤlnpsꆢꚤlnrꆢꚤlnyꆢꚤelnp뫍ꚤlnmp춬웚횮볤돊뛔뷇풪쯘캪1뗄쿂죽뷇뻘헳맘쾵,뻟쳥캪:뒢탮퓶뎤싊ꚤlnmpꆢ풤웚춨믵엲헍ꚤelnpꆢ닺돶퓶뎤싊ꚤlny뫍샻싊퓶뎤싊ꚤlnr뻹늻뛔막볛짏헇싊ꚤelnps닺짺춬웚펰쿬;ꚤlnmpꆢꚤelnp뫍ꚤlny뛔ꚤlnr늻닺짺춬웚펰쿬;ꚤlnmp뫍ꚤlnp늻뛔ꚤlny닺짺춬웚펰쿬e;ꚤlnmp늻뛔ꚤlnp닺짺춬웚펰쿬ꆣ뻓쏱뛌웚쪵볊뒢탮탨쟳몯쫽뿉뇭쪾캪:ꚤlnmpt=ꚤꚤt-6+-2+-4+ꚤlnyt-5ꆡꆡꆡꆡꆡ()()()()()쫀뷧뺭볃3ꆡ2009쓪뗚1웚ꆡꆤ37ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆡꆡ쫕죫늻좷뚨ꆢ막욱쫐뎡폫훐맺뻓쏱믵뇒탨쟳ꚤlnꛒꚤꚤlnpꚤ-1()()()()ꚤꚤlnpꚤst-5+-1(24)()()()R2=,R2=,.=,LM(1)=,LM(2)=,LM(3)=,LM(4)=,ARCH(1)=ꆣ삨뫅훐뗄쫽횵캪t볬퇩횵ꆣ1ꆫ4뷗LM춳볆솿뫍ARCH춳볆솿쿔쪾,닐닮탲쇐늻듦퓚ퟔ쿠맘ꆢ욫ퟔ쿠맘뫍틬랽닮ꆣCUSUM춳볆솿횵ꆢCUSUMSQ춳볆솿횵쪼훕실퓚훃탅쮮욽캪5%뗄솽쳵쇙뷧쿟쓚,뇭쏷랽돌뗄닎쫽뫍닐닮랽닮쫇춳볆컈뚨뗄ꆣ(24)쪽쿔쪾,뻓쏱뛌웚뒢탮탨쟳퓶뎤싊좡뻶폚웤ퟔ짭훍뫳펰쿬ꆢ닺돶퓶뎤싊ꆢ쫕죫늻좷뚨럧쿕ꆢ풤웚춨믵엲헍뫍막볛짏헇뗈틲쯘ꆣ랽돌뗷헻쾵쫽캪쿔훸뗄,쮵쏷뒢탮탨쟳뗄뎤웚뻹뫢맘쾵퓚뛌웚뒢탮탨쟳뗷헻맽돌훐웰떽쇋컈뚨뗄탞헽ퟷ폃,늻맽,뗷헻쯙뛈뷏싽,쎿벾뛈뷶폐3%뗄짏벾뛈쪵볊뒢탮탨쟳폫뻹뫢뒢탮탨쟳뗄닮뻠놻탞헽ꆣ뻓쏱뛌웚뒢탮탨쟳쫜잰뗚2벾뛈뒢탮퓶뎤싊뗄헽쿲훍뫳펰쿬,죴잰뗚2벾뛈뒢탮퓶뎤싊쳡룟1%,놾벾뛈뒢탮탨쟳퓶뎤싊풼짏짽%ꆣ닺돶퓶뎤싊뛔뒢탮탨쟳뗄헽쿲펰쿬훍뫳4ꆢ5룶벾뛈,죴잰뗚4ꆢ5룶벾뛈뗄닺돶퓶뎤싊뻹쳡룟1%,놾벾뛈뒢탮퓶뎤싊붫짏짽%ꆣ뻓쏱쫕죫늻좷뚨돌뛈뇤뮯뛔뒢탮탨쟳퓶뎤뗄펰쿬쫇뢺쿲뗄,죴잰뗚2룶벾뛈뻓쏱쫕죫늻좷뚨돌뛈짏짽1%,놾벾뛈뻓쏱뒢탮탨쟳퓶뎤싊붫쿂붵%ꆣ쮵쏷쫕죫늻좷뚨럧쿕뗄짏짽췆뚯뻓쏱뒢탮탨쟳짏짽뗄쟷쫆쫇뗝복뗄,벴쯦ퟅ쫕죫늻좷뚨럧쿕뗄늻뛏짏짽,뻓쏱뒢탮탨쟳쿠펦퓶볓뗄맦쒣풽살풽킡ꆣ풤웚춨믵엲헍뛔뻓쏱뒢탮탨쟳닺짺쿔훸뛸훘튪뗄뢺쿲훍뫳펰쿬,죴짏벾뛈풤웚춨믵엲헍짏짽1%,놾벾뛈뗄뒢탮탨쟳붫쿂붵%ꆣ막욱볛룱짏헇뛔뻓쏱뒢탮탨쟳닺짺춬웚뫍훍뫳뗄뢺쿲펰쿬,죴놾벾뛈ꆢ잰솽벾뛈ꆢ잰뗚5벾뛈뗄막욱볛룱짏헇싊뻹쳡룟1%,놾벾뛈뒢탮탨쟳붫쿂붵%ꆣ뚨웚듦뿮샻싊뛔뒢탮탨쟳뗄헽쿲펰쿬훍뫳1웚,떫펰쿬솦뷏킡,펰쿬쾵쫽뷶캪ꆣ컥뷡싛쯦ퟅ훐맺뺭볃쳥훆룄룯뗄짮죫췆뷸뫍쫐뎡뺭볃훆뛈뗄죕쟷췪짆,믵뇒뮯맽돌볙쮵뛔훐맺돖탸듦퓚뗄뎬뛮믵뇒탨쟳쿖쿳뷢쫍솦쿔훸쿂붵ꆣ놾컄룹뻝훐맺뻓쏱퓚쳥훆룄룯맽돌쏦쇙뗄늻좷뚨럧쿕퓶듳ꆢ막욱쫐뎡뛔뻓쏱믵뇒탨쟳뗄펰쿬죕틦퓶잿뗈쫂쪵,릹붨쇋튻룶틽죫막욱볛룱ꆢ뻟폐훐맺쳘즫뗄뒢탮욫뫃탍뻓쏱믵뇒탨쟳몯쫽,횼퓚뷢쫍훐맺뻓쏱뗄뎬뛮믵뇒탨쟳쿖쿳,늢뛔훐맺뻓쏱믵뇒탨쟳ꆢ쫕죫늻좷뚨폫막욱볛룱뗈틲쯘뗄맘쾵뷸탐샭싛첽쳖뫍뺭퇩럖컶ꆣ샭싛럖컶쿔쪾,훐맺뻓쏱쪵볊믵뇒탨쟳폫쫕죫쮮욽ꆢ쫕죫늻좷뚨럧쿕ꆢ뚨웚듦뿮샻싊돊헽쿲맘쾵,폫풤웚춨믵엲헍돊뢺쿲맘쾵,뛸폫막욱볛룱뗄맘쾵늻좷뚨,훷튪좡뻶폚쳦듺킧펦뫍닆뢻킧펦뗄솦솿뛔뇈ꆣ퓚뒢탮욫뫃탍믵뇒탨쟳몯쫽쳵볾쿂,쓪쟡죋뫍샏쓪죋뗄뚨웚듦뿮탨쟳뛔막욱볛룱ꆢ풤웚춨믵엲헍뗄랴펦쿔훸늻춬ꆣ뛔쓪쟡죋살쮵,풤웚춨믵엲헍싊뫍막욱볛룱짏헇싊뻹캪믺믡돉놾뇤솿,춨믵엲헍싊짏짽뫍막볛짏헇(막욱컼틽솦퓶볓)뻹쳡룟뻓쏱돖폐뚨웚듦뿮뗄돉놾,떼훂뚨웚듦뿮탨쟳쿂붵ꆣ뛔폚샏쓪죋뛸퇔,막욱볛룱뗄짏헇붫쪹웤뷰죚닆뢻맦쒣퓶볓,퓚닆뢻킧펦ퟷ폃쿂,뚨웚듦뿮탨쟳쿔훸퓶볓ꆣ뛸풤웚춨믵엲헍싊뗄짏짽,붫춨맽쳦듺킧펦ꆢ닆뢻킧펦ꆢ풤럀뚯믺킧펦펰쿬샏쓪죋뚨웚듦뿮탨쟳,쟒풤럀뚯믺킧펦햼훷떼뗘캻,듓뛸풤웚춨믵엲헍싊뗄짏짽,붫떼훂샏쓪죋뚨웚듦뿮탨쟳뗄짏짽ꆣ킭헻볬퇩뷡맻뇭쏷,훐맺뻓쏱뗄룷닣듎믵뇒돖폐솿폫닺돶ꆢ쫕죫늻좷뚨ꆢ풤웚춨믵엲헍ꆢ막볛뫍샻싊뗈뻶뚨틲쯘릹돉뎤웚킭헻맘쾵ꆣ퓚볓죫쫕죫늻좷뚨틲쯘뫳,뻓쏱믵뇒탨쟳뗄쫕죫떯탔늻퓙듳폚1,뛸쫇풼뗈폚1,듓뛸쿻돽뻓쏱뗄뎬뛮믵뇒탨쟳쿖쿳ꆣ뻓쏱뎤웚쿖뷰탨쟳폫쫕죫ꆢ늻좷뚨럧쿕ꆢ막욱볛룱돊헽쿲쫀뷧뺭볃3ꆡ2009쓪뗚1웚ꆡꆤ38ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
췵폀훐ꆡꆡ맘쾵,폫풤웚춨믵엲헍싊ꆢ뚨웚듦뿮샻싊돊뢺쿲맘쾵ꆣ뻓쏱뎤웚뒢탮(믵뇒)탨쟳폫쫕죫ꆢ쫕죫늻좷뚨ꆢ뚨웚듦뿮샻싊돊헽쿲맘쾵,폫풤웚춨믵엲헍싊ꆢ막욱볛룱돊뢺쿲맘쾵ꆣ늻좷뚨럧쿕뗄짏짽퓶볓쇋뻓쏱뗄뎤웚쿖뷰ꆢ뒢탮탨쟳,막욱볛룱훷튪춨맽닆뢻킧펦펰쿬뻓쏱쿖뷰탨쟳,뛸뛔뒢탮탨쟳뗄ퟷ폃틔쳦듺킧펦캪훷ꆣ헢쮵쏷,쫕죫늻좷뚨틲쯘쫇떼훂훐맺뻓쏱뎤웚듦퓚믵뇒뎬뛮탨쟳쿖쿳뗄튻룶훘튪풭틲,막욱쫐뎡뛔뻓쏱믵뇒탨쟳뗄펰쿬솦퓚훰붥퓶잿,떫펰쿬솦죔좻뷏킡ꆣ뷡릹컳닮탞헽쒣탍뷡싛쿔쪾,뻓쏱뗄뛌웚믵뇒(쿖뷰ꆢ뒢탮)탨쟳몯쫽돊쿖돶컈뚨뗘쿲뎤웚뻹뫢맘쾵뗷헻탞헽뗄쳘헷,쮵쏷뻓쏱뗄뎤뛌웚믵뇒(쿖뷰ꆢ뒢탮)탨쟳몯쫽뻹쫇컈뚨뗄ꆣ늻맽,뛌웚쿖뷰탨쟳뗷헻쯙뛈뫜뿬,뛸뒢탮(믵뇒)뗄뗷헻쯙뛈뷏싽ꆣ뻓쏱뛌웚쿖뷰탨쟳폫닺돶퓶뎤싊ꆢ쫕죫늻좷뚨탔ꆢ막욱볛룱짏헇싊헽쿠맘,뛸폫ퟔ짭훍뫳펰쿬ꆢ풤웚춨믵엲헍ꆢ뚨웚듦뿮샻싊뢺쿠맘ꆣ뻓쏱뛌웚뒢탮(믵뇒)탨쟳퓶뎤싊폫ퟔ짭훍뫳펰쿬ꆢ닺돶퓶뎤싊ꆢ뚨웚듦뿮샻싊뇤뮯헽쿠맘,폫풤웚춨믵엲헍ꆢ쫕죫늻좷뚨럧쿕뇤뮯ꆢ막볛짏헇싊뢺쿠맘ꆣ헢뇭쏷,쫕죫늻좷뚨짏짽틔뗝복뗄랽쪽뻓쏱뒢탮(믵뇒)탨쟳,뛸막볛짏헇틔뗝퓶뗄랽쪽붵뗍뻓쏱뒢탮탨쟳ꆣퟛ짏쯹쫶,퓚뻓쏱탨쟳몯쫽훐볓죫쫕죫늻좷뚨럧쿕ꆢ막욱볛룱틲쯘횮뫳,훐맺뻓쏱돖탸듦퓚뗄뎬뛮믵뇒탨쟳쿖쿳뗃틔쿻돽,쟒뻓쏱뎤뛌웚믵뇒(쿖뷰ꆢ뒢탮)탨쟳몯쫽쫇쿔훸컈뚨뗄ꆣ뻓쏱돖폐쿖뷰ꆢ뒢탮뗈듦솿믵뇒횸뇪뿉틔ퟷ캪믵뇒헾닟뗷뿘뗄튻룶훐뷩쒿뇪ꆣ틲듋,훐퇫믵뇒떱뻖뿉틔쳘뚨뗄뻓쏱믵뇒탨쟳몯쫽캪믹뒡,룹뻝쫕죫쮮욽ꆢ쫕죫늻좷뚨ꆢ풤웚춨믵엲헍ꆢ막욱볛룱뫍뚨웚듦뿮샻싊뗈틲쯘뗄뇤뚯쟩뿶,풤닢뻓쏱믵뇒탨쟳ퟜ솿,늢뻝듋뗷헻믵뇒릩펦솿퓶뎤뗄훐뷩쒿뇪,듓뛸쪵쿖컯볛컈뚨뫍뺭볃돖탸퓶뎤뗄쒿뇪ꆣ닎뾼컄쿗:쟘뛤(2002):ꆶ뻓쏱뒢탮ꆪꆪꆪힼ믵뇒횮훷풴ꆷ,ꆶ뺭볃톧(벾뾯)ꆷ뗚1뻭뗚2웚ꆣ틗룙(1995):ꆶ훐맺뗄믵뇒릩쟳폫춨믵엲헍ꆷ,ꆶ뺭볃퇐뺿ꆷ뗚5웚ꆣ틗탐붡(2004):ꆶ맘폚훐맺막욱쫐뎡뛔믵뇒탨쟳ퟜ솿폫뷡릹펰쿬뗄럖컶ꆷ,ꆶ뺭볃뿆톧ꆷ뗚6웚ꆣ폠폀뚨(2002):ꆶM2/GDP뗄뚯첬퓶뎤슷뺶ꆷ,ꆶ쫀뷧뺭볃ꆷ뗚12웚ꆣ췴뫬뻔ꆢ헅믛솫(2006):ꆶ닺톡퓱ꆢ럧쿕욫뫃폫뒢탮듦뿮탨쟳ꆷ,ꆶ뺭볃퇐뺿ꆷ뗚6웚ꆣBaharumshah,.;Mohd,,.ꆰStockPricesandDemandforMoneyinChina:NewEvidence.ꆱJournalofInternationalFinancialMarkets,InstitutionsandMoney,November2007,,,,:CambridgeUniversityPress,,.ꆰEfficientinferenceonCointegrationParametersinStructuralErrorCorrectionModels.ꆱJournalofEconometrics,1995,(1),,,Jiming.ꆰMeasurementofRepressedInflationinChina.ꆱJournalofDevelopmentEconomics,1991,,,M.ꆰMoneyandtheStockMarket.ꆱTheJournalofPoliticalEconomy,April1988,96(2),,,.ꆰEvaluatingDynamicModelsbyEncompassingtheVAR,ꆱ,BasilBlackwell,,,.ꆰTowardaReconstructionofKeynesianEconomics.ꆱQuarterlyJournalofEconomics,1983,(supple2ment),,,K.ꆰMaximumLikelihoodEstimationandInferenceonCointegrationwithApplicationstotheDemandforMoney.ꆱOxfordBulletinofEconomicsandStatistics,May1990,52(2),,M.ꆰEconomicsofSaving,ꆱ.,FrontiersofEconomics,Blackwell,Oxford,1985.(뷘룥:2008쓪8퓂퓰죎뇠벭:쯎횾룕)쫀뷧뺭볃3ꆡ2009쓪뗚1웚ꆡꆤ39ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
