ꆤ126ꆤꆶ쫽솿뺭볃벼쫵뺭볃퇐뺿ꆷ2010쓪뗚6웚돇헲뻓쏱뗄욽뻹쿻럑쟣쿲캪뫎돖탸쿂붵ꋙꆪꆪꆪ믹폚쿻럑쾰맟탎돉뗄쪵횤럖컶몼ꆡ뇳(즽컷닆뺭듳톧춳볆톧풺)ꆾ햪튪ꆿ놾컄듓쾰맟탎돉뷇뛈럖컶쇋뷼쓪살훐맺돇헲뻓쏱뗄욽뻹쿻럑쟣쿲돖탸쿂붵뗄풭틲ꆣ퓚샭싛럖컶뗄믹뒡짏,샻폃1978쓪틔살뗄훐맺돇헲힡뮧뗷닩쫽뻝맀볆쇋쾰맟탎돉닎쫽,좻뫳럖컶쇋쾰맟탎돉뛔욽뻹쿻럑쟣쿲뗄펰쿬,ퟮ뫳뛔쾰맟탎돉뗄풭틲ퟶ돶쇋뚨솿뷢쫍ꆣ놾컄뗄뒴탂횮뒦훷튪쳥쿖퓚:볙뚨쾰맟탎돉닎쫽쫇쪱뇤닎쫽,맀볆쇋1980쓪틔살훐맺돇헲뻓쏱쾰맟탎돉닎쫽뗄뇤뮯슷뺶,늢쟒맀볆쇋짧믡욽뻹짺믮쮮ힼ뫍풤웚횧돶뛔쾰맟탎돉닎쫽뗄펰쿬ꆣ맘볼듊ꆡ뺭볃퓶뎤ꆡ풤웚횧돶ꆡ쾰맟탎돉ꆡ욽뻹쿻럑쟣쿲훐춼럖샠뫅ꆡF01415ꆡꆡ컄쿗뇪쪶싫ꆡAWhyIsChineseUrbanResidentspiAPCKeepDecreasing?ꆡꆡAbstract:Fromahabitformationaspect,thispaperanalyzesthereasonsforaconstantlydecreasingAPCamongChineseurbanresidents1Basedontheoreticala2nalysis,theauthorfirstestimatesahabitformationcoefficient,thenanalyzestheinfluenceofhabitformationonAPC,andfinallygivesaquantitativeexplanationtohabitformation1Contributionofthispaperincludes:ꋙAtime-varyinghabitfor2mationparameterforChineseurbanresidentsissupposedandestimatedduringaperiodsince19801ꋚTheinfluenceofeconomicgrowthandexpectedexpenditurestothehabitformationparameterisestimated1Keywords:EconomicGrowth;ExpectedExpenditures;HabitFormation;APC튻ꆢ컊쳢뗄쳡돶1989쓪틔살,훐맺돇헲뻓쏱뗄욽뻹쿻럑쟣쿲(벴쿻럑횧돶햼뿉횧엤쫕죫뗄뇈훘)돊쏷쿔쿂붵쟷쫆ꆣ늻짙죋죏캪,헢훖쿖쿳폫뺭볃탍훐닺짺뗄늻좷뚨탔폐맘ꆣ틲듋,뷼쓪살폃풤ꋙ놾컄뗄퇐뺿뗃떽맺볒ퟔ좻뿆톧믹뷰쿮쒿(뇠뫅:70793071)훺,쳘듋훂킻ꆣ
돇헲뻓쏱뗄욽뻹쿻럑쟣쿲캪뫎돖탸쿂붵ꆤ127ꆤ럀탔뒢탮샭싛럖컶늻좷뚨탔뛔쿻럑믲뒢탮펰쿬뗄컄쿗풽살풽뛠ꆣ내헕Leland(1968)쳡돶뗄뚨틥,풤럀탔뒢탮쫇퇡뛱럧쿕뗄쿻럑헟캪쇋럀랶캴살쫕죫럧쿕떼훂쿻럑쿂붵뛸뛮췢퓶볓뗄뒢탮ꆣ쿻럑헟캴살쫕죫뗄늻좷뚨탔볓듳,풤럀탔뒢탮뻍믡퓶볓,뷸뛸떼훂뒢탮싊짏짽,쿻럑싊쿂붵ꆣ뇊헟죏캪,돽쫕죫늻좷뚨탔틔췢뮹폐솽룶훘튪쫂쪵튲펦룃틽웰ퟣ릻훘쫓ꆣ튻쫇훐맺늻뷶뒦폚뺭볃탍웚,춬쪱뮹뒦폚뺭볃뿬쯙퓶뎤웚ꆣ1978쓪틔살훐맺뺭볃놣돖쇋듳풼솽캻쫽뗄욽뻹퓶뎤싊,짧믡욽뻹짺믮쮮ힼ튲틲듋뛸훰쓪쳡짽ꆣ뷶틔힡랿캪샽,힡랿뫍돇쿧붨짨늿릫늼뗄춳볆쫽뻝쿔쪾,1978쓪훐맺돇헲뻓쏱뗄죋뻹힡햬붨훾쏦믽캪617욽랽쏗,뛸2007쓪틑뺭듯떽28욽랽쏗ꆣ짺믮쮮욽뗄돖탸쳡룟뿉쓜믡펰쿬볒춥뗄쾰맟욫뫃,뷸뛸떼훂뒢탮싊짏짽ꆣ틲캪퓚죋쏇틑뺭훰붥쾰맟짺믮늻뛏룄짆뗄뮷뺳훐,쿻럑헟쯹웚췻뗄쫇쎿쓪뗄쿻럑뚼뷏틔췹폐튻뚨돌뛈뗄퓶뎤ꆣ죧맻튻룶볒춥쎿쓪쿻럑뗄쫽솿뫍짏튻쓪쿠춬,웤탒뢣룐뻍믡듲헛뿛ꆣ캪쇋놣횤짺믮쮮욽늻뛏쳡룟,쿻럑헟뻍늻뗃늻룼뛠뗘퓶볓뒢탮ꆣ뛾쫇1989쓪틔살훐맺돇헲뻓쏱볒춥뗄풤웚횧돶튻횱퓚늻뛏쳡룟ꆣ웤풭틲쫇,튻랽쏦쫐뎡뮯좡쿲뗄룄룯늻뷶룄뇤쇋ꆰ룟뻍튵ꆢ쳺랹췫ꆱ뗄뻖쏦,뒫춳뗄짧믡놣헏훆뛈튲랢짺쇋훘듳뇤룯,죧힡랿뢣샻뮯놻훰늽좡쿻,릫럑튽쇆듺횮틔튽쇆놣쿕,ퟓ얮뷌폽럑폃쿖퓚믹놾짏쫇평볒춥뢺떣,뗈뗈ꆣ헢킩뇤뮯컞틉믡룄뇤돇헲뻓쏱볒춥뗄쿻럑풤쯣;쇭튻랽쏦,뷌폽ꆢ튽쇆틔벰힡랿볛룱톸쯙짏헇,폖뷸튻늽볓훘쇋돇헲뻓쏱볒춥뗄짺믮톹솦ꆣ샽죧,쪮벸쓪잰쎿욽랽쏗벸냙풪뗄힡랿,쿖퓚틑짽횵캪쎿욽랽쏗벸잧풪짵훁짏췲풪ꆣ캪쇋뇜쏢퓢폶쇷뚯탔풼쫸,쿻럑헟뻍늻뗃늻쳡잰ퟶ뫃ힼ놸ꆣퟜ횮,솦헹짺믮쮮욽훰늽쳡룟뗄훷맛풸췻뫍뾪쿺늻뛏퓶볓뗄뿍맛쿖쪵,뚼쪹돇헲뻓쏱볒춥틢쪶떽뷱뫳뗄뮨럑믡풽살풽뛠ꆣ평듋뇊헟볙뚨,훐맺돇헲뻓쏱뗄뿧웚쿻럑뻶닟쒿뇪쫇놣돖쿻럑뎤웚컈뚨퓶뎤,듓뛸룷웚쿻럑뗄킧폃쫇쿠뮥맘솪뗄ꆣ뛸뇪ힼ뗄짺쏼훜웚볙쮵죏캪,냑쿻럑뻹퓈뗘럖엤폚룷룶쪱웚뻍쪵쿖쇋킧폃ퟮ듳뮯,쿔좻룃샭싛폫훐맺뗄쿖쪵늻쿠럻ꆣ쿻럑킧폃퓚쪱볤짏뗄쿠맘탔폖돆캪ꆰ쾰맟탎돉ꆱꆣ쾰맟탎돉쫇튻훖쳘쫢뗄킧폃샭싛,웤몬틥쫇:룸뚨쿖웚쿻럑쮮욽,틔췹쿻럑뗄쫽솿풽뛠쿖웚쿻럑뗄킧폃뻍풽킡ꆣ틲듋,폫뒫춳뗄킧폃몯쫽늻춬,쾰맟탎돉쿂뗄킧폃몯쫽퓚쪱볤짏쫇늻뿉럖뗄ꆣퟮ퓧헽쪽뗘퓚쿻럑몯쫽훐뾼싇쾰맟틲쯘뗄쫇Duesenberry(1949)ꆣ쯻죏캪쿻럑쾰맟튻떩탎돉쫇쓑틔뫜뿬룄뇤뗄,틲듋쿻럑늻뷶좡뻶폚떱잰쫕죫,뮹쫜맽좥쿻럑뗄펰쿬ꆣ폚쫇쫕죫쿂붵쪱,쿻럑늻믡솢벴쯦횮복짙,쫕죫쳡룟쪱쿻럑튲늻믡십짏쯦횮퓶볓ꆣHall(1978)쳡돶쇋훸쏻뗄샭탔풤웚짺쏼훜웚볙쮵(RELCH),듓듋쾰맟탎돉샭싛쓉죫쇋뿧웚킧폃ퟮ듳뮯뗄뿲볜ꆣSundaresan(1989)뫍Constantinides(1990)ퟮ퓧냑쾰맟탎돉틽죫쇋Hall(1978)뗄킧폃몯쫽훐,뛸Abel(1990)퓲쫗듎떼돶쇋춬쪱냼몬쾰맟탎돉뫍쿻럑췢늿탔뗄킧폃몯쫽ꆣ맽좥뗄쪮뛠쓪훐,뛔쾰맟탎돉뗄샭싛뫍펦폃퇐뺿훷튪벯훐폚죽룶랽쏦ꆣ튻쫇뷢쫍쿻럑뗄ꆰ맽뛈쏴룐탔ꆱ뫍ꆰ맽뛈욽뮬탔ꆱ쿖쿳ꆣ샭탔풤웚짺쏼훜웚볙쮵뗄튻룶쏷쿔몬틥쫇:풤쇏훐뗄쫕죫랢짺뇤뮯쪱뛔쿻럑쎻폐펰쿬,늢쟒죋쏇쓜릻룹뻝탂뗄탅쾢벰쪱룄뇤쿻럑볆뮮ꆣ좻뛸,듳솿쪵횤퇐뺿뷡맻뇭쏷,샭탔풤웚짺쏼훜웚볙쮵쏷쿔폫쿖쪵늻럻ꆣ훷튪뇭쿖캪쿻럑뛔춬웚쫕죫뫍훍뫳쫕죫뗄뇤뮯맽뛈쏴룐,뛔캴풤웚떽뗄쫕죫뇤뮯퓲듦퓚맽뛈욽뮬뗄랴펦ꆣ튻킩톧헟샻폃쾰맟탎돉샭싛뛔헢훖쿖쿳ퟶ돶쇋뫏샭뷢쫍ꆣ샽죧Deaton(1992)ꆢMeghir뫍Weber(1996)ꆢCarroll뗈(2000)퓸횸돶,죧맻쿻럑욫뫃뻟폐맟탔,돖뻃쫕죫룄뇤쪱볒춥뛔쿻럑뗄뗷헻쫇뮺싽뗄,평듋뻍뫜죝틗뷢쫍쿻럑폫훍뫳쫕죫쿠맘뗄쿖쿳ꆣ듋췢,쫜맟탔펰쿬,쫕죫쫜떽돥믷쪱쿻럑늻뿉쓜랢짺쳸풾탔뇤뮯,틲듋쿻럑뗄늨뚯럹뛈믡킡폚쫕죫
ꆤ128ꆤꆶ쫽솿뺭볃벼쫵뺭볃퇐뺿ꆷ2010쓪뗚6웚뗄늨뚯럹뛈ꆣ뛾쫇뷢쫍웤쯻뺭볃쿖쿳ꆣ죧막좨틧볛횮쏕(equitypremiumpuzzle)뫍컞럧쿕샻싊횮쏕(risk-freeratepuzzle)(Abel,1990;Constantinides,1990;Campbell뫍Cochrane,1999;Seckin,2000);쾰맟탎돉쿂뗄믵뇒헾닟킧맻(Fuhrer,2000),뗈뗈ꆣ죽쫇췪짆풤럀탔뒢탮샭싛ꆣ쾰맟탎돉횮쯹틔훘튪,뮹풴폚쯼뿉쓜믡떼훂뷏룟뗄뒢탮싊ꆣ풭틲웤쪵뫜볲떥:쾰맟탎돉뿉틔샭뷢캪쿻럑뻟폐룕탔,쿻럑헟쾣췻쿻럑쮮욽횻짽늻붵ꆣ헢쫇틲캪,퓚짧믡욽뻹짺믮쮮ힼ늻뛏쳡룟뗄뮷뺳훐,볒춥쿻럑쮮욽뗄쿂붵믡떼훂룼듳뗄뢺킧펦ꆣ쯹틔,쫜쾰맟탎돉펰쿬뗄쿻럑헟룼쓑틔죝죌짺믮쮮ힼ붵뗍,듓뛸튲룼퇡뛱럧쿕ꆣ듓헢룶틢틥짏붲,쾰맟탎돉뫍뷷짷쫇춬틥폯ꆣ룸뚨튻짺뗄닆뢻ퟜ솿,쿻럑헟쿖퓚쿻럑뗃맽뛠,캴살쿻럑뻍믡쿂붵ꆣ캪쇋욽뮬캴살쿻럑뗄퓶뎤,샭탔쿻럑헟쫆뇘믡쫊떱붵뗍떱잰돖뻃쫕죫뗄뇟볊쿻럑쟣쿲ꆣ쒿잰컒맺뗄룶죋쿻럑탅듻쫐뎡짐뒦폚쏈톿뷗뛎,쿻럑헟늻뗃늻훷튪틀뾿ퟔ짭뗄믽탮살펦뛔룷훖룷퇹뗄럧쿕ꆣ퓚뷌폽ꆢ튽쇆틔벰힡랿볛룱톸쯙짏헇뗄뮷뺳훐,볒춥놣돖캴살쿻럑컈뚨퓶뎤뗄훷튪쫖뛎뻍쫇퓶볓뒢탮ꆣ헢뻍뇭쏷,죧맻쾰맟탎돉뗄펰쿬쫇쿔훸뗄,퓲룟뒢탮쿖쿳뻍늻펦룃췪좫맩뻌폚쫕죫늻좷뚨탔ꆣ뷼쓪살맺췢뛔쾰맟탎돉샭싛뗄쪵횤퇐뺿죕틦퓶뛠ꆣ맀볆닎쫽뗄랽램훷튪폐솽샠:튻쫇쿈쟳돶쿻럑믲뒢탮뗄럢뇕뷢,퓙뛔닎쫽뷸탐맀볆ꆣ죧Alessie뫍Lusardi(1997)틔벰Guari2glia뫍Rossi(2002)럖뇰퓚뎣뻸뛔럧쿕퇡뛱킧폃몯쫽(CARA)뫍럇웚췻킧폃쒣탍볙짨쿂떼돶쇋쿻럑뗄럢뇕뷢,뷡맻뇭쏷,쿖웚쿻럑뗄뇤뮯뻶뚨폚돖뻃쫕죫ꆢ샍뚯쫕죫럧쿕뫍틔췹쿻럑뗄뇤뮯;뛾쫇맀볆Dynan(2000)쳡돶뗄뛔쫽쿟탔얷삭랽돌ꆣ듓헻쳥짏뾴,쾰맟탎돉샭싛뗃떽쇋ퟜ솿쫽뻝뗄횧돖,떫캢맛쫽뻝뗄쪵횤럖컶뷏짙,늢쟒뷡싛튲늻튻훂ꆣ컒맺퓚헢튻쇬폲뗄퇐뺿웰늽뷏췭,늢쟒뛠쫽퇐뺿벯훐폚폃쾰맟탎돉샭싛뷢쫍뷰죚쫐뎡뗄틬뎣쿖쿳ꆣ뻍뇊헟쯹횪,ퟮ퓧뛔훐맺뻓쏱쿻럑쾰맟탎돉뷸탐쪵횤럖컶뗄쫇쇺횾뫍뗈(2002)ꆣ쯻쏇톡퓱쒳쪡믡돇쫐1999ꆫ2001쓪볒볆뗷닩훐300뮧볒춥뗄쪳욷쿻럑쫽뻝뛔쿻럑쾰맟탎돉쒣탍뷸탐쇋맀볆ꆣ돂샻욽(2005)냑샭탔엊뇈틽죫쇋뺭볃퓶뎤쒣탍,듓샭싛짏쳖싛쇋뺭볃퓶뎤폫뒢탮뗄맘쾵ꆣ샗쟕샱(2007)퓚ퟜ뷡뻓쏱볒춥쿻럑뻶닟뗄룷훖뗤탍쳘헷뗄믹뒡짏,닉폃ퟮ폅쿟탔뗷뷚웷뗄쯦믺뚯첬맦뮮랽램떼돶쇋볒춥뿧웚폅뮯뻶닟뗄쿻럑몯쫽,늢폃훐맺돇헲뻓쏱볒춥뗄힡뮧뗷닩쫽뻝뷸탐쇋볆솿쒣탍퇩횤ꆣ웫뢣좫ꆢ췵횾캰(2007)샻폃1978ꆫ2005쓪놱뺩쫐얩듥뻓쏱볒춥뗄폐맘쫽뻝뛔쿻럑쾰맟컊쳢뷸탐쇋쪵횤퇐뺿ꆣ났뒺죙ꆢ췴캰(2007)샻폃1995ꆫ2005쓪쪡볊쏦냥쫽뻝퇐뺿쇋쾰맟욫뫃쿂훐맺뻓쏱쿻럑뗄맽뛈쏴룐탔ꆣ틔짏퇐뺿닉폃뗄쒣탍뫍쫽뻝늻춬,뷡싛튲늻튻훂ꆣ돽돂샻욽(2005)췢,헢킩컄쿗뚼쎻폐뾼싇쾰맟탎돉폫룟뒢탮쿖쿳횮볤뗄맘쾵ꆣ뛸돂샻욽뗄퇐뺿뷶쿞폚샭싛럖컶,늢쟒폫웤쯻ퟷ헟튻퇹,뚼쎻폐첽쳖훐맺뻓쏱쾰맟탎돉뗄풭틲ꆣ맽좥뗄쿻럑쮮욽뛔훐맺돇헲뻓쏱떱잰쿻럑폐뛠듳펰쿬?쾰맟탎돉퓚뛠듳돌뛈짏붵뗍쇋훐맺돇헲뻓쏱뗄욽뻹쿻럑쟣쿲?쿻럑맟탔뗄잿죵훷튪쫇평쓄킩틲쯘뻶뚨뗄?믘듰헢킩컊쳢폐ퟅ훘튪뗄샭싛뫍쿖쪵틢틥ꆣ캪듋놾컄틀뻝훐맺쿖쪵뛔Dynan(2000)쳡돶뗄쒣탍뷸탐탞헽,퓚듋믹뒡짏샻폃1978ꆫ2008쓪뗄훐맺돇헲힡뮧뗷닩쫽뻝맀볆쇋훐맺돇헲뻓쏱뗄쾰맟탎돉닎쫽,좻뫳맀볆쇋쾰맟탎돉뫍쫕죫늻좷뚨탔뛔욽뻹쿻럑쟣쿲뗄펰쿬,ퟮ뫳뛔쾰맟탎돉뗄풭틲ퟶ돶쇋뚨솿뷢쫍ꆣ놾컄뗄뒴탂횮뒦훷튪쳥쿖퓚:ꋙ볙뚨쾰맟탎돉닎쫽쫇쪱뇤닎쫽,늢쟒맀볆쇋룄룯뾪럅틔살훐맺돇헲뻓쏱쾰맟탎돉닎쫽뗄뇤뮯슷뺶ꆣ뻍뇊헟쯹횪,맺쓚췢틑폐뗄퇐뺿뚼냑쾰맟탎돉닎
돇헲뻓쏱뗄욽뻹쿻럑쟣쿲캪뫎돖탸쿂붵ꆤ129ꆤ쫽쫓캪만뚨뎣쫽,벴볙뚨쿻럑헟짺믮퓚튻룶컈뚨뗄뺭볃뮷뺳훐ꆣ훐맺룄룯ퟟ뗄쫇튻쳵붥뷸뗄뗀슷,폫뻓쏱쿻럑쾰맟탎돉폐맘뗄틲쯘뒦폚늻뛏뇤뮯횮훐ꆣ틲듋,뫜쓑짨쿫1978쓪훁뷱훐맺뻓쏱뗄쾰맟욫뫃튻횱쎻폐룄뇤ꆣꋚ쫗듎럖컶쇋짧믡욽뻹짺믮쮮ힼ뫍풤웚횧돶폫쾰맟탎돉닎쫽뗄쫽솿맘쾵ꆣ쿔좻,횻폐얪쟥돾쿻럑쾰맟쫇죧뫎탎돉틔벰죧뫎뇤뮯뗄,닅폐뿉쓜쳡돶뫏샭ꆢ폐킧뗄헾닟붨틩ꆣ뛾ꆢ럖컶랽램뗄톡퓱11Dynan뗄쒣탍뛔쾰맟탎돉뗄샭싛뫍쪵횤럖컶튻냣뚼쫇틔킧폃몯쫽캪믹뒡뗄ꆣ퓚쫕죫늻좷뚨쳵볾쿂,ퟮ뎣폃뗄킧폃몯쫽쫇뎣뻸뛔럧쿕퇡뛱킧폃몯쫽(CARA,ConstantAbsoluteRiskAversion)뫍뎣쿠뛔럧쿕퇡뛱킧폃몯쫽(CRRA,ConstantRelativeRiskAversion)ꆣCARA뗄튻룶훘튪좱쿝쫇,늻쓜업돽돶쿖뢺뗄쿻럑쮮욽ꆣ뛸Dynan(2000)쳡돶뗄쒣탍쫇틔CRRA캪믹뒡뗄,헢쫇놾컄톡퓱Dynan쒣탍뗄훷튪풭틲ꆣ쿖듺쿻럑샭싛쫇붨솢퓚볒춥쿻럑킧폃ퟮ듳뮯믹뒡짏뗄,틲듋,펦룃폃캢맛쫽뻝퇐뺿뻓쏱쿻럑탐캪ꆣ퓚컒맺틲캪럖뮧뗷닩쫽뻝뫜쓑믱뗃,놾컄닉폃뗄쫇뺭맽ퟛ뫏뗄쫽뻝(죧좫맺돇헲뻓쏱뗄죋뻹쿻럑횧돶,뗈뗈)ꆣ틲듋,폫Dynan뗄쒣탍늻춬,놾컄짨뚨뗄쒣탍쎻폐뾼싇볒춥맦쒣ꆢ뮧훷쓪쇤ꆢ뮧훷탔뇰뗈펰쿬볒춥쿻럑욫뫃뗄틲쯘ꆣ짨쯦믺뇤솿Ct캪쪱웚t쿻럑헟뗄쪵볊쿻럑횧돶,Et뇭쪾쿻럑헟룹뻝쪱웚t쯹폐뿉쓜믱뗃뗄탅쾢쯹ퟶ돶뗄풤웚,ꛂ1=1+ꛄ쫇쪱볤헛쿖틲ퟓ,ꛄ캪쪱볤욫뫃싊ꆣ폚쫇,쾰맟탎돉쿂쿻럑헟뗄뿧웚ퟮ폅뮯컊쳢뿉틔뇭쫶캪:TmaxEtꇆꛂꆡku(Ct+k)(1)k=0웤훐,Ct=(Ct-ꛃht),u쫇킧폃몯쫽,ht=(1-ꛈ)ht-1+Ct-1(0<ꛈ<1)쫇쾰맟듦솿(habitstock)ꆣ늻쓑뾴돶,쾰맟듦솿쫇틔잰룷웚쿻럑뗄볓좨욽뻹쫽ꆣ캪쇋랽뇣춨뎣뚼볙뚨ꛈ뗈폚1,벴볙뚨떱잰쿻럑뗄킧폃뷶폫잰튻웚쿻럑폐맘,폚쫇폐u(Ct)=u(Ct-ꛃCt-1)ꆣ0<ꛃ<1쫇쾰맟탎돉닎쫽,뇭쪾쾰맟듦솿뛔킧폃펰쿬뗄잿뛈,쿔좻,룸뚨쿖웚쿻럑쮮욽,ꛃ풽듳,떱잰쿻럑닺짺뗄킧폃풽킡ꆣ죧맻쾰맟탎돉닎쫽캪1,퓲떱잰쿻럑뇘탫듳폚잰튻웚쿻럑닅쓜믱뗃헽킧폃ꆣ틔짏킧폃몯쫽뮹뿉틔킴돉u(Ct)=u{(1-ꛃ)Ct+ꛃꚤCt}ꆣ룃쪽뷸튻늽쮵쏷,쿻럑뗄킧폃늻뷶틀삵폚쿻럑뗄쫽솿Ct,뛸쟒뮹좡뻶폚쿻럑뗄퓶뎤럹뛈ꚤCtꆣ죧맻떱웚쿻럑쎻폐퓶뎤,웤킧폃뻍믡복짙ꆣ틔짏쒣탍뇭쏷,쿻럑헟뗄쒿뇪쫇퓚볆뮮웚쓚쪵쿖ꆰ뺻ꆱ쿻럑뗄킧폃ퟮ듳뮯,뛸늻쫇춨뎣틢틥짏뗄쿻럑킧폃ퟮ듳뮯ꆣ틲듋,폫뇪ힼ뗄샭탔풤웚짺쏼훜웚볙쮵늻춬,쫜쾰맟탎돉펰쿬뗄쿻럑헟ힷ쟳뗄쒿뇪쫇놣돖쿻럑뎤웚컈뚨퓶뎤뛸늻뷶뷶쫇쿻럑퓚룷룶쪱웚뗄뻹퓈럖엤,듓뛸룷웚쿻럑뗄킧폃쫇쿠뮥맘솪뗄ꆣ(1)쪽뮹틾몬ퟅ튻룶훘튪볙뚨,벴쿻럑헟췪좫틢쪶떽쇋떱잰쿻럑뛔캴살쿻럑킧폃닺짺뗄펰쿬,튲뻍쫇쮵,쿻럑헟쫇햰잰맋뫳뗄ꆣ틔짏ퟮ폅뮯컊쳢뗄튻뷗쳵볾캪:EtMUt-ꛃꛂMUt+1=Et[(1+rt+1)ꛂMUt+1-(1+rt+1)ꛃꛂ2MUt+2](2)웤훐,rt+1쫇듓뗚t웚떽뗚t+1웚뒢탮뗄믘놨싊,MUt듺뇭쿻럑뗄뇟볊킧폃,벴MUt=
ꆤ130ꆤꆶ쫽솿뺭볃벼쫵뺭볃퇐뺿ꆷ2010쓪뗚6웚5u(Ct)/5Ctꆣ뗈쪽ퟳ뇟쫇뗚t웚럅웺튻룶떥캻뗄쿻럑횧돶쯹닺짺뗄뺻뇟볊돉놾ꆣ뗚t웚뗄쿻럑복짙믡쪹춬웚뗄쿻럑킧폃쿂붵(헽뗄돉놾),떫쿻럑복짙뗄춬쪱튲붵뗍쇋쾰맟듦솿,뗚t+1웚뗄킧폃뻍믡틲듋뛸퓶볓(뢺뗄돉놾)ꆣ뗈쪽폒뇟뇭쪾퓚뗚t+1웚퓶볓튻룶떥캻뗄쿻럑횧돶쯹듸살뗄뺻뇟볊쫕틦ꆣ킧폃퓚t+1웚퓶볓쇋,떫t+2웚뗄킧폃붫쯦ퟅ쾰맟듦솿뗄퓶듳뛸복짙ꆣ퓚쪱볤뿧뛈Tퟣ릻뎤쟒샻싊캪뎣쫽뗄쳵볾쿂,Hayashi(1985)뗃떽쇋(2)쪽뗄볲뮯냦캪:Et(1+r)ꛂMUt+1MU=1(3)t헢틢캶ퟅ(1+r)ꛂMUtMU=1+ꛅt(4)t-1쪽훐,ꛅt캪풤웚컳닮ꆣ죴쿻럑헟뗄풤웚쫇샭탔뗄,퓲폐Et-1ꛅt=0,쟒ꛅt늻듦퓚탲쇐쿠맘ꆣ볙뚨킧폃몯쫽캪CRRA탎쪽:C1-ꛑtu(Ct)=1-ꛑ헢샯ꛑ쫇쿠뛔럧쿕퇡뛱쾵쫽ꆣ폚쫇,쿻럑뗄뇟볊킧폃캪MUt=C-ꛑt,(4)쪽틲듋뿉틔킴돉:-ꛑ(1+r)ꛂCtC=1+ꛅt(5)t-1붫(5)쪽솽뇟좡ퟔ좻뛔쫽,늢붫Ct=Ct-ꛃCt-1듺죫,뿉뗃ꚤln(Ct-ꛃC1t-1)=ꛑln(1+r)+lnꛂ1-ꛑln(1+ꛅt)(6)쪽훐,ꚤ뇭쪾튻뷗닮럖ꆣ룹뻝Muellbauer(1988),ꚤln(Ct-ꛃCt-1)뿉틔폃ꚤlnCt-ꛃꚤlnCt-1뷼쯆듺쳦,퓲(6)쪽룄킴캪:ꚤlnCt=ꛁ0+ꛃꚤlnCt-1+et(7)웤훐,ꛁ0뫍ꛃ캪뎣쫽,et쫇뻹횵캪0뗄쯦믺컳닮ꆣ룃쪽뇭쏷,쾰맟탎돉쪹뗃놾웚쿻럑퓶뎤싊폫잰튻웚뗄쿻럑퓶뎤싊돊쿖헽쿠맘맘쾵ꆣ웤룹풴퓚폚,평폚쫜떽맟탔펰쿬,돖뻃쫕죫쫜떽돥믷쪱볒춥뛔쿻럑뗄뗷헻쫇뮺싽뗄,튲벴췢늿돥믷늻뷶펰쿬떱잰쿻럑,뮹믡늨벰쿂튻웚뗄쿻럑ꆣ쿻럑뛔췢늿돥믷랴펦뗄훍뫳,랴펳쇋쿻럑헟늻쾣췻쿻럑뻧쇒늨뚯뗄뷷짷탄첬ꆣ21뛔Dynan쒣탍뗄탞헽죧잰쯹쫶,훐맺뗄룄룯ퟟ뗄쫇튻쳵붥뷸뗀슷,폫뻓쏱쿻럑쾰맟탎돉폐맘뗄틲쯘뒦폚늻뛏뇤뮯횮훐ꆣ틲듋,뫜쓑짨쿫룄룯뾪럅돵웚훁뷱훐맺뻓쏱뗄쾰맟탎돉닎쫽튻횱쎻폐룄뇤ꆣ캪듋,놾컄냑(7)쪽탞헽캪:ꚤlnCt=ꛁ0t+ꛃtꚤlnCt-1+et(8)ꛁ0t=ꛁ0t-1+ꛍ1t(9)
돇헲뻓쏱뗄욽뻹쿻럑쟣쿲캪뫎돖탸쿂붵ꆤ131ꆤꛃt=ꛃt-1+ꛍ2t(10)웤훐,ꛁ0t뫍ꛃt돆캪ힴ첬뇤솿,ꛍ1t뫍ꛍ2t쫇컳닮쿮ꆣ틔짏3룶랽돌뻍릹돉쇋튻룶쯹캽뗄ힴ첬뿕볤쒣탍(statespacemodel)ꆣힴ첬뿕볤쒣탍쫇뚯첬쒣탍뗄튻냣탎쪽,평튻ퟩ맛달(ob2servation)랽돌뫍ힴ첬(state)랽돌릹돉ꆣ컄훐(8)쪽쫇맛달랽돌,뇭쪾뺭볃뇤솿횮볤뗄튻냣맘쾵ꆣ(9)쪽뫍(10)쪽돆캪ힴ첬랽돌믲뮻(transition)랽돌,쯼쏨쫶쇋ힴ첬뇤솿뗄짺돉맽돌ꆣ샻폃뾨뛻싼싋늨(KalmanFilter)쯣램뿉틔뗃떽ꛁ0t뫍ꛃt뗄맀볆ꆣ죽ꆢ쪵횤럖컶11떥캻룹볬퇩놾컄닉폃뗄쫽뻝캪1978ꆫ2008쓪훐맺돇헲뻓쏱뗄죋뻹쪵볊짺믮쿻럑횧돶(Ct,틔1978쓪뗄훐맺돇헲뻓쏱쿻럑볛룱쮮욽캪100,듓쏻틥짺믮쿻럑횧돶훐쳞돽쇋볛룱뇤뚯틲쯘)ꆢ욽뻹쿻럑쟣쿲(Ct/Yt)ꆢ1978ꆫ2007쓪훐맺돇헲뻓쏱뗄죋뻹힡햬붨훾쏦믽(mt,2008쓪뗄쫽뻝짐캴릫늼)ꆢ1981ꆫ2008쓪훐맺돇헲뻓쏱뗄죋뻹뻓힡횧돶(Xt),틔벰1981ꆫ2007쓪내7룶쫕죫뗈벶럖ퟩ볆쯣뗄훐맺돇헲뻓쏱죋뻹뿉횧엤쫕죫뗄뇪ힼ닮쾵쫽(Zt)ꆣ쯹폐풭쪼쫽뻝뚼살ퟔꆶ훐맺춳볆쓪본ꆷꆣ캪쇋뇜쏢캱믘맩,놾컄쿈폃ADF랽램뛔폐맘뇤솿뗄욽컈탔뷸탐쇋볬퇩(뻟쳥볬퇩뷡맻싔)ꆣ듓볬퇩뷡맻뿉횪,퓚5%뗄쿔훸탔쮮욽쿂,lnCtꆢlnXtꆢCt/Ytꆢlnmt뫍lnZt뚼쫇튻뷗떥헻뗄,벴웤튻뷗닮럖뻹캪욽컈쪱볤탲쇐ꆣ21쾰맟탎돉닎쫽뗄맀볆평폚쫜떽돩퇹컳닮뫍럇돩퇹컳닮뗄펰쿬,쿻럑횧돶쫽뻝늻뿉뇜쏢뗘듦퓚닢솿컳닮,벴lnCt=lnC3t+ut(11)웤훐,Ct뇭쪾맛달떽뗄쿻럑횧돶,C3t캪헦쪵뗄쿻럑횧돶,ut캪닢솿컳닮ꆣ평폚컒쏇폃뿉맛달뗄쿻럑횧돶듺쳦쇋헦쪵뗄쿻럑횧돶,쯹틔(8)쪽펦룃킴돉:ꚤlnCt=ꛁ0t+ꛃtꚤlnCt-1+ꛇt(12)ꛇt=et+ut-(1+ꛃt)ut-1+ꛃtut-2(13)틲캪ꚤlnCt-1=ꚤlnC3t-1+ut-1-ut-2,듓뛸(12)쪽훐뷢쫍뇤솿ꚤlnCt-1폫컳닮쿮ꛇt횮볤듦퓚쿠맘맘쾵,틲듋ퟮ킡뛾돋맀볆솿쫇폐욫쟒럇튻훂뗄ꆣ뷢뻶헢룶컊쳢뗄춾뺶훷튪폐솽훖:튻쫇캪ꚤlnCt-1톰헒뫏쫊뗄릤뻟뇤솿(볈폫ꚤlnCt-1룟뛈쿠맘폖폫ꛇt늻쿠맘뗄뇤솿),뛾쫇폃헦쪵쿻럑횧돶뗄맀볆횵쳦뮻쿻럑횧돶뗄맛달횵ꆣ평폚뇊헟헆컕뗄쫽뻝폐쿞,뫜쓑헒떽싺틢뗄릤뻟뇤솿,놾컄톡퓱쇋뗚뛾훖랽램ꆣ냑(11)쪽훐뗄lnC3t짨뚨캪ힴ첬뇤솿,샻폃ힴ첬뿕볤쒣탍뿉틔뗃떽헦쪵쿻럑횧돶뗄맀볆:lnCt=lnC^3t+u^t(14)(6167)lnC^3t=lnC3t-1+v^t웤훐,쪽(14)맀볆횵쿂쏦삨뫅훐뗄쫽ퟖ캪Z춳볆횵ꋙꆣ뛔lnC^3t뷸탐튻뷗닮럖뫳벴뿉뗃떽ꚤlnC^3t,쯼폫ꚤlnCt뗄맘쾵죧춼1쯹쪾ꆣꋙ뻟쳥맀볆랽램쫇BHHH,늢쟒퓊탭솽룶랽돌뗄컳닮쿮듦퓚쿠맘맘쾵ꆣ
ꆤ132ꆤꆶ쫽솿뺭볃벼쫵뺭볃퇐뺿ꆷ2010쓪뗚6웚춼1ꆡꚤlnC^3t뫍ꚤlnCt뗄맘쾵폃ꚤlnC^3쳦뮻(8)쪽훐뗄ꚤlnC,폐ꚤlnC^3t=ꛁ0t+ꛃtꚤlnC^3t-1+etꆡꆡt=1980,1981,ꆭ,2008(15)ꛁ0t=ꛁ0t-1+v1t(16)ꛃt=ꛃt-1+ꛍ2t(17)평폚쒣탍훐냼몬폐훍뫳튻웚뗄튻뷗닮럖뇤솿,맊퇹놾쪧좥쇋1978쓪뫍1979쓪뗄맛닢횵ꆣ샻폃뾨뛻싼싋늨쯣램훐뗄뗝맩맀볆램뿉뗃떽ힴ첬뿕볤쒣탍뗄죧쿂맀볆:ꚤlnC^3t=ꛁ^0t+ꛃ^tꚤlnC^3t-1+ꛇ^t(18)(3110)(2175)볬퇩뷡맻쿔쪾,ꛁ0t뫍ꛃt뻹퓚1%뗄쿔훸탔쮮욽쿂쿔훸,쮵쏷쾰맟탎돉뛔훐맺돇헲뻓쏱쿻럑탐캪뗄펰쿬쫇훘튪뗄ꆣ캪쇋뷚쪡욪럹,놾컄횻룸돶쇋ꛃt뗄맀볆횵,볻뇭1,ퟟ쫆볻춼2ꆣ뇭1쾰맟탎돉닎쫽ꛃt뗄맀볆횵쓪럝ꛃ^t쓪럝ꛃ^t쓪럝ꛃ^t198001006199001396720000137521981-011549199101321220010137851982010101199201325220020140561983010681199301338920030139021984-0100041994013720040139319850100219950138232005014001198601056319960136720060141151987-010011997013781200701430619880106141998013829200801434619890136651999013663ꆡꆡ평뇭1뫍춼2뿉횪,1980ꆫ1988쓪웚볤쾰맟탎돉닎쫽뗄맀볆횵폐헽폐뢺,뫜늻컈뚨,늢쟒뚼뷓뷼폚0ꆣ쯦뫳ꛃ^t뾪쪼훰붥퓶듳,1989쓪ꛃ^t캪013665,떽2008쓪틑짏짽캪014346ꆣ
돇헲뻓쏱뗄욽뻹쿻럑쟣쿲캪뫎돖탸쿂붵ꆤ133ꆤ춼2ꆡ쾰맟탎돉닎쫽뗄맀볆횵잰쏦쳡떽,쾰맟탎돉폫뺭볃퓶뎤쯙뛈폐맘,떫1989쓪잰뫳솽룶뷗뛎훐맺뺭볃뗄욽뻹퓶뎤쯙뛈늢쎻폐뛠듳닮틬ꆣ뛔폚헢훖쿖쿳,뇊헟뗄뷢쫍쫇:횱훁20쫀볍80쓪듺쒩,컒맺뗄뺭볃쳥훆룄룯짐캴뒥벰돇헲뻓쏱뗄룹놾샻틦,ꆰ룟뻍튵ꆢ쳺랹췫ꆢ룟뢣샻ꆱ뗄뻍튵뫍놣헏훆뛈,쪹죋쏇뗄쫕죫뫍횧돶풤웚뇈뷏컈뚨,뿉틔쮵튻떩늽죫릤ퟷ룚캻,뇣컞뫳맋횮폇ꆣ틲듋,볆뮮뺭볃쳵볾쿂뎤웚탎돉뗄뛌쫓쿻럑탐캪쎻폐쏷쿔룄뇤ꆣ1989쓪컒맺돶쿖쇋탂훐맺돉솢틔살뗄쫗듎쫐뎡욣죭뫍ퟜ탨쟳늻ퟣ,퓚벳좡1988쓪쎤쒿쟀릺뗄뷌통뫳,쿻럑헟햰잰맋뫳뗄쿻럑틢쪶뾪쪼뇤뗃잿쇒웰살ꆣ룼훘튪뗄풭틲쫇,짧믡훷틥쫐뎡뺭볃쳥훆룄룯쒿뇪쒣쪽뗄좷솢,듓룹놾틢틥짏룄뇤쇋뻓쏱쿻럑탐캪뗄훆뛈믹뒡ꆣ쫜훆뛈뇤잨펰쿬,튻랽쏦,쿻럑헟뗄뺭볃뻶닟좨쏷쿔삩듳ꆣ샽죧,쿻럑욷쫐뎡평싴랽쫐뎡쿲싲랽쫐뎡뗄뇤,쪹뻓쏱톡퓱짌욷뗄ퟔ평좨훰늽삩듳;룶죋쿻럑탅듻튵컱뗄뾪햹,쪹쿻럑헟ꆰ뮨쏷쳬뗄잮ꆱ돉캪뿉쓜;샍뚯솦쫐뎡뗄붨솢,쪹죋쏇폐풽살풽뛠뗄ퟔ훷퓱튵믺믡ꆣ헢킩뇤뮯쪹쿻럑헟훰붥냚췑쇋뻉쳥훆쿂뗄탭뛠쿞훆,훮죧짌욷릩룸풼쫸ꆢ룶죋춶풼쫸ꆢ춬웚쫕죫뛔춬웚쿻럑뗄풼쫸뗈,듓뛸폐뿉쓜룼샭탔뗘훆뚨뎤웚쿻럑볆뮮ꆣ쇭튻랽쏦,뻍튵훆뛈ꆢ뷌폽훆뛈ꆢ튽쇆훆뛈ꆢ힡랿훆뛈뗈튻쾵쇐룄룯듫쪩뗄좫쏦췆탐틔벰뷌폽ꆢ튽쇆ꆢ힡랿볛룱뗄짏헇,듲웆쇋뒫춳쳥훆쿂맺볒붫돇헲뻓쏱짺믮ꆰ냼ꆱ쿂살뗄뻖쏦,쪹돇쫐뻓쏱뗄쿻럑횧돶풤웚늻뛏퓶듳ꆣ퓚헢퇹뗄뺭볃뮷뺳훐,튪놣횤짺믮쮮욽뎤웚컈뚨쳡룟,돇헲뻓쏱볒춥뻍늻뗃늻룼볓뷷짷ꆣퟜ횮,틔짏뷡맻횤쪵쇋놾컄뗄볙뚨,벴쾰맟탎돉닎쫽쫇쯦ퟅ쪱볤뇤뮯뛸늻뛏룄뇤뗄,룼뻟쳥뗘붲,쾰맟탎돉뛔훐맺돇헲뻓쏱쿻럑뗄펰쿬뺭샺쇋평죵떽잿뗄맽돌ꆣ31욽뻹쿻럑쟣쿲폫쾰맟탎돉뗄맘쾵룹뻝ꆶ훐맺춳볆쓪본ꆷ훐뗄돇헲뻓쏱욽뻹쿻럑뗄쓪뛈쫽뻝,컒쏇뿉틔뾴돶돇헲뻓쏱뗄욽뻹쿻럑쟣쿲폫쾰맟탎돉닎쫽횮볤듦퓚뷏쏷쿔뗄뢺쿠맘맘쾵ꆣ샽죧,1989쓪횮잰쾰맟탎돉닎쫽튻횱퓚뗍캻짏엇뮲,뛸욽뻹쿻럑쟣쿲퓲쪼훕퓚룟캻짏늨뚯ꆣ쯦뫳,쯦ퟅ쾰맟탎돉닎쫽훰붥퓶듳,욽뻹쿻럑쟣쿲돊쿖쿂붵쟷쫆ꆣ쾰맟탎돉닎쫽뗄뇤뮯뛔훐맺돇헲뻓쏱뗄쿻럑뺿뺹닺짺쇋뛠듳뗄펰쿬?캪쇋믘듰헢룶컊쳢,놾컄릹붨쇋튻룶컳닮탞헽쒣탍(ECM)ꆣ뾼싇떽쾰맟탎돉닎쫽퓚1989쓪폐춻뇤뗣(1988쓪ꛃ^캪010614,1989쓪춻좻풾짽캪013665),놾컄퓚볬퇩ꛃ^t뗄욽컈탔쪱틽죫쇋탩쓢뇤솿D1989ꆣADF뗄볬퇩쪽캪:
ꆤ134ꆤꆶ쫽솿뺭볃벼쫵뺭볃퇐뺿ꆷ2010쓪뗚6웚ꚤ^ꛃt=a+<^ꛃt-1+ꛋt+ꇆkꚤ^ꛃt-i+D1989+ꛅti=1웤훐,1989쓪D1989=0,웤쯻쓪럝D1989=1ꆣ떥캻룹붨틩뷡맻볻뇭2ꆣ듓훐뿉횪,ꛃ^t쫇튻뷗떥헻뗄뇤솿ꆣ뇭2ꛃ^t뗄떥캻룹볬퇩뇤솿볬퇩샠탍(c,T,l)t춳볆횵5%쇙뷧횵ꛃ^t(c,T,1)-211216-315876ꚤ^ꛃt(c,0,1)-1215769-219719ꆡꆡ볙짨욽뻹쿻럑쟣쿲폫쾰맟탎돉틔벰쫕죫늻좷뚨탔폐맘,퓲쿠펦뗄컳닮탞헽쒣탍캪:ꚤ(Ct/Yt)=ꛂ0D1989+ꛂ1ꚤ(Ct-1/Yt-1)+ꛂ2ꚤ^ꛃt+ꛂ3ꚤlnZt+ꛁ(ꛌt-1)+ꛅt(19)ꛌt-1=Ct-1/Yt-1-k0-k1ꛃ^t-1-k2lnZt-1웤훐,ꛌt-1듺뇭잰튻웚욽뻹쿻럑쟣쿲뛔뻹뫢횵뗄욫샫,폖돆캪럇뻹뫢컳닮ꆣZt쫇내7룶쫕죫뗈벶럖ퟩ볆쯣뗄쫕죫뇪ힼ닮쾵쫽(벴쫕죫뇪ힼ닮/죋뻹뿉횧엤쫕죫),랴펳뗄쫇틲쫕죫닮뻠삩듳뛸떼훂뗄쫕죫늻좷뚨탔ꆣ헢7ퟩ훐,ퟮ뗍쫕죫ퟩꆢ뗍쫕죫ퟩꆢ룟쫕죫ퟩ뫍ퟮ룟쫕죫ퟩ뗄뮧쫽햼ퟜ뮧쫽뗄뇈훘뚼쫇10%,훐뗈욫쿂쫕죫ퟩꆢ훐뗈쫕죫ퟩ뫍훐뗈욫짏쫕죫ퟩ뗄뮧쫽쯹햼뗄뇈훘뻹캪20%ꆣ폃내럖ퟩ쇏볆쯣뗄쫕죫뇪ힼ닮믲뇪ힼ닮쾵쫽듺뇭쫕죫늻좷뚨탔,쫇맺췢퇐뺿늻좷뚨탔폫쿻럑헟탐캪맘쾵쪱뷏캪웕뇩뗄튻훖랽램ꆣ웤틾몬뗄볙뚨쫇:쫕죫닮뻠뗄삩듳,붫룸죋쏇듸살룼뛠뗄늻컈뚨룐,쪹뗃죋쏇뛔쫕죫늻좷뚨탔뗄룐쫜퓶잿ꆣ샽죧,훜캧죋좺쪧튵죋쫽퓶뛠늻뷶믡쪹쪧튵헟뗄쫕죫복짙,뮹믡볓듳캴쪧튵죋풱뗄캣믺룐ꆣ뷼쓪살훐맺돇헲뻓쏱뗄쫕죫닮뻠톸쯙삩듳쫇튻룶횵뗃맘힢뗄쿖쿳ꆣ놾컄뗄볆쯣뷡맻뇭쏷,1989쓪뗄쫕죫뇪ힼ닮쾵쫽캪01345,2007쓪틑뺭짏짽캪01654ꆣ쇭췢,1988쓪뗄욽뻹쿻럑쟣쿲폫떱쓪랢짺뗄좫맺랶캧뗄쟀릺럧뎱폐맘,캪듋놾컄퓚(19)쪽훐틽죫쇋탩쓢뇤솿D1988ꆣ웤훐,1988쓪D1988=0,웤쯻쓪럝D1988=1ꆣ(19)쪽틾몬뗄믹놾볙뚨쫇:욽뻹쿻럑쟣쿲Ct/Yt폫쾰맟탎돉닎쫽ꛃ^t틔벰쫕죫뇪ힼ닮쾵쫽뗄뛔쫽lnZt횮볤듦퓚뎤웚뻹뫢맘쾵,벴Ct/Yt=k0+k1ꛃ^t+k2lnZtꆣ쫜룷훖쯦믺틲쯘룉죅,욽뻹쿻럑쟣쿲뎣뎣믡욫샫뻹뫢횵,쿻럑헟붫틀뻝잰튻웚뗄럇뻹뫢컳닮ꛌt-1늻뛏뗷헻Ct/Ytꆣ틲듋,쒣탍(19)쏨쫶뗄쫇쿻럑헟샻폃뿘훆뇤솿C뇆뷼믲캬돖뻹뫢뇈샽뗄맽돌ꆣ쪽훐ꛂ1ꆢꛂ2ꆢꛂ3뫍ꛁ쫇뛌웚닎쫽,뇭쪾뇤솿볤뗄뛌웚맘쾵ꆣ웤훐,ꛁ캪뗷헻쾵쫽,늢쟒폐-1<ꛁ<0ꆣ죧맻잰튻웚쿻럑싊룟폚뻹뫢횵(ꛌt-1>0),놾웚욽뻹쿻럑쟣쿲뻍믡쿠펦쿂붵;랴횮,죧맻잰튻웚욽뻹쿻럑쟣쿲욫뗍,놾웚Ct/Yt뻍믡쳡룟ꆣ맀볆쒣탍(19)뗄랽램훷튪폐솽훖ꆣ튻쫇쿈맀볆뎤웚쿻럑몯쫽:Ct/Yt=k0+k1ꛃ^t+k2lnZt+ꛌt(20)죧맻볬퇩뷡맻뇭쏷욽뻹쿻럑쟣쿲폫쾰맟탎돉닎쫽,틔벰쫕죫뇪ힼ닮쾵쫽뗄뛔쫽횮볤듦퓚킭헻맘쾵,뻍뿉틔붫훍뫳튻웚뗄뻹뫢컳닮ꛌt-1뗄맀볆횵듺죫쒣탍(19),퓙맀볆욽뻹쿻럑쟣쿲폫쾰맟탎돉닎쫽틔벰쫕죫뇪ힼ닮쾵쫽횮볤뗄뛌웚뚯첬맘쾵ꆣ떫평폚Ct/Yt뫍ꛃ^t뚼쫇럇욽컈뗄,늢쟒쒣탍(20)틅슩쇋뛌웚뚯첬틲쯘,퓚킡퇹놾쳵볾쿂,뛔뎤웚쿻럑몯쫽뗄ퟮ킡뛾돋맀볆믡닺짺뷏듳욫컳ꆣ뛾쫇냑쒣탍(19)훐럇뻹뫢컳닮쿮뗄삨뫅듲뾪,벴냑
돇헲뻓쏱뗄욽뻹쿻럑쟣쿲캪뫎돖탸쿂붵ꆤ135ꆤꛁ(ꛌt-1)킴돉ꛁ(Ct-1/Yt-1)-ꛁk0-ꛁk1ꛃ^t-1-ꛁk2lnZt-1,횱뷓맀볆욽뻹쿻럑쟣쿲폫쾰맟탎돉닎쫽ꛃ^t틔벰lnZt횮볤뗄뎤웚뻹뫢맘쾵뫍뛌웚뚯첬맘쾵ꆣ룃랽램폐솽룶훷튪폅뗣,튻쫇쓜릻복짙맀볆욫컳(틲캪죧맻Ct/Yt폫ꛃ^t틔벰lnZt횮볤듦퓚뎤웚뻹뫢맘쾵,퓲쒣탍훐쯹폐뇤솿ꆢ냼삨뇤솿횮볤뗄쿟탔ퟩ뫏뚼쫇욽컈뇤솿,늢쟒쒣탍훐냼몬쇋뛌웚뚯첬틲쯘);뛾쫇늻탨튪ퟷ킭헻볬퇩ꆣ내헕킭헻샭싛,죧맻뇤솿횮볤듦퓚뎤웚뻹뫢맘쾵,퓲럇뻹뫢컳닮붫쿔훸펰쿬쯼쏇횮볤뗄뛌웚뚯첬맘쾵ꆣ헢쫇틲캪쫜룷훖쯦믺틲쯘뗄펰쿬,뇤솿횮볤뗄맘쾵뺭뎣믡욫샫뎤웚뻹뫢뇈샽,쿻럑헟뇘탫룹뻝뛔뎤웚뻹뫢뇈샽뗄욫샫돌뛈벰랽쿲(뻹뫢컳닮뗄듳킡뫍헽뢺)늻뛏뗷헻쿻럑,닅쓜릻쪹뇤솿횮볤뗄맘쾵훰늽믘뢴떽뻹뫢뗣ꆣ평듋튲뿉틔죏캪,죧맻럇뻹뫢컳닮뛔뛌웚뚯첬맘쾵뗄펰쿬늻쿔훸,퓲뇤솿횮볤늻듦퓚뎤웚뻹뫢맘쾵(킭헻맘쾵)ꆣ틲듋,횻튪뗷헻쾵쫽ꛁ쿔훸뗘킡폚0,뎤웚쿻럑몯쫽뗄맀볆뷡맻뻍쫇뿉뾿뗄ꆣ캪듋,놾컄닉폃쇋뗚뛾훖랽램ꆣ듓쒣탍훐즾돽펰쿬늻쿔훸뗄뇤솿ꚤ^ꛃt뫍ꚤlnZt뫳,폃ퟮ킡뛾돋램뗃떽뗄ퟮ훕뷡맻볻뇭3ꆣ뇭3쒣탍(19)뗄믘맩뷡맻닎쫽맀볆횵맀볆뇪ힼ컳t춳볆횵Probꛂ0-010545010163-313456010031ꛂ1-013776011314-012874010091ꛁ-015070011437-315282010020-ꛁk0014440011116319785010007-ꛁk1-010863010293-219454010078-ꛁk2-010474010194-214433010233R2=017188ꆡꆡꆡꆡDW=210120ꆡꆡ퓚5%뗄쿔훸탔쮮욽쿂뇭3훐뗄쯹폐닎쫽뻹늻쿔훸캪0ꆣ맀볆뷡맻쮵쏷:ꋙ뗷헻쾵쫽ꛁ킡폚0,뇭쏷훐맺돇헲뻓쏱뗄욽뻹쿻럑쟣쿲폫ꛃ^t뫍lnZt횮볤좷쪵듦퓚뎤웚뻹뫢맘쾵,Ct/Yt뇭쿖캪캧죆뎤웚뻹뫢맘쾵늻뛏뷸탐뗷헻뗄뚯첬맽돌;ꋚ뛌웚닎쫽ꛂ2뫍ꛂ3퓚춳볆짏늻쿔훸,쮵쏷ꛃ^t뫍lnZt뗄뛌웚늨뚯뛔욽뻹쿻럑쟣쿲뗄펰쿬늻쏷쿔;ꋛ평ꛁ^=-01507뿉틔뗃떽k^0=018757,k^1=-011702,k^2=-010935ꆣ폚쫇Ct/Yt폫ꛃ^t틔벰lnZt뗄뎤웚뻹뫢맘쾵캪:Ct/Yt=018757-010545D1988-011702ꛃ^t-010935lnZt(21)듓뎤웚뾴,쾰맟탎돉닎쫽쎿퓶볓1룶냙럖뗣,욽뻹쿻럑쟣쿲붫욽뻹쿂붵듳풼0117룶냙럖뗣;쫕죫뗄뇪ힼ닮쾵쫽쎿퓶듳1%,Ct/Yt붫욽뻹붵뗍풼0109룶냙럖뗣ꆣퟜ횮,틔짏쪵횤럖컶뗄뷡맻횧돖쇋놾컄뗄맛뗣,벴쿻럑맟탔퓶잿뫍쫕죫늻좷뚨탔볓듳뚼쫇훐맺돇헲뻓쏱뗄욽뻹쿻럑쟣쿲돖탸ퟟ뗍뗄훘튪풭틲ꆣ41쾰맟탎돉뗄풭틲듓뇊헟헆컕뗄컄쿗뾴,맺쓚췢톧헟뚼쎻폐짮죫첽뺿맽쾰맟탎돉뗄풭틲ꆣ뺡맜Carroll뗈(2000)퓸뺭듓샭싛짏횤쏷,죧맻쿻럑뗄킧폃늻뷶좡뻶폚쿻럑뗄쫽솿,뮹퓚튻뚨돌뛈짏틀삵폚떱웚쿻럑폫쾰맟듦솿뗄뇈뷏,뻍쓜릻뗃돶룟퓶뎤떼훂룟뒢탮뗄뷡싛ꆣ떫퓚룃컄훐,쾰맟탎돉횻쫇놻쫓캪튻룶쳵볾,뛸늻쫇뺭볃뿬쯙퓶뎤뗄뷡맻ꆣ뛸놾컄뗄믹놾맛뗣쫇:뺭볃뿬쯙퓶뎤
ꆤ136ꆤꆶ쫽솿뺭볃벼쫵뺭볃퇐뺿ꆷ2010쓪뗚6웚뫍풤웚횧돶늻뛏쳡룟잿뮯쇋쿻럑뗄맟탔,뷸뛸떼훂쇋훐맺돇헲뻓쏱뗄욽뻹쿻럑쟣쿲돖탸쿂붵ꆣ죧잰쯹쫶,뺭볃돖탸뿬쯙퓶뎤틢캶ퟅ짧믡욽뻹짺믮쮮ힼ늻뛏쳡룟ꆣ뺭맽뛔폐맘춳볆횸뇪뗄랴뢴뇈뷏,놾컄뻶뚨폃훐맺돇헲뻓쏱뗄죋뻹힡햬붨훾쏦믽(m)듺뇭짧믡욽뻹짺믮쮮ힼꆣ듋췢,뷼쓪살뷌폽ꆢ튽쇆뫍힡랿횧돶벱뻧짏짽쫇돇헲뻓쏱풤웚횧돶쳡룟뗄훷튪풭틲ꆣ떫평폚톧퓓폗췐럑횧돶뫍튽쇆놣붡럾컱럑횧돶럖뇰냼몬퓚컄뮯뷌폽폩샖벰럾컱횧돶뫍튽쇆놣붡샠횧돶훐,1995쓪횮잰뗄춳볆쓪본캴붫쯼쏇떥뛀쇐돶,춬쪱,평폚뻓쏱릺랿횧돶뗄쫽뻝컞램뗃떽,놾컄ퟮ훕닉폃잰튻웚돇헲뻓쏱죋뻹뻓힡횧돶(냼삨붨훾닄쇏럑ꆢ랿ퟢꆢ캬탞럾컱럑ꆢ쮮뗧좼쇏럑)(X)뗄퓶뎤싊듺뇭풤웚횧돶퓶뎤싊ꆣ뺭볬퇩랢쿖,뺡맜ꛃ^tꆢlnmt뫍lnXt뻹캪I(1)뇤솿,떫횻폐ꛃ^t뫍lnmt횮볤듦퓚킭헻맘쾵ꆣ쇭췢,뾼싇떽쾰맟탎돉탨튪쪱볤,놾컄냑쒣탍짨뚨캪:pqꚤ^ꛃt=ꛐ0D1989+ꇆꛁiꚤ^ꛃt-i+ꇆꛂiꚤlnmt-i+ꛄꚤlnXt-1+ꛁ(ꛃ^t-1-k0-k1lnmt-1)+ꛎti=1i=0(22)평폚ꚤ^ꛃt탲쇐듦퓚춻뇤뗣,놾컄퓚쒣탍훐틽죫쇋탩쓢뇤솿D1989ꆣ좥뗴펰쿬늻쿔훸뗄뷢쫍뇤솿뫳,ퟮ훕맀볆뷡맻죧뇭4쯹쪾ꆣ뇭4쒣탍(22)뗄믘맩뷡맻닎쫽맀볆횵맀볆뇪ힼ컳t춳볆횵룅싊ꛐ0-012305010159-1414969010000ꛁ1012466010450514800010001ꛁ2-012549010459-515534010001ꛁ3011338010348318448010016ꛂ1-016648010764-817016010000ꛂ2012213010963212980010363ꛄ011184010302319205010014ꛁ-011782010504-315357010030-ꛁk0011053010498211145010519-ꛁk1010662010201312936010048R2=019849ꆡꆡꆡDW=212173ꆡꆡ평뇭4뿉횪:ꋙꚤ^ꛃt-i뫍ꚤlnmt-i뗄폐킧훍뫳웚럖뇰캪p=3뫍q=2,쮵쏷훐맺돇헲뻓쏱쿻럑뗄맟탔쫇퓚짧믡욽뻹짺믮쮮ힼ돖탸쳡룟뗄뮷뺳훐탎돉뗄,뛸쟒쾰맟탎돉닎쫽뗄뇤뮯튲뻟폐뷏잿뗄돖탸탔ꆣꋚ잰튻웚죋뻹뻓힡횧돶퓶뎤싊ꚤlnXt-1뛔쾰맟탎돉닎쫽뗄뛌웚펰쿬쫇룟뛈쿔훸뗄ꆣ웤풭틲쫇,풤웚횧돶퓶뎤싊뗄돖탸쳡룟쪹훐맺돇헲뻓쏱볒춥틢쪶떽뷱뫳뗄뮨럑믡풽살풽뛠,틢캶ퟅ놣횤쿻럑횧돶훰쓪퓶뎤쫇뿍맛쿖쪵뗄튪쟳ꆣꋛ죋뻹힡햬붨훾쏦믽뛔쾰맟탎돉닎쫽볈폐뛌웚펰쿬폖폐뎤웚펰쿬,쟒뛾헟뗄뎤웚뻹뫢맘쾵캪:
돇헲뻓쏱뗄욽뻹쿻럑쟣쿲캪뫎돖탸쿂붵ꆤ137ꆤꛃ^t=015909+013715lnmt듓뎤웚뾴,죋뻹힡햬붨훾쏦믽쎿퓶볓1%,쾰맟탎돉닎쫽뻍믡퓶볓듳풼0137룶냙럖뗣ꆣ헢튻뷡맻횧돖쇋놾컄뗄튻룶믹놾맛뗣,벴뺭볃뗄돖탸뿬쯙퓶뎤쫇훐맺돇헲뻓쏱쿻럑맟탔퓶잿뗄훘튪풭틲ꆣ틲캪퓚짧믡욽뻹짺믮쮮ힼ늻뛏쳡룟뗄뮷뺳훐,볒춥뗄탒뢣룐늻뷶틀삵폚쿻럑뗄쫽솿,뛸쟒뮹좡뻶폚쿻럑뗄퓶뎤럹뛈ꆣ틲듋,훐맺돇헲뻓쏱ힷ쟳뗄쫇쿻럑뎤웚컈뚨퓶뎤,뛸늻쫇쿱짺쏼훜웚샭싛쏨쫶뗄쓇퇹냑튻짺뗄닆뢻ퟜ솿뻹퓈뗘럖엤폚룷룶쪱웚ꆣퟜ횮,틔짏뷡맻뇭쏷,뺭볃뗄돖탸뿬쯙퓶뎤뫍풤웚횧돶늻뛏쳡룟뚼쫇훐맺돇헲뻓쏱쿻럑맟탔퓶잿뗄풭틲ꆣ쯹늻춬뗄쫇,잰헟뛔쿻럑쾰맟탎돉닎쫽뗄펰쿬쫇돖뻃뗄,뛸뫳헟뛔쿻럑쾰맟탎돉닎쫽횻폐뛌웚펰쿬ꆣ쯄ꆢ킡ꆡꆡ뷡탭뛠퇐뺿냑훐맺돇헲뻓쏱뗄룟뒢탮쿖쿳맩뻌폚뺭볃탍훐닺짺뗄늻좷뚨탔,뛸뫶싔쇋훐맺뺭볃돖탸뿬쯙퓶뎤뛔뻓쏱쿻럑탐캪닺짺뗄펰쿬ꆣ놾컄뗄믹놾맛뗣쫇,룄룯뾪럅틔살쯦ퟅ짧믡욽뻹짺믮쮮ힼ훰쓪쳡짽,훐맺돇헲뻓쏱쯹웚췻뗄쫇쎿쓪뗄쿻럑뚼뷏맽좥폐튻뚨돌뛈뗄퓶뎤,벴쿻럑뗄킧폃늻뷶좡뻶폚쿻럑뗄쫽솿,뮹퓚튻뚨돌뛈짏틀삵폚떱웚쿻럑폫틔췹쿻럑쮮욽뗄뇈뷏ꆣ쇭췢,뷌폽ꆢ튽쇆ꆢ힡랿볛룱뗄늻뛏짏헇,튲쪹뗃돇헲뻓쏱뗄풤웚횧돶돖탸쳡룟ꆣ틲듋,놣횤쿻럑뎤웚컈뚨퓶뎤볈쫇훐맺돇헲뻓쏱뗄훷맛풸췻,튲쫇뿍맛쿖쪵뗄튪쟳ꆣ쿻럑킧폃퓚쪱볤짏뗄맘솪탔폖놻돆캪ꆰ쾰맟탎돉ꆱꆣ쿔좻,쫜쾰맟탎돉펰쿬뗄쿻럑헟룼쓑틔죝죌짺믮쮮ힼ붵뗍ꆣ듓헢룶틢틥짏붲,쾰맟탎돉뫍뷷짷쫇춬틥폯ꆣ뛸뇪ힼ뗄짺쏼훜웚샭싛퓲볙뚨,냑쿻럑뻹퓈뗘럖엤폚룷룶쪱웚뻍쪵쿖쇋뿧웚킧폃ퟮ듳뮯,듓뛸룷웚쿻럑뗄킧폃쫇쿠뮥뛀솢뗄,헢튻볙짨쿔좻늻럻뫏훐맺쪵볊ꆣ퓚샭싛럖컶뗄믹뒡짏,뇊헟샻폃1978쓪틔살뗄훐맺돇헲힡뮧뗷닩쫽뻝뫍탞헽뫳뗄Dynan쒣탍맀볆쇋돇헲뻓쏱뗄쾰맟탎돉닎쫽,좻뫳샻폃컳닮탞헽쒣탍럖컶쇋쾰맟탎돉뫍쫕죫늻좷뚨탔뛔욽뻹쿻럑쟣쿲뗄펰쿬,늢뛔쾰맟탎돉뗄풭틲ퟶ돶쇋뚨솿뷢쫍ꆣ쪵횤럖컶뷡맻쿔쪾:ꋙ훐맺돇헲뻓쏱뗄쾰맟탎돉닎쫽쫇쯦ퟅ쪱볤뇤뮯뛸늻뛏룄뇤뗄,뻟쳥뇭쿖캪1989쓪횮잰,쾰맟탎돉닎쫽뗄맀볆횵폐헽폐뢺,쟒뷓뷼폚0,쯦뫳돊쏷쿔퓶듳쟷쫆ꆣ뛸뻍뇊헟쯹횪,맺쓚췢쿖폐뗄퇐뺿뚼냑쾰맟탎돉닎쫽쫓캪만뚨뎣쫽ꆣꋚ듓뎤웚뾴,쾰맟탎돉닎쫽쎿퓶볓1룶냙럖뗣,욽뻹쿻럑쟣쿲붫욽뻹쿂붵듳풼0117룶냙럖뗣;뛸쫕죫뇪ힼ닮쾵쫽쎿삩듳1룶냙럖뗣,욽뻹쿻럑쟣쿲듳풼믡붵뗍0109룶냙럖뗣ꆣ틲듋,1989쓪틔살훐맺돇헲뻓쏱뗄쿻럑맟탔퓶잿뫍쫕죫닮뻠삩듳뚼쫇쿻럑싊돖탸쿂붵뗄훘튪풭틲ꆣꋛ뺭볃돖탸뿬쯙퓶뎤떼훂뗄짧믡욽뻹짺믮쮮ힼ톸쯙쳡짽뫍풤웚횧돶늻뛏퓶볓뛔쾰맟탎돉닎쫽뗄펰쿬뚼쫇룟뛈쿔훸뗄ꆣ쯹늻춬뗄쫇,잰헟뗄펰쿬룼뻟폐돖뻃탔ꆣ뇊헟듓틔짏뷡싛뗃떽뗄웴쪾쫇:웤튻,뺭볃퓶뎤쯙뛈뗄쫊떱복뮺캴뇘뻍튻뚨쫇뮵쫂,맘볼컊쳢쫇튪짨램쳡룟뺭볃퓶뎤뗄뻍튵떯탔ꆣ쫂쪵짏,몫맺ꆢ죕놾ꆢ탂볓웂뫍컒맺첨췥튲폐맽룟퓶뎤폫룟뒢탮늢듦뗄뺭샺ꆣ웤뛾,퓶볓뗍쫕죫뻓쏱뗄쫕죫,쯵킡쫕죫닮뻠,폐킧훆횹룷훖싒헇볛ꆢ싒쫕럑뚼폐훺폚쳡룟뻓쏱뗄욽뻹쿻럑쟣쿲ꆣ
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