죋쏱뇒쪵볊믣싊뇡횵폫훐맺뺭볃퓶뎤ꎺ 듙뷸뮹쫇틖훆 뫎맺뮪 돂 뾥 햪튪ꎺ쪵볊믣싊뗄뇡횵뺿뺹뛔뺭볃퓶뎤닺짺쪲쎴퇹뗄펰쿬ꎬ맺쓚췢톧헟뗄쪵횤퇐뺿늢쎻폐탎돉튻훂뗄뷡싛ꆣ놾컄춨맽릹붨냼삨닺돶ꆢ릤ꆢ컯볛쮮욽ꆢ헾뢮횧돶ꆢ믵뇒릩룸뫍쪵볊믣싊뗈6룶뇤솿뗄VAR쒣탍ꎬ늢퓋폃킭헻ꆢ싶돥랴펦몯쫽뫍랽닮럖뷢랽램뷸탐쪵횤볬퇩ꎬ뗃돶뗄뷡싛쫇죋쏱뇒쪵볊믣싊뇡횵퓚뛌웚쓚믡떼훂닺돶쮮욽뗄짏짽ꎬ듙뷸뺭볃퓶뎤ꎬ뎤웚뗄뇡횵퓲늻샻폚뺭볃퓶뎤ꆣ 맘볼듊ꎺ죋쏱뇒쪵볊믣싊; 뺭볃퓶뎤; VAR쒣탍 훐춼럖샠뫅ꎺ 컄쿗쪶뇰싫ꎺA 튻ꆢ틽퇔 퓚뾪럅뺭볃훐ꎬ믣싊뗄뇤뚯늻뷶뷶믡틽웰룃맺췢늿뻹뫢뗄뇤뮯ꎬ뛸쟒뮹믡틽웰춶ꆢ쿻럑ꆢ컯볛ꆢ믵뇒릩룸ꆢ뻍튵뗈뫪맛뺭볃뇤솿뗄뇤뚯ꆣ뎤웚틔살ꎬ탭뛠맺볒뗄헾뢮퓚쏦쇙맺쓚뺭볃뷴쯵뗄쟩뿶쿂ꎬ뚼믡뾼싇쫇럱탨튪춨맽쪵탐믣싊뇡횵쫖뛎살듌벤뺭볃ꎬ믖뢴뺭볃뗄랱죙ꎬ웤샭싛싟벭쫇믣싊뗄뇡횵뿉틔떼훂닺돶쮮욽뗄퓶볓ꆣ떫쫇ꎬ듳솿뗄쪵횤퇐뺿뇭쏷ꎬ탭뛠랢햹훐맺볒쪵탐믣싊뇡횵헾닟뗄뷡맻늢늻쫇듙뷸쇋뺭볃퓶뎤ꎬ뛸쫇닺짺뷴쯵킧펦ꎬ틖훆쇋뺭볃퓶뎤ꆣ 쓇쎴ꎬ뻍훐맺뺭볃뛸퇔ꎬ죋쏱뇒믣싊뗄뇡횵쫇듙뷸뺭볃퓶뎤ꎬ뮹쫇믡틖훆뺭볃퓶뎤쓘ꎿ평폚쏻틥믣싊쫜떽볛룱쮮욽ꆢ믣싊훆뛈ꆢ믣싊헾닟ꆢ릫훚뗄탄샭풤웚뗈탭뛠췢퓚틲쯘뗄펰쿬ꎬ쓑틔ힼ좷뗘랴펳튻룶맺볒믵뇒뗄헦쪵볛횵ꎬ쓑틔뿍맛뗘폫튻맺뫪맛뺭볃뗄헦쪵닺돶쿠솪쾵ꎬ뛸쪵볊믣싊랴펳쇋튻룶맺볒믵뇒뗄헦쪵볛횵ꎬ쳥쿖쇋룃맺맺볊쎳틗뺺헹솦ꎬ폫헻쳥뗄뫪맛뺭볃쪵볊뇤솿폐ퟅ룼쏜쟐뗄솪쾵ꎬ쿠뛔폚쏻틥믣싊ꎬ쪵볊믣싊닅쫇헦헽뛔뺭볃퓶뎤랢믓ퟷ폃뗄틲쯘ꎬ틲듋ꎬ컒쏇톡퓱죋쏱뇒쪵볊믣싊살첽쳖쯼뛔훐맺뺭볃퓶뎤뗄펰쿬ꆣ 횵뗃힢틢뗄쫇ꎬ퓚죋쏱뇒쪵볊믣싊뗄뇤뚯펰쿬춶ꆢ쿻럑ꆢ컯볛ꆢ믵뇒릩룸ꆢ뻍튵뗈뫪맛뺭볃뇤솿뗄춬쪱ꎬ춶ꆢ쿻럑ꆢ컯볛ꆢ믵뇒릩룸ꆢ뻍튵뗈뫪맛뺭볃뇤솿뗄뇤뮯튲펰쿬ퟅ쪵볊믣싊ꎬ늢뛔뺭볃퓶뎤닺짺펰쿬ꆣ틲듋ꎬ놾컄붫튻룶릹붨냼삨닺돶ꆢ릤ꆢ컯볛쮮욽ꆢ헾뢮횧돶ꆢ믵뇒릩룸뫍쪵볊믣싊뗈뛠뇤솿뗄VAR쒣탍ꎬ늢퓋폃킭헻ꆢ싶돥랴펦몯쫽뫍랽닮럖뷢랽램뷸탐쪵횤볬퇩ꎬ틔춼룼좫쏦ꆢ헦쪵ꆢ뿍맛뗘뷒쪾죋쏱뇒쪵볊믣싊뇡횵폫뺭볃퓶뎤횮볤뚯첬펰쿬뇤뮯뗄맽돌ꆣ 뛾ꆢ컄쿗ퟛ쫶 맘폚쪵볊믣싊폫뺭볃퓶뎤횮볤맘쾵뗄쪵횤럖컶ꎬ Edwards(1989)ퟮ퓧퓋폃쿠맘랢햹훐맺볒뗄쏦냥쫽뻝ꎬ붫쪵볊GDP폫믵뇒퓶뎤ꆢ헾뢮횧돶ꆢ쏻틥믣싊ꆢ쪵볊믣싊ꆢ쎳틗쳵볾뗈뇤솿뷸탐믘맩럖컶ꎬ랢쿖믵뇒뇡횵쟣쿲폚쪹닺돶복짙ꆣAgenorꎨ1991ꎩ퓋폃랢햹훐맺볒뗄쏦냥쫽뻝ꎬ붫닺돶뛔쪵볊믣싊뗄떱웚횵뫍풤웚횵틔벰믵뇒릩룸ꆢ헾뢮횧돶ꆢ맺췢쫕죫뗈뇤솿뷸탐믘맩ꎬ랢쿖럇풤웚탔뇡횵쓜릻듙뷸닺돶퓶뎤ꎬ뛸풤웚탔뇡횵좴쪹닺돶복짙ꆣMorley(1992)춬퇹틔랢햹훐맺볒뗄쏦냥쫽뻝ퟷ캪퇹놾ꎬ붫짺닺쓜솦뛔믵뇒릩룸솿ꆢ쎳틗쳵볾ꆢ뷸뿚퓶뎤ꎬ돶뿚퓶뎤ꎬ닆헾뷡폠뗈뷸탐믘맩ꎬ랢쿖쪵볊믣싊쟣쿲폚쪹닺돶복짙ꆣ EdwardsꆢAgenor뫍Morley뗈죋쯹ퟶ뗄쪵횤퇐뺿랽램뚼쫇샻폃쏦냥쫽뻝뛔퇐뺿뇤솿뷸탐떥랽돌뗄믘맩럖컶ꎬ늢뗃돶뛔폚쯻쏇쯹퇐뺿뗄랢햹훐맺볒뛸퇔ꎬ쪵볊믣싊뇡횵쟣쿲폚복짙닺돶뗄
뷡싛ꆣ헢훖떥랽돌뗄믘맩럖컶뷶뷶뺲첬뗘럖컶쇋쪵볊믣싊폫닺돶횱뷓뛔펦뗄맘쾵ꎬ뛸쫂쪵짏ꎬ쪵볊믣싊뇤뚯뛔쪵볊닺돶뗄펰쿬쫇튻룶뚯첬뗄맽돌ꎬ쪵볊믣싊폫춶ꆢ쿻럑ꆢ컯볛ꆢ믵뇒릩룸ꆢ뻍튵ꆢ헾뢮횧돶ꆢ쎳틗쳵볾뗈웤쯻뫪맛뺭볃뇤솿쿠뮥펰쿬ꎬ늢ퟛ뫏뛔쪵볊닺돶뗄뇤뮯닺짺펰쿬ꆣ틲듋ꎬ퓚뾼달쪵볊믣싊폫뺭볃퓶뎤횮볤뗄맘쾵쪱ꎬ뇘탫뾼싇떽쪵볊믣싊뇤뚯폫뫪맛뺭볃웤쯻뇤솿횮볤뗄뚯첬뇤뮯맘쾵ꆣ 틲듋ꎬ뫳살뗄퇐뺿룼뛠뗘춨맽붨솢솪솢랽돌쒣탍쪵횤럖컶쪵볊믣싊폫뫪맛뺭볃횮볤뗄맘쾵ꆣRogers 뫍 Wangꎨ1995ꎩ퓋폃냼몬폐헾뢮횧돶ꆢ춨믵엲헍ꆢ쪵볊믣싊ꆢ닺돶쮮욽뫍믵뇒릩룸퓶솿뗈5룶뇤솿뗄VAR쒣탍ꎬ뛔쒫컷룧뫪맛뺭볃뷸탐퇐뺿ꎬ쯻쏇랢쿖쒫컷룧닺돶뗄듳늿럖퓶뎤살풴폚쓚퓚돥믷ꎬ쪵볊믣싊뇡횵떼훂닺돶복짙ꆣRodriguez 뫍Diaz Gazaniꎨ1995ꎩ퓋폃냼삨닺돶뗄퓶뎤ꆢ쪵볊릤뗄퓶뎤ꆢ믣싊뇡횵ꆢ춨믵엲헇ꆢ믵뇒퓶뎤뫍쯷싞쪣폠뗈6룶뇤솿뗄VAR쒣탍뛔쏘슳뫪맛뺭볃뷸탐럖컶ꎬ랢쿖믣싊뇡횵뛔닺돶쮮욽뻟폐늻샻뗄펰쿬ꆣCopelman 뫍Wernerꎨ1996ꎩ춨맽쪹폃냼삨닺돶ꆢ쪵볊믣싊ꆢ쏻틥믣싊뗄뇡횵싊ꆢ쪵볊탅듻뗈5룶뇤솿뛔쒫컷룧뺭볃뷸탐럖컶ꎬ뗃떽믣싊뇡횵틽웰닺돶쮮욽쿂붵뛸쪵볊믣싊룄뇤뛔닺돶쎻폐펰쿬뗄뷡싛ꆣSantaella 뫍Velaꎨ1996ꎩ닉폃쏻틥믣싊뇡횵싊뫍닺돶뗄쮫뇤솿VAR쒣탍뛔쒫컷룧뗄뺭볃럖컶ꎬ랢쿖쳡룟믣싊뇡횵싊붫떼훂튻룶돵쪼뗄닺돶퓶볓ꎬ늢퓚12벾뛈뫳쪹닺돶복짙ꎬ틲듋죏캪쳡룟믣싊뇡횵싊붫퓚뛌웚쓚퓶볓닺돶ꆣKamin뫍Rogersꎨ2000ꎩ펦폃냼삨닺돶ꆢ쪵볊믣싊ꆢ춨믵엲헇뗈3룶쓚짺뇤솿뫍쏀맺샻싊헢튻췢짺뇤솿뗄VAR쒣탍ꎬ틔1981ꎭ1995쓪뗄벾뛈쫽뻝캪퇹놾ꎬ랢쿖폀뻃탔믣싊뇡횵붫뎤웚뗘뛔닺돶닺짺뗄늻샻펰쿬ꆣMills뫍Pentecostꎨ2000ꎩ퓋폃쳵볾컳닮뻀헽쒣탍럖컶늨삼ꆢ탙퇀샻ꆢ쮹싥컄쓡퇇ꆢ뷝뿋릲뫍맺4룶맺볒믣싊뛔닺돶뗄펰쿬ꎬ뷡맻랢쿖쪵볊믣싊뇡횵뛔늨삼뺭볃퓶뎤뻟폐믽벫킧펦ꎬ뛔뷝뿋릲뫍맺뗄뺭볃닺돶좴쫇늻샻틲쯘ꎬ뛔탙퇀샻뫍쮹싥컄쓡퇇뺭볃뗄펰쿬늻쏷쿔ꆣBerument뫍Pasaogullariꎨ2003ꎩ샻폃VAR쒣탍뗄싶돥랴펦몯쫽뫍풤닢컳닮랽닮럖뷢뗈볆솿럖컶쫖뛎뛔룃췁뛺웤뗄쪵볊믣싊뇡횵뗄뺭볃킧맻뷸탐쪵횤럖컶ꎬ뺭퇩횤뻝쿔쪾ꎬ떱훮죧쫀뷧샻싊ꆢ맺볊쎳틗ꆢ놾쇷죫뗈췢늿뇤솿놻뿘훆틔뫳ꎬ룃맺쪵볊믣싊뇡횵뛔뺭볃퓶뎤뻟폐뷴쯵킧펦ꆣ 컒맺톧헟뛔죋쏱뇒쪵볊믣싊폫뺭볃퓶뎤횮볤맘쾵뗄쪵횤퇐뺿뷏췭ꆣ돂맺캰뫍쿄붭ꎨ2002ꎩ샻폃1978쓪떽2000쓪퇹놾쫽뻝ꎬ붫GDP폫믵뇒릩룸솿ꆢ횰릤욽뻹릤ꎬ쪵볊믣싊뷸탐믘맩럖컶ꎬ랢쿖죋쏱뇒쪵볊믣싊뇡횵뛔ퟜ닺돶뗄ퟷ폃쫇삩헅탔뗄ꎬ뛸늻쫇뷴쯵탔뗄ꆣ샮붨캰뫍폠쏷ꎨ2003ꎩ틔1995쓪1퓂떽2003쓪6퓂뗄춳볆쫽뻝캪퇹놾ꎬ뛔죋쏱뇒쪵볊폐킧믣싊폫뷸돶뿚쎳틗뫍샻폃췢뗄쿠맘탔뷸탐믘맩럖컶ꎬ뗃떽뗄뷡싛쫇죋쏱뇒쪵볊폐킧믣싊쫇펰쿬훐맺뷸돶뿚쎳틗뫍샻폃췢뗄훘튪틲쯘ꎬ쪵볊폐킧믣싊뇡횵폐훺폚닺돶뗄퓶볓ꆣ헢킩톧헟쫇춨맽붨솢떥랽돌믘맩쒣탍뷒쪾죋쏱뇒쪵볊믣싊뫍닺돶횮볤뗄쿠뮥맘쾵ꎬ늢뗃돶죋쏱뇒쪵볊믣싊뇡횵붫떼훂닺돶퓶볓뗄뷡싛ꆣ샮캴컞ꎨ2005ꎩ퓚Kamin뫍Rogers샭싛뿲볜뗄믹뒡짏릹붨쇋몬폐닺돶ꆢ믵뇒릩룸솿뫍쪵볊믣싊죽룶뇤솿뗄VAR쒣탍ꎬ춨맽Granger틲맻볬퇩ꆢ킭헻럖컶ꆢ싶돥랴펦몯쫽뗈쫖뛎럖컶훐맺뗄쪵볊믣싊폫뺭볃퓶뎤ꎬ쪵횤뷡맻랢쿖죋쏱뇒쪵볊믣싊뇡횵컒맺뺭볃퓶뎤쫇헽쿲뗄틲맻맘쾵ꎬ늢듦퓚튻뚨뗄뎤웚뻹뫢맘쾵ꆣ떫쫇ꎬ헢킩퇐뺿뛔죋쏱뇒쪵볊믣싊뇡횵캪쪲쎴뛔훐맺뺭볃퓶뎤웰떽쇋믽벫뗄듙뷸ퟷ폃쎻폐룸돶뷏캪뫏샭뗄뷢쫍ꆣ 죽ꆢ죋쏱뇒쪵볊믣싊펰쿬뫪맛뺭볃뗄샭싛쒣탍 룹뻝뫪맛뺭볃튻냣뻹뫢샭싛ꎬ튻맺뗄뫪맛뺭볃뿉틔럖캪솽룶믹놾뗄쫐뎡ꎺ짌욷쫐뎡뫍믵뇒쫐뎡ꆣ떱짌욷쫐뎡짏뗄ퟜ릩룸뗈폚ퟜ탨쟳쪱ꎬ짌욷쫐뎡뻹뫢ꎻ떱믵뇒쫐뎡짏뗄믵뇒ퟜ릩룸뗈폚믵뇒ퟜ탨쟳쪱ꎬ믵뇒쫐뎡뻹뫢ꆣ죧맻짌욷쫐뎡폫믵뇒쫐뎡춬쪱뻹뫢ꎬ퓲뫪맛뺭볃뻹뫢ꎬ듋쪱뗄뫪맛뺭볃뇤솿횮볤듦퓚튻룶뻹뫢뗄맘쾵ꆣ쿂쏦ꎬ쫗쿈럖컶짌욷쫐뎡뻹뫢쪱뗄쟩뿶ꎺ Y=C+I+(X−M)=TD+NX ꎨ1ꎩ NX=NX(RER) ꎨ2ꎩ
룃랽돌붫맺쏱쫕죫뫣뗈쪽럖캪ퟜ탨쟳TD뫍뺻돶뿚NX솽룶늿럖ꎬ웤훐ꎬY듺뇭맺쏱쫕죫ꎬRER쫇쪵볊믣싊ꎨreal exchange rateꎩꎬNX(RER)뇭쏷뺻돶뿚뗄뇤뚯쫇쪵볊믣싊뗄몯쫽ꆣ TD=aRW−ar+aG ꎨ3ꎩ 111213룃랽돌쮵쏷쇋펰쿬ퟜ탨쟳뗄튻킩틲쯘ꎬ웤훐ꎬRW캪쪵볊릤ꎬ쪵볊릤풽룟ꎬ쿻럑풽뛠ꎬ듓뛸퓶볓ퟜ탨쟳ꎻr캪샻싊쮮욽ꎬ샻싊풽룟ꎬ춶복짙ꎬퟜ탨쟳복짙ꎻG캪헾뢮횧돶ꎬG뗄퓶볓믡횱뷓떼훂맺쏱쫕죫뗄퓶볓ꆣ 짌욷쫐뎡뻹뫢쪱ꎺY=aRW−ar+aG+NX(RER) ꎨ4ꎩ 111213퓚믵뇒쫐뎡짏ꎬ믵뇒뗄릩룸평훐퇫틸탐쯹뻶뚨ꎬ믵뇒뗄탨쟳훷튪쫇싺ퟣ붻틗뫍풤럀뚯믺뗄믵뇒탨쟳틔벰싺ퟣ춶뚯믺뗄믵뇒탨쟳ꆣ헢킩믵뇒탨쟳뿉틔뾴돉쫕죫Y퓶몯쫽뫍샻싊r뗄복몯쫽ꎬ벴ꎬ dM=aY−ar ꎨ5ꎩ 2122ds떱믵뇒쫐뎡뻹뫢쪱ꎬ믵뇒탨쟳뗈폚믵뇒릩룸ꎬM=Mꎬ틲듋ꎬ sd믵뇒쫐뎡뻹뫢ꎺM=M=aY−ar=M ꎨ6ꎩ 2122떱짌욷쫐뎡뫍믵뇒쫐뎡춬쪱듯떽뻹뫢쪱ꎺ 틲캪쪵볊릤RW뗈폚쏻틥릤ꎨWꎩ뿛돽컯볛쮮욽(P)ꎬ쯹틔붫쪵볊릤폃쏻틥릤뫍컯볛쮮욽쳦뮻ꎬ퓲릫쪽ꎨ7ꎩ뿉룄킴캪ꎺ 평듋ꎬ뗃떽쇋퓚뫪맛뺭볃뻹뫢쪱ꎬ맺쏱쫕죫ꎨYꎩ평쏻틥릤ꎨWꎩꆢ컯볛쮮욽ꎨPꎩꆢ헾뢮횧돶ꎨGꎩꆢ믵뇒릩룸ꎨMꎩ뫍쪵볊믣싊ꎨRERꎩ쯹뻶뚨ꆣ뻝듋ꎬ뿉붨솢튻룶뾼달죋쏱뇒쪵볊믣싊폫뺭볃퓶뎤횮볤맘쾵뗄6뇤솿VAR쒣탍ꎬ룃쒣탍죧쿂ꎺ aaaaaa112212132222Y=RW+M+G+NX(RER) ꎨ7ꎩ a+aaa+aaa+aaa+aa221221221221221221221221 aaaaaa112212132222Y=(W/P)+M+G+NX(RER) ꎨ8ꎩ a+aaa+aaa+aaa+aa221221221221221221221221 yY=C+ALY+ALWALG+ALRER+ALM+ALP+ε ꎨ9ꎩ ()()+()()()()t1yytwytgytRytmytpyttwW=C+A(L)Y+A(L)W+A(L)G+A(L)RER+A(L)M+A(L)P+ε 10ꎩ t2ywtwwtgwtRwtmwtpwttgG=C+A(L)Y+A(L)W+A(L)G+A(L)RER+A(L)M+A(L)P+ε ꎨ11ꎩ t3ygtwgtggtRgtmgtpgttmM=C+A(L)Y+A(L)W+A(L)G+A(L)RER+A(L)M+A(L)P+εꎨ12ꎩ t4ymtwmtgmtRmtmmtpmttRRER=C+A(L)Y+A(L)W+A(L)G+A(L)RER+A(L)M+A(L)P+ε 13ꎩ t5yRtwRtgRtRRtmRtpRttRP=C+A(L)Y+A(L)W+A(L)G+A(L)RER+A(L)M+A(L)P+εꎨ14ꎩ t6yptwptgptRptmptpptt 2K웤훐ꎬA(L)=aL+aL+L+aL 12k 쯄ꆢ죋쏱뇒쪵볊믣싊뇡횵뛔뺭볃퓶뎤펰쿬뗄쪵횤럖컶 ꎨ튻ꎩ쫽뻝뗄톡좡폫볬퇩 1ꎮ쫽뻝뗄쏨쫶ꆣ뛔폚VAR쒣탍훐뗄6룶뇤솿ꎬ맺쏱쫕죫ꎨYꎩ폃맺쓚짺닺ퟜ횵ꎨGDPꎩ닢뛈ꎬ쯼쳞돽쇋맺췢뻓쏱뛔훐맺맺쓚짺닺뗄펰쿬ꎬힼ좷뗘랴펳쇋훐맺맺쓚뗄닺돶쮮욽ꎻ쏻틥릤ꎨWꎩ폃쓪좫맺퓚룚횰릤릤ퟜ뛮닢뛈ꎬ랴펳쇋좫맺뻓쏱뗄릤쮮욽ꎻ컯볛쮮욽ꎨPꎩ폃짌욷쇣쫛컯볛횸쫽닢뛈ꎬ랴펳쇋떱쓪뗄컯볛쮮욽ꎻ헾뢮횧돶ꎨGꎩ폃맺볒닆헾뻶쯣횧돶닢뛈ꎬ웤듳킡평헾뢮뻶닟뿘훆ꎻ틔짏쫽뻝톡좡1981ꎭ2004쓪뗄쓪뛈쫽뻝ꎬ살풴폚ꆶ훐맺춳볆쓪본ꎨ2005ꎩꆷ뫍훐뺭췸춳볆쫽뻝뿢ꎨꎩꆣ믵뇒릩룸ꎨMꎩ폃믵뇒릩펦솿M1살닢뛈ꎬ웤듳킡평훐맺죋쏱틸탐룹뻝쎿쓪뗄믵뇒헾닟훆뚨ꆣ쪵볊믣싊ꎨRERꎩ폃맺볊믵뇒믹뷰ퟩ횯ꎨIMFꎩ쯹뚨틥뗄쪵볊폐킧믣싊뗄떹쫽닢뛈ꎬ웤쫽횵퓶듳뇭쪾쪵볊믣싊뇡횵ꎬ웤쫽횵복짙뇭쪾쪵볊믣싊짽횵ꆣM1뫍쪵볊폐킧믣싊뗄쫽뻝톡좡IMF맺볊뷰죚춳볆쫽뻝뿢훐1981ꎭ2004쓪뗄24룶쓪뛈쫽뻝ꆣ쯹폐쫽뻝뗄좡횵좫늿좡웤뛔쫽쫽횵ꆣ 죴뇤솿뗄쪱볤탲쇐늻욽컈ꎬ퓲닉폃뒫춳뗄믘맩랽램믡닺짺ꆰ캱ꆱ믘맩ꆣ틲듋뇘탫뛔뇤솿뗄
쪱볤탲쇐ퟶ킭헻(Co-integration)볬퇩ꆣ킭헻룅쓮쫇평뛷룱뛻튻룱삼뷜(Engle-Granger)쳡돶뗄ꆣ웤믹놾쮼쿫쫇:죧맻솽룶(믲솽룶틔짏)뗄쪱볤탲쇐쫇럇욽컈뗄,떫쯼쏇뗄쒳훖쿟탔ퟩ뫏좴쫇욽컈뗄,퓲헢솽룶뇤솿(믲솽룶틔짏)횮볤뇣듦퓚뎤웚컈뚨맘쾵ꎨ킭헻맘쾵ꎩꆣ듓뺭볃톧틢틥짏살뾴,죴뇤솿횮볤폐킭헻맘쾵,퓲뇤솿횮볤쿠떱폚듦퓚뎤웚뻹뫢뗄맘쾵ꆣ퓚뷸탐킭헻볬퇩횮잰ꎬ쫗쿈튪뛔쪱볤탲쇐뷸탐떥캻룹볬퇩ꆣ 2ꎮ떥캻룹볬퇩ꆣ떥캻룹볬퇩쫇뛔쪱볤탲쇐뇤솿뗄욽컈탔볬퇩ꎬ죧맻튻룶쪱볤탲쇐뗄뻹횵믲ퟔ킭랽닮몯쫽쯦쪱볤뛸룄뇤ꎬ쓇쎴헢룶탲쇐뻍쫇럇욽컈쪱볤탲쇐ꆣ놾컄닉폃퓶맣뗄뗏믹ꎭ뢻샕ꎨADFꎩ뷸탐떥캻룹볬퇩ꎬ볬퇩뷡맻죧쿂뇭1ꆣ 뇭1 6뇤솿ADF떥캻룹볬퇩 ADF(d) ADFt(dz) 10%쿔훸탔쮮욽ꎨꎩ GDP 뻜뻸 W 뻜뻸 G 뻜뻸 P 뻜뻸 M 뻜뻸 RER 뻜뻸 평뇭1 뿉횪ꎬP뫍RER퓚쿔훸탔쮮욽10ꎥ짏듦퓚떥캻룹뗄풭볙짨뿉틔뻜뻸ꆣGDPꎬWꎬGꎬM`퓚쿔훸탔쮮욽10ꎥ짏듦퓚떥캻룹뗄풭볙짨늻쓜뻜뻸ꎬ튻뷗닮럖뫳ꎬ웤퓚쿔훸탔쮮욽10ꎥ짏듦퓚떥캻룹뗄풭볙짨뿉틔뻜뻸ꆣ틲듋ꎬPꎬRER쫇욽컈쪱볤탲쇐ꎬ벴캪Iꎨ0ꎩ탲쇐ꎬGDPꎬWꎬGꎬM뻟폐튻뷗떥캻룹ꎬ벴캪I(1)탲쇐ꆣ 3ꎮJohansen킭헻볬퇩ꆣ룹뻝뛷룱뛻-룱삼뷜뗄킭헻샭싛ꎬ죧맻뇤솿뗄쪱볤탲쇐쫇킭헻뗄ꎬ쓇쎴탲쇐Iꎨ1ꎩ쿟탔ퟩ뫏붫쫇I(0)뗄ꎬ벴뻟폐욽컈탔ꆣ평폚GDPꆢGꆢMꆢWꆢP뫍RER쫇VAR쒣탍훐뗄뇤솿ꎬ틲듋ꎬ닉폃Johansen볬퇩ꆣ웤뷡맻죧쿂뇭2ꎺ 뇭2 쪱볤탲쇐킭헻맘쾵뗄Johansen볬퇩 5 % critical Liklihood ratio 1 % critical valueHypothesized CEꎨsꎩvalue ** At most 1** ** At most 3 * At most 5평뇭2뿉횪ꎬ6룶뇤솿퓚1%뗄쿔훸쮮욽짏듦3룶킭헻맘쾵ꎬ퓚5%뗄쿔훸쮮욽짏듦4룶킭헻맘쾵ꎬ틲듋ꎬ GDPꆢGꆢMꆢWꆢP뫍RER헢6룶뇤솿뗄쪱볤탲쇐ퟩ뫏쫇킭헻뗄ꎬ쯼쏇뗄쿟탔ퟩ뫏듦퓚뎤웚뻹뫢맘쾵ꆣ ꎨ뛾ꎩ쪵횤뷡맻 1.싶돥랴펦몯쫽ꆣ싶돥랴펦몯쫽ힼ좷뗘쏨믦쇋떱쒣탍쾵춳훐쒳튻뇤솿뗄튻룶떥캻풤웚뇤뚯쪱ꎬ룃쒣탍훐놻웤펰쿬뗄뇤솿뗄랴펦쟩뿶ꆣ붫쫽뻝듺죫VAR쒣탍ꎬ쟳돶룃쒣탍뗄싶돥랴펦몯쫽ꎨIRFꎩ
늢뻝듋ퟷ돶뇤솿뗄싶돥랴펦춼ꆣ춼1ꆢ춼2ꆢ춼3ꆢ춼4ꆢ춼5럖뇰쏨믦쇋맺쓚짺닺ퟜ횵쫜떽쪵볊믣싊ꆢ헾뢮횧돶ꆢ믵뇒릩룸솿ꆢ볛룱쮮욽뫍ퟔ짭뇤뚯돥믷쪱뗄랢짺뇤뚯뗄쟩뿶ꎬ춼6쏨믦쇋볛룱쮮욽쫜떽죋쏱뇒쪵볊믣싊뇡횵돥믷쪱랢짺뇤뚯뗄쟩뿶ꆣ 춼1: Response of GDP to One . RER Innovation춼2: Response of GDP to One . G Innovation 춼3: Response of GDP to One . M Innovation춼4: Response of GDP to One . P Innovation 12345678910 춼6: Response of P to One . RER Innovation춼5: Response of GDP to One . GDP Innovation 평춼1뿉횪ꎬ떱쫜떽쪵볊믣싊뇡횵돥믷쪱ꎬ맺쓚짺닺ퟜ횵닺짺튻룶헽쿲뗄ꆢ쿔훸탔뗄랴펦ꎬ맺쓚짺닺ퟜ횵짏짽ꎻ퓚뗚2웚듯떽ퟮ듳횵ꎻ쯦뫳ꎬ맺쓚짺닺ퟜ횵뾪쪼쿂붵ꎬ틲듋ꎬ죋쏱뇒쪵볊믣싊뇡횵퓚뛌웚쓚쓜톸쯙떼훂닺돶쮮욽뗄짏짽ꎬ듙뷸뺭볃퓶뎤ꆣ춼2쿔쪾떱쫜떽헾뢮횧돶퓶볓돥믷쪱ꎬ맺쓚짺닺ퟜ횵솢뿌퓶듳ꎬ늢닺짺튻룶헽쿲뗄ꆢ쿔훸탔뗄랴펦ꎬ쯦ퟅ쪱볤뗄췆틆ꎬ맺쓚짺닺ퟜ횵퓚뗚4웚듯떽ퟮ듳횵ꎬ쯦뫳ꎬ맺쓚짺닺ퟜ횵훰붥복킡ꎬ틲듋ꎬ헾뢮횧돶뗄퓶뎤붫횱뷓뗄떼훂닺돶뗄퓶뎤ꎬ쯦ퟅ쪱볤뗄췆틆ꎬ웤뛔닺돶뗄듙뷸ퟷ폃풽살풽킡ꆣ춼3쿔쪾떱쫜떽믵뇒릩룸솿퓶볓뗄돥믷쪱ꎬ맺쓚짺닺ퟜ횵닺짺튻룶헽쿲뗄랴펦ꎬ맺쓚짺닺ퟜ횵짏짽ꎬ쯦ퟅ쪱볤뗄췆틆ꎬ맺쓚짺닺ퟜ횵짏짽뗄럹뛈훰붥퓶듳ꎬ틲듋ꎬ믵뇒릩룸솿퓶볓붫떼훂닺돶쮮욽뗄퓶볓ꎬ늢뛔웤폐뷏뎤쪱볤뗄펰쿬ퟷ폃ꎬ쯦ퟅ쪱볤뗄췆틆ꎬ펰쿬풽살풽듳ꆣ춼4쿔쪾떱쫜떽볛룱쮮욽짏헇뗄돥믷쪱ꎬ맺쓚짺닺ퟜ횵폐튻룶짏헇뗄쟷쫆ꎬ떫쫇뻸뛔쫽횵늢쎻폐뇤뮯ꎻ쯦ퟅ쪱볤뗄췆틆ꎬ쪹뗃맺쓚짺닺ퟜ횵쿂붵ꆣ틲듋ꎬ뎤웚볛룱쮮욽짏헇ꎬ붫떼훂맺쓚뗄뿖믅ꎬ쯹틔떼훂닺돶쿂붵ꆣ춼5쿔쪾떱쫜떽ퟔ짭돥믷쪱ꎬ맺쓚짺닺ퟜ횵솢뿌퓶볓ꎬ늢닺짺튻룶헽쿲뗄ꆢ쿔훸탔랴펦ꎻ퓚뗚2웚듯떽ퟮ듳횵뫳ꎬ맺쓚짺닺ퟜ횵뾪쪼쿂붵ꆣ춼6쿔쪾떱쫜떽죋쏱뇒쪵볊믣싊뇡횵돥믷쪱ꎬ볛룱쮮욽퓶
뎤톸쯙짏짽ꎬ퓚뗚2웚듯떽ퟮ듳횵ꎬ쯦뫳볛룱쮮욽쿂붵ꎬ틲듋ꎬ퓚뛌웚쓚볛룱쮮욽틲쫜떽쪵볊믣싊뇡횵뗄펰쿬뛸짏짽ꆣ 2ꎮ랽닮럖뷢 랽닮럖뷢쓜릻랴펳쒣탍쾵춳훐ꎬ틽웰틲뇤솿풤웚뇤뚯뗄뷢쫍뇤솿뗄릱쿗돌뛈ꆣ뇭3쿔쪾쇋틽웰GDP뇤뚯뗄랽닮럖뷢ꎬ평룃뇭뿉횪ꎬ맺쓚짺닺ퟜ횵GDP뗄뇤뚯훷튪살풴폚ퟔ짭뗄돥믷ꎬ풼햼60%틔짏ꆣ헾뢮횧돶뛔맺쓚짺닺ퟜ횵퓶뎤뗄뷢쫍캪뷼14%ꎬ믵뇒릩룸뛔맺쓚짺닺ퟜ횵퓶뎤뗄뷢쫍캪16%ꆣ볛룱쮮욽뛔맺쓚짺닺ퟜ횵뗄뷢쫍캪5%ꎬ쪵볊믣싊뛔맺쓚짺닺뗄뷢쫍캪1%ꆣ쿠뛔폚웤쯻틲쯘뛸퇔ꎬ쪵볊믣싊뛔뺭볃퓶뎤뗄ퟷ폃뷏킡ꆣ 뇭3 맺쓚짺닺ퟜ횵뗄랽닮럖뷢 Period G GDP M W P RER 1 컥ꆢ뷡싛 춨맽맺쏱쫕죫ꎨYꎩꆢ쏻틥릤ꎨWꎩꆢ컯볛쮮욽ꎨPꎩꆢ헾뢮횧돶ꎨGꎩꆢ믵뇒릩룸ꎨMꎩ뫍쪵볊믣싊ꎨRERꎩ뗈6뇤솿뗄VAR쒣탍럖컶ꎬ컒쏇뿉틔뗃떽틔쿂뷡싛ꎺ 뗚튻ꎬ퓚뛌웚쓚ꎬ죋쏱뇒쪵볊믣싊뇡횵붫떼훂닺돶뗄퓶볓ꎬ듙뷸뺭볃퓶뎤ꆣ컒맺뗄죋쏱뇒쪵볊믣싊뇡횵쓜릻듙뷸컒맺뺭볃퓶뎤뛸늻춬폚쒫컷룧ꆢ쏘슳ꆢ췁뛺웤뗈랢햹훐맺볒ꎬ풭틲훷튪폐죽룶ꎺ웤튻ꎬ퓚컒맺쪵탐퇏룱뗄놾맜훆뮷뺳쿂ꎬ죋쏱뇒쪵볊믣싊뇡횵듌벤쇋췢짌횱뷓춶뗄퓶볓ꎬ듓뛸듙뷸쇋닺돶뗄퓶볓ꆣ쳘뇰쫇퓚1990쓪ꎬ죋쏱뇒쪵볊폐킧믣싊얤쇋짏쓪뗄짽횵쟷쫆뇡횵쇋%ꎬ늢퓚횮뫳뗄4쓪쓚쎿쓪뇡횵뎬맽10%틔짏ꎬ췢짌횱뷓춶퓲퓚1992쓪뫍1993쓪돶쿖쇋뎬맽100%뗄퓶뎤ꎬ1992쓪ꆢ1993쓪ꆢ1994쓪컒GDP뗄퓶뎤싊럖뇰캪%ꆢ%ꆢ%ꎬ횱뷓춶뗄퓶볓ꎬ듙뷸쇋컒맺뗄뺭볃퓶뎤ꆣ뛸쒫컷룧ꆢ쏘슳뗈랢햹훐맺볒뗄췢믣뺭뎣쿮쒿뫍놾쿮쒿춬쪱뾪럅ꎬ췢햮맦쒣늻뫏샭ꎬ룷맺헾뢮뚼뷨죫쇋듳솿췢햮ꆣ틲듋ꎬ떱놾뇒뇡횵ꎬ뻍쪹뗃탨튪뎥뮹뗄췢햮뛮퓶듳ꎬ듓뛸쪹헢킩맺볒뷴쯵뾪횧ꎬ뺭볃뗄뷴쯵쪹뗃뻞뛮뗄폎솢뿌쇷돶ꎬ떼훂뺭볃룼뷸튻늽뷴쯵ꆣ웤뛾ꎬ컒맺뗄쎳틗욷릹돉늻퓙뻟놸랢햹훐맺볒쳘헷ꎬ뛸쫇뻟폐튻냣릤튵뮯맺볒뗄쳘헷ꆣ1985쓪ꎬ컒맺얩닺욷뫍풭닄쇏돶뿚뗄뇈훘럖뇰캪%뫍%ꎬ풼햼훐맺돶뿚뗄냫뇚붭즽ꆣ2000쓪ꎬ얩닺욷뫍풭닄쇏돶뿚햼뇈럖뇰캪%뫍%ꎬ볓웰살늻떽10%ꎬ뛸믺웷ꆢ붻춨짨놸뫍웤쯻훆퓬욷ꎨ냼삨틂럾뫍엤볾ꆢ뺫쏜릤뻟ꆢ헕욬뫍맢톧짨놸뗈ꎩ2돶뿚뇈훘틑뷓뷼70%ꆣ컒맺돶뿚쎳틗욷싺ퟣ쿖듺릤튵뮯짺닺뫍짺믮뗄탨튪ꎬ웤탨쟳떯탔듳ꎬ쪵볊믣싊뇡횵ꎬ붫믡듙뷸컒맺닺욷돶뿚뗄퓶볓ꎬ듓뛸듙뷸닺돶퓶뎤ꆣ뛸튻킩랢햹훐맺볒뇘탫뷸뿚듳솿풭닄쇏뫍훐볤닺욷닅쓜짺닺ퟮ훕닺욷ꎬ믣싊뇡횵틢캶ퟅ뷸뿚믵컯뗄볛룱짏짽ꎬ듓뛸틽웰ퟮ훕닺욷돉놾짏짽ꎬ듓뛸복짙닺돶ꆣ웤죽ꎬ컒맺쫇룟뒢탮맺볒ꎬ죋쏱뇒쪵볊믣싊뇡횵ꎬ붫믡듌벤 1 쫽뻝살풴ꎺ훐맺춳볆쓪본ꎨ2005ꎩ뫍IFS췸햾ꎨ 2 United Nations. Yearbook of International Trade Statistics[R], Trade by Commodity 2004.
탨쟳ꎬ쪹뗃뒢탮쿲춶뮯ꎬ삩듳짺닺ꎬ듓듙뷸뺭볃퓶뎤ꆣ쓇킩랢햹훐맺볒뗄맺쓚뒢탮뗍ꎬ춶뗄퓶볓훷튪틀뾿췢햮뫍횱뷓춶ꎬ쪵볊믣싊뇡횵랴뛸떼훂놾췢쳓ꎬ춶쿂붵ꆣ 뗚뛾ꎬ죋쏱뇒쪵볊믣싊뇡횵뛔뺭볃퓶뎤뗄듙뷸ퟷ폃쫇뛌웚뗄ꎬ뎤웚뗄뇡횵늢늻쓜듙뷸뺭볃퓶뎤ꎬ쿠랴ꎬ퓚컒맺뺭볃뎤웚퓶뎤맽돌훐ꎬ췹췹냩쯦ퟅ죋쏱뇒쪵볊믣싊뗄짽횵ꆣ헢훷튪쫇평폚냍삭죸-죸뛻즭킧펦ꎨBalass-Samulson effectꎩ랢믓ퟷ폃ꎬ쳘뇰쫇ퟔ1993쓪틔살ꎬ훐맺뗄뺭볃퓶뎤훰붥쳥쿖캪킧틦뗄퓶뎤ꎬ죋쏱뇒쪵볊믣싊놣돖ퟅ짽횵쟷쫆ꆣ 뗚죽ꎬ컒맺뗄뺭볃퓶뎤훷튪살풴폚컒맺쓚퓚뗄ퟜ릩룸뫍ퟜ탨쟳뗄췆뚯ꎬ삩헅탔뗄닆헾헾닟ꆢ삩헅탔뗄믵뇒헾닟ꆢ쫊뛈뗄믣싊뇡횵튲쫇췆뚯컒맺뺭볃퓶뎤뗄훘튪쫖뛎ꆣ뻍쒿잰컒맺뫪맛뺭볃뛸퇔ꎬ뿉틔붫죋쏱뇒쪵볊믣싊ퟷ캪뗷뷚컒맺뫪맛뺭볃뗄쫖뛎ꎬ죋쏱뇒쪵볊믣싊폫춶ꆢ쿻럑ꆢ컯볛ꆢ믵뇒릩룸ꆢ뻍튵뗈룷훖뫪맛뺭볃틲쯘쿠뮥ퟷ폃ꎬ듓뛸펰쿬컒맺뗄뫪맛뺭볃뗄랢햹ꆣ떱폶떽닆헾헾닟뫍믵뇒헾닟쓑틔폐킧뗘랢믓ퟷ폃쪱ꎬ뿉틔춨맽믣싊뗄뗷뷚살쪵쿖뛔뫪맛뺭볃뗄뗷뿘ꆣ샽죧ꎬ1995쓪ꎭ2000쓪컒맺뗄춨믵뷴쯵컊쳢ꎬ쯤좻헾뢮쳡룟믵뇒릩룸솿ꎬ떫쫇춨믵뷴쯵컊쳢죔좻늻쓜뗃떽뷢뻶ꆣ듋쪱ꎬ죧맻닉폃쪵볊믣싊뇡횵쫖뛎ꎬ뿉틔뷢뻶컒맺춨믵뷴쯵뗄컊쳢ꎬ쪵쿖뫪맛뺭볃뻹뫢랢햹뗄쒿뇪ꆣ 닎뾼컄쿗 [1] Agenor, Pierre-Richard. Output, Devaluation and the Real Exchange Rate in Developing Countries [J]. Weltwirtschaftliches Archiv,127,1991,-41. [2] Copelman, Werner. The Monetary Transmission Mechanism in Mexico [R]. International Finance Discussion Paper, , Board of Governors of the Federal Reserve System, 1996. [3] Edwards, Sebastian. Real Exchange Rates, Devaluation and Adjustment [M]. MIT Press,1989. [4] Kamin and Rogers. Output and the Real Exchange Rate in Developing Countries:An Application to Mexico[J]. Journal of Development Economics ,2000. [5] Morley and Sammuel. On the Effects of Devaluation During Stabilization Programs in LDs [J]. Review of Economics and Statistics,1992. [6] Mills and Pentecost. Real Exchange Rate & the Output Response in Four EU Accession Countries [A]. Business Cycle and Economics Growth Research Paper [C]. , Department of Economics, 2000. [7] Rogers and Wang. Output,Inflation and Stabilization in A Small Open Economy:Evidency from Mexico [J]. Journal of Development Economics,1995. [8] Rodriguze and Diaz. Fluctuations Macroeconomicasen La Economia Peruana [R]. Working Paper, Barco Central de Reserve del Peni,1995. [9] 돂맺캰ꎬ쿄붭. 죋쏱뇒쪵볊믣싊뇤뚯뛔ퟜ닺돶펰쿬뗄쪵횤럖컶[J]. 뺭볃뿆톧ꎬ2002ꎨ11ꎩꆣ [10] 샮붨캰ꎬ폠쏷. 죋쏱뇒폐킧믣싊뗄늨뚯벰웤뛔훐맺뺭볃퓶뎤뗄펰쿬[J]. 쫀뷧뺭볃ꎬ2003ꎨ11ꎩꆣ [11] 샮캴컞. 쪵볊믣싊폫뺭볃퓶뎤ꎺ살ퟔ훐맺뗄횤뻝[J]. 맜샭쫀뷧ꎬ2005ꎨ2ꎩꆣ [12] 헅뇳. 죋쏱뇒뻹뫢믣싊ꎺ볲풼튻냣뻹뫢쿂뗄떥랽돌쪵횤쒣탍퇐뺿[J]. 릤ퟷ싛컄ꎬ2003ꆣ The Depreciation of RMB Real Exchange Rate and Chinaꆯs Economy Growth: Expanding or Contracting Guohua He Jun Chen AbstractꎺThe scholars in china or abroad didnꆯt draw the same conclusion by experimental researches that what effect of the depreciation of the real exchange rate has on economic growth. This paper makes a six-variables VAR model including output, wage, price level, government
expenditure, money supply and real exchange rate, and uses cointegration test, impulse-response function and variance decomposition. Finally we find that the depreciation of RMB real exchange rate will boost output in shot-term, but do harm to in long-term. Key words: RMB real exchange rate; economy growth; VAR model 쫕룥죕웚ꎺ2006-12-20 ퟷ헟뷩짜ꎺ뫎맺뮪ꎬ뺭볃톧늩쪿ꎬ커몺듳톧뺭볃폫맜샭톧풺뷰죚쾵뷌쫚ꎬ늩쪿짺떼쪦ꎻ돂뾥ꎬ커몺듳톧뺭볃폫맜샭톧풺늩쪿퇐뺿짺ꆣ
