华中科技大学硕士学位论文基于VAR模型的通货膨胀对不同行业股票收益率影响的对比分析姓名：程万青申请学位级别：硕士专业：数量经济学指导教师：周少甫2010-05-15
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 햪 튪 춨믵엲헍컊쳢튻횱쫇뺭볃톧볒ꎬ튲쫇춶헟뚼럇뎣맘탄뗄컊쳢ꎬ뛸죧뫎뷏뫃뗘퓚춨헍놳뺰쿂ퟶ떽뫏샭춶ꎬ쪵쿖닺뗄놣횵퓶횵룼쫇탭뛠뷰죚뺭볃톧볒퇐뺿헢랽쏦컊쳢뗄돶랢뗣ꆣ놾컄쯹ퟷ뗄릤ퟷ벴쫇퇐뺿춨믵엲헍폫막욱쫐뎡탐튵쫕틦싊뗄맘쾵ꎬ훘뗣뾼달퓚춨헍쳵볾쿂막쫐훐룷탐튵뗄뇭쿖ꎬ틔웚듓훐헒떽뷏뫃뗄춶믺믡ꆣ 쫗쿈ꎬ놾컄뛔퇐뺿춨믵엲헍폫놾쫐뎡쫕틦싊맘쾵랽쏦뗄컄볾ퟷ쇋ퟛ쫶ꆣ럖솽늿럖ퟷ쇋쿪쾸뷩짜ꎬ튻늿럖쫇퇐뺿춨믵엲헍폫막욱쫐횵ퟛ뫏횸쫽횮볤뗄쿠맘탔ꎻ쇭튻늿럖닻쫶쇋막욱쫐뎡훐룷탐튵막욱볛룱횸쫽뗄쿠맘맘쾵ꆣ헢킩컄쿗뇭쏷막욱쫐뎡탐튵쫕틦싊폫춨믵엲헍쿠뮥펰쿬ꆢ뒫떼믺샭뢴퓓ꆣ 웤듎ꎬ놾컄톡폃PPI뫍뮦짮300탐튵횸쫽럖뇰ퟷ캪춨믵엲헍뫍탐튵쫕틦싊뗄뾼달횸뇪ꎬ늢붨솢쇋럇뷡릹뮯뗄VAR쒣탍ꆣ늢쟒붫뮦짮300쪮듳탐튵뮮럖캪죽듳샠ꎺ쮳춨헍훜웚탐튵ꆢ쓦춨헍훜웚탐튵뫍폫춨헍훜웚쿠맘뷏죵탐튵ꆣ럖샠뇪ힼꎺ튻쫇믹폚쿈퇩뗄탅쾢ꎻ뛾쫇룃탐튵퓚싶돥쿬펦쿂막횸늨뚯탔쳘헷ꆣ ퟮ뫳ꎬ쪵횤럖컶뷡맻쿔쪾ꎬ뮦짮300쪮듳탐튵횸쫽퓚춨믵엲헍뗄돥믷쿂폐늻춬뗄뇭쿖ꆣ쮳춨헍훜웚탐튵ꎺ뷰죚뗘닺ꆢ쓜풴ꆢ훷튪쿻럑뫍풭닄쇏탐튵ꎬ퓚춨믵엲헍헽쿲돥믷쿂ꎬ횸쫽뛌웚쓚믡짏짽ꆣ늻맽돽쇋뷰죚뗘닺샠막욱횮췢ꎬ웤쯻죽샠막욱횮뫳뚼믡톸쯙쿂뗸ꎬ늢쟒돥믷뻟폐뢺뗄뎤웚킧펦ꆣ틲듋ꎬ듋샠뗄막욱쿠뛔룼쫊뫏ퟶ뛌웚닙ퟷꆣ뛸쓦춨헍훜웚샠탐튵ꎺ릤튵ꆢ뿉톡쿻럑뫍튽튩컀짺탐튵ꎬ뇭쿖럻뫏풤웚ꎬ돥믷믡떼훂횸쫽뛌웚톸쯙쿂뗸ꎬ횮뫳틠믡뷏뿬믘짽ꆣ쪣쿂뗄폫춨헍쿠맘뷏죵탐튵ꎺ릫폃ꆢ탅쾢벼쫵뫍뗧탅탐튵ꎬ퓚돥믷쿂ꎬ막횸늨뚯탔뷏듳ꎬ늢쎻폐뷏쏷쿔뗄쟷쫆ꎬ폫춨헍쿠맘탔뫜죵ꆣ쇭췢Granger틲맻볬퇩쿔쪾ꎬ뷶짙쫽탐튵횸쫽폫춨헍ꆢ믲탐튵횸쫽횮볤듦퓚Granger떥쿲뗄틲맻맘쾵ꆣ 맘볼듊ꎺ춨믵엲헍 탐튵쫕틦싊 쿲솿ퟔ믘맩쒣탍 쿲솿컳닮탞헽쒣탍 I
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 Abstract Economists and investors are very concerned about inflation. And the start point of this issue of many financial economists is to know how to do well in the context of inflation and how to preserve and increase the value of assets. So this study attempts to analyze the relationship between inflation and the stock market industry returns. And focused on the performance of the stock market in various sectors under the conditions of inflation and expect to find good investment opportunities. Firstly, this paper reviews the previous research on relations of inflation and capital market yields. The details, described in two parts, contain study of the correlation between inflation and stock market composite index and research of relationship of different industries stock price index. Secondly, we chose PPI as the index of inflation, and CSI 300 Sector indices as industries stock price index. we have divided CSI 300 into three categories and taken each for analysis with the division criteria of the correlation with inflation cycle. Finally, the empirical results show, the CSI 300 index of ten industries under the impact of inflation has different performance. Shun-inflation cycle industry: financial, real estate, energy, consumer and raw materials industries, under the positive impact of inflation, the index will increase the short term. But apart from financial and real estate stocks, the other three stocks fell rapidly after the city and have a negative impact on long-term effects. Therefore, the stock is relatively more suitable for such a short-term operation. The inverse of inflation stocks: industrial, consumer and alternative medical and health industry, performance in line with expectations, the impact will lead to a rapid decline in short-term index, and then will quickly rebound. The remaining weak and inflation-related sectors: public, information technology and telecommunications industries, the impact of stock index more volatile, and there is no obvious trend, and correlation is weak. Granger causality test also showed that only a few industries index and inflation, or industry index exists between the one-way Granger causality. Key words: Inflation Return of industries’ stock VAR VECM II
뛀뒴탔짹쏷 놾죋짹쏷쯹돊붻뗄톧캻싛컄쫇컒룶죋퓚떼쪦횸떼쿂뷸탐뗄퇐뺿릤ퟷ벰좡뗃뗄퇐뺿돉맻ꆣ뺡컒쯹횪ꎬ돽컄훐틑뺭뇪쏷틽폃뗄쓚죝췢ꎬ놾싛컄늻냼몬죎뫎웤쯻룶죋믲벯쳥틑뺭랢뇭믲킴맽뗄퇐뺿돉맻ꆣ뛔놾컄뗄퇐뺿ퟶ돶릱쿗뗄룶죋뫍벯쳥ꎬ뻹틑퓚컄훐틔쏷좷랽쪽뇪쏷ꆣ놾죋췪좫틢쪶떽놾짹쏷뗄램싉뷡맻평놾죋돐떣ꆣ 톧캻싛컄ퟷ헟잩쏻ꎺ 죕웚ꎺ 쓪 퓂 죕 톧캻싛컄냦좨쪹폃쫚좨쫩 놾톧캻싛컄ퟷ헟췪좫쇋뷢톧킣폐맘놣쇴ꆢ쪹폃톧캻싛컄뗄맦뚨ꎬ벴ꎺ톧킣폐좨놣쇴늢쿲맺볒폐맘늿쏅믲믺릹쯍붻싛컄뗄뢴펡볾뫍뗧ퟓ냦ꎬ퓊탭싛컄놻닩퓄뫍뷨퓄ꆣ놾죋쫚좨뮪훐뿆벼듳톧뿉틔붫놾톧캻싛컄뗄좫늿믲늿럖쓚죝뇠죫폐맘쫽뻝뿢뷸탐볬쯷ꎬ뿉틔닉폃펰펡ꆢ쯵펡믲즨쏨뗈뢴훆쫖뛎놣듦뫍믣뇠놾톧캻싛컄ꆣ 놣쏜ꇵꎬ퓚 쓪뷢쏜뫳쫊폃놾쫚좨쫩ꆣ 놾싛컄쫴폚 늻놣쏜ꇵꆣ (쟫퓚틔짏랽뿲쓚듲“√”) 톧캻싛컄ퟷ헟잩쏻ꎺ 횸떼뷌쪦잩쏻ꎺ 죕웚ꎺ 쓪 퓂 죕 죕웚ꎺ 쓪 퓂 죕
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 1 탷싛 톡쳢뗄놳뺰벰틢틥 캪펦뛔냙쓪쓑볻뗄뷰죚캣믺ꎬ룷맺헾뢮퓚맽좥뗄튻쓪떱훐벸뫵뚼닉좡쇋벫뛈뿭쯉뗄닆헾ꆢ믵뇒헾닟ꆣ떱좻헢킩헾닟튲쫕떽쇋튻뚨뗄돉킧ꎬ좫쟲뺭볃튲뾪쪼돶쿖쇋믘얯뢴쯕뗄벣쿳ꆣ떫죎뫎헾닟킧맻뚼쫇폐샻폐뇗ꎬ횮잰헢킩벫뛈뿭쯉뗄닆헾ꆢ믵뇒헾닟틠뾪쪼돶쿖늻솼랴펦ꆣ웤훐ꎬ컒쏇퓚듋맘힢뗄뻍쫇쿖뷗뛎벫폐뿉쓜뗄돶쿖뗄컊쳢——춨믵엲헍ꆣ 듓컒맺ퟮ뷼뗄쫽뻝컒쏇뿉틔뫜쟥컺뗄뾴떽춨헍뗄첧춷ꎺ퓚2009쓪2퓂훁10퓂ꎬCPIꆢPPI춬뇈퓶뎤뻹캪뢺횵ꎬ늢늻쪱뮹폐쿂붵쟷쫆ꆣ뛸떽2009쓪11퓂ꎬCPI춬뇈퓶뎤쫗쿈헽ꎬ뷓ퟅPPI퓚쓪뗗틠춬퇹듯떽쇋%ꆣ뷓쿂살듓2010쓪1ꆢ2퓂뗄쫽뻝살뾴ꎬ룼쫇폐늻뛏짏짽뗄쫆춷ꆣ웤훐CPI춬뇈퓶뎤럖뇰듯떽쇋%뫍%ꎻPPI퓲춬퇹춬뇈퓶볓훁%뫍%ꆣ헢킩뚼랴펦쇋퓚뺭볃뷏뿬뢴쯕뗄춬쪱ꎬ춨헍뗄럧쿕튲뾪쪼풽살풽퇏훘ꆣ튻냣뺭볃톧볒뻹죏캪컂뫍뗄춨헍쫇폐틦폚뺭볃퓶뎤ꎬ떫죧맻뛔춨헍럧쿕쎻폐ퟣ릻뗄뺯쫓ꎬ춬퇹튲믡룸뺭볃듸살뻞듳뗄퓖쓑ꎬ뛔룶죋뗄닆뢻튲믡폐뫜듳뗄쯰쪧ꆣ컒쏇횪뗀평폚춨믵엲헍늻뷶떼훂볛룱탅뫅쪧쇩ꎬ웆뮵뺭볃뗄헽뎣퓋탐ꎬ룼믡횱뷓퓬돉믵뇒닺뗄뇡횵ꎬ닆뢻쯵쮮ꆣ틲듋컒쏇탨튪춨맽뫏샭뗄랽쪽살맦뇜춨헍럧쿕ꆣ뛸퓚컒맺쿖폐뗄쳵볾쿂ꎬ놾쫐뎡틀뻉쫇쿠뛔뷏캪폐킧뗄쓜릻뷏뫃뗖폹춨믵엲헍뗄럧쿕ꆣ컒쏇룶죋춶헟틠뿉틔춨맽뫏샭뗄닺엤훃살놣헏ퟔ짭닆닺쏢헐춨믵엲헍뗄쟖쪴ꆣ 뛸퓚뻟쳥퓚뷸탐춶뻶닟쪱ꎬ죧뻟쳥톡퓱막욱쪱ꎬ컒쏇쫗튪뾼싇뗄뇣쫇탐튵뗄쟸럖톡퓱ꆣ틲캪ꎬ퓚춨헍뫍뺭볃훜웚뗄펰쿬쿂ꎬ룷탐튵막욱믡폐늻춬뗄뇭쿖ꎬ늢쟒폐뷏캪쏷쿔뗄싖뚯킧펦ꆣ컒쏇탨튪춨맽춶ퟩ뫏뗄랽쪽살럖즢럧쿕ꎬ쪵쿖풤웚쫕틦싊ꆣ뛸춨믵엲헍폫막욱쫕틦싊횮볤맘쾵쿠떱뢴퓓ꆣ쫗쿈ꎬ춨믵엲헍폫놾쫐뎡횮볤쿠뮥뚼믡폐펰쿬ꎬ늢쟒뒫떼랽쪽뢴퓓ꆣ뛔듋탭뛠뺭볃톧볒ꆢ뷰죚볒틑ퟶ맽쿠떱뛠뗄퇐뺿럖컶ꆣ웤듎ꎬ뻍막욱쫐뎡럖탐튵뛸퇔ꎬ춨믵엲헍뛔룷탐튵뺭펪ힴ뿶뗄펰쿬튲 1
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 쫇늻춬뗄ꎬ춨헍튻랽쏦믡룄뇤막욱쿖뷰쇷뗄쳹쿖싊ꎬ뷸뛸횱뷓떼훂막욱볛룱뗄뇤뚯ꎻ쇭튻랽쏦ꎬ춨헍뮹믡듓믡뫪맛뺭볃닣쏦펰쿬떽탐튵훐웳튵뗄뺭펪ힴ뿶ꎬ떼훂룷탐튵볤샻죳뗄듓탂럖엤뫍믺릹뗷헻ꆣ헢킩뚼믡펰쿬떽탐튵훐룷웳튵뗄막욱퓚놾쫐뎡뗄뇭쿖ꎬ벴룷탐튵막욱쫐뎡늻춬랴펦뗄늨뚯ꆣ 놾컄벴쾣췻춨맽붨솢쿲솿ퟔ믘맩쒣탍ꎨVARꎩ럖컶퓚춨믵엲헍뗄놳뺰쿂늻춬탐튵막욱뗄뇭쿖ꎬ폈웤쫇럖컶룷탐튵퓚춨믵엲헍뗄돥믷쿂뫳웚막볛듳훂뗄ퟟ쫆죧뫎ꆣ헢퇹뿉틔캪컒쏇뷗뛎탔엤훃닺쳡릩닎뾼ꆣ틲듋ꎬ놾컄뗄퇐뺿뛔컒쏇춶폐횱뷓뗄횸떼틢틥ꆣ 맺쓚췢퇐뺿ힴ뿶ퟛ쫶 웹뷱캪횹ꎬ틑폐듳솿퇐뺿춨믵엲헍폫막욱쫕틦싊믲막욱횸쫽횮볤맘쾵뗄컄쿗ꆣ틀뻝놾컄럖컶쮼슷ꎬ뿉틔붫쒿잰헢랽쏦쿠맘뗄퇐뺿컄쿗럖캪솽듳랽쏦ꎺ튻랽쏦쫇뾼달춨믵엲헍폫막쫐헻쳥늨뚯탔횮볤맘쾵뗄컄헂ꎬ튻냣틔춨믵엲헍뫍놾쫐뎡ퟛ뫏횸쫽캪럖컶뇤솿ꆣ쇭튻랽쏦쫇퇐뺿놾쫐뎡훐ꎬ폈웤쫇막욱쫐뎡훐룷탐튵횮볤막욱볛룱횮볤맘쾵뗄컄헂ꎬ웤훐짦벰룷탐튵횸쫽뗄솪뚯탔벰쿠뮥횮볤뗄펰쿬ꆣ늻맽헢솽샠컄헂뚼쎻폐붫춨믵엲헍폫탐튵횸쫽맘쾵튻웰헻쳥뾼싇ꆣ쿂쏦컒쏇뛔틑폐뗄컄쿗ퟶ킩뻟쳥닻쫶ꎺ 춨믵엲헍폫놾쫐뎡헻쳥ퟟ쫆뗄쿠맘탔럖컶 쫗쿈쫇맘폚춨헍폫막쫐헻쳥늨뚯탔횮볤맘쾵뗄럖컶ꆣ뷰죚뺭볃톧볒뾼싇춨믵엲헍폫놾쫐뎡쫕틦횮볤맘쾵뗄돶랢뗣쫇뾼달쓜럱춨맽놾쫐뎡ꎬ폈웤쫇막욱쫐뎡뗄닺엤훃ꎬ쓜럱폐킧뗖훆춨믵엲헍퓬돉뗄쯰쪧ꆣ뛸쫗쿈벴쫇럖컶퓚뫪맛닣쏦ꎬ춨헍폫놾쫐뎡헻쳥뇭쿖폐쪲쎴맘쾵ꆣ퓧퓚1970쓪틔잰ꎬ컷랽뺭볃톧볒웕뇩죏캪막욱쫇뫜뫃뗄춨믵엲헍놣횵욷ꆣ늢쟒춨맽뺭퇩쫽뻝럖컶쿔쪾ꎬ퓚뺭볃짏짽웚ꎬ퓚컂뫍뗄춨믵엲헍놳뺰쿂ꎬ막욱쫐뎡쫕틦싊폫춨헍듦퓚튻뚨돌뛈뗄헽쿠맘탔ꆣ헢훖맛뗣럻뫏쇋Fisherꎨ1930ꎩ쳡돶뗄솽헟ꎬ벴춨헍폫막욱쫕틦싊ꎬ쿠뮥뛀솢뗄볙쮵ꆣ늻맽퓚20쫀볍70쓪듺뫳ꎬ탭뛠톧헟ꎬ쿱Famaꎨ1981ꎩꎬDanthine&Donaldsonꎨ1986ꎩꎬGallagher&Taylorꎨ2002ꎩ뗈ꎬ틠ퟶ쇋듳솿뗄쪵횤퇐뺿ꎬ떫뗃떽쇋쿠랴뗄뷡맻ꎬ벴막 2
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 욱뗄쪵볊쫕틦싊폫춨믵엲헍싊쫇쿔훸뢺쿠맘뗄ꆣ횮뫳ꎬ뮹폐뫜뛠뷰죚뺭볃톧볒ퟶ쇋헢랽쏦뗄퇐뺿ꎬ늢뗃떽샠쯆뗄뷡맻ꆣ Jaeuk KhilꎬBong-Soo Leeꎨ2000ꎩ뾼달쇋1970훁1997쓪웚볤뚫쓏퇇맺볒뫍뗘쟸ꎬ틔벰쏀맺ꆢ냄듳샻퇇뗈ퟜ릲11룶맺볒뫍뗘쟸춨믵엲헍폫막욱쫕틦싊횮볤뗄맘쾵ꆣ퇐뺿랢쿖돽십살컷퇇돶쿖헽쿠맘탔ꎬ쏀맺캪죵헽쿠맘횮췢ꎬ웤쯻9룶맺볒뻹캪뢺쿠맘맘쾵ꆣ쯻쏇퓋폃뗄튲쫇쿲솿ퟔ믘맩ꎨVARꎩ쒣탍ꆣ Sangbae Kim, Francis In (2005) 춨맽킡늨럖컶랽램ꎬ뛔Fisher볙쮵뷸탐쇋탂뗄뾼달ꆣ랢쿖퓚뛌웚ꎨ1룶퓂쟸볤ꎩ뫍뎤웚ꎨ128룶퓂쟸볤ꎩ춨헍뫍막욱쫕틦싊캪헽쿠맘맘쾵ꎻ뛸퓚훐웚솽헟캪뢺쿠맘맘쾵ꆣ 떱좻ꎬ뮹쫇폐죧Crosbyꎨ2001ꎩ뗈뗄퇐뺿횧돖쇋Fisher뗄싛뛏ꆣ뛔폚짏쫶돶쿖뗄막욱쫕틦싊폫춨믵엲헍횮볤뗄맘쾵싛ꎬHess&Leeꎨ1999ꎩ뻍횱뷓쳡돶쇋막욱쫕틦싊폫캴풤웚춨믵엲헍싊뗄맘쾵쫇뻟폐늻좷뚨탔뗄ꆣ늢쟒뷸튻늽럖컶횸돶ꎬ뛔폚쪵쳥뺭볃늻춬뗄돥믷랽쪽ꎨ릩룸믲탨쟳돥믷ꎩꎬ막욱쫕틦싊폫춨믵엲헍믡돊쿖늻춬뗄쟷쫆맘쾵ꆣAntonio DíazꎬFrancisco Jareno(2009)춬퇹튲죏캪듦퓚늻춬뗄쿠맘맘쾵ꆣ 퓚맺쓚ꎬ듓20쫀볍90쓪듺뾪쪼튲슽탸폐쇋헢랽쏦컊쳢뗄퇐뺿ꆣ쇵뷰좫ꎬ십퇇쓐ꎨ2009ꎩ춨맽럖컶컒맺막욱쫐뎡쪵볊쫕틦싊폫춨믵엲헍맘쾵랢쿖ꎬ헢솽헟횮볤맘쾵폫막욱쫐뎡놾짭뗄훜웚탔폐맘ꆣ벴떱막욱쫐뎡뒦폚얣쫐믲태쫐쪱ꎬ춨믵엲헍풤웚폫훜웚돉럖뛔막욱쫕틦뗄펰쿬쫇룕뫃쿠랴뗄ꆣ헢튲뿉틔볤뷓쮵쏷“Fisher볙짨”뫍“듺샭볙짨”퓚늻춬뷗뛎돉솢ꆣ웤컄헂뮹횸돶쇋컒맺막욱쫐뎡춨믵엲헍폫막욱쫕틦횮볤맘쾵늢늻컈뚨ꎬ춨헍뛔막욱쫐뎡뗄뒫떼랽쪽뢴퓓ꆣ 쇵훒붭ꎨ2008ꎩ퓲춨맽붨솢VAR쒣탍ꎬ뾼달쇋92쓪7퓂훁07쓪8퓂횮볤춨믵엲헍폫막욱쫕틦싊횮볤맘쾵ꆣ뷡맻쿔쪾헢솽헟횮볤늢쎻폐쿔훸뗄헽뢺맘쾵ꎬ폫Hess&Leeꎨ1999ꎩ뗄맛뗣쿠춬ꆣ늻맽ꎬ틠폐늻춬뗄뗘랽쫇ꎬ쯻랢쿖틔2000쓪캪럖뷧뗣ꎬ퓚횮잰솽헟폐쿔훸뗄뢺쿠맘ꎬ횮뫳퓲쿔쿖캪헽쿠맘ꆣ 룟캪ꎨ2008ꎩ퇐뺿쇋2002쓪1퓂훁2008쓪1퓂웚볤컒맺막쫐막욱쪵볊쫕틦싊뫍춨믵엲헍싊뗄맘쾵ꆣ쪵횤럖컶뇭쏷뛌웚살뾴ꎬ막욱쫐뎡뗄쪵볊쫕틦싊폫춨믵엲헍싊횮볤폐ퟅ뷏잿뗄뢺쿠맘맘쾵ꎻ뛸뎤웚뛸퇔ꎬ퓲뇭쿖캪뢺쿠맘맘쾵ꆣ듋뷡싛ꎬ늻춬 3
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 폚“Fisher볙짨”ꎬ떫횧돖쇋Fama쳡돶뗄“듺샭킧펦볙쮵”ꆣ늢쟒ꎬ룟캪뮹쳡돶ꎬ퓚퇐뺿쪱볤뛎쓚ꎬ막욱쫐뎡춶늢늻쓜폐킧복짙춨헍듸살뗄쯰쪧ꆣ헢폫쇵뷰좫ꆢ췵럧퓆ꎨ2004ꎩꎬ키닅쇖ꎨ2006ꎩ뗈뗄맛뗣튲쫇튻훂뗄ꎬ쯻쏇뚼죏캪컒맺막욱쫕틦싊폫춨믵엲헍싊믹놾짏캪뢺쿠맘맘쾵ꆣ 쟱퓆늨ꎨ2009ꎩꎬ럖컶쇋컒맺막욱쫕틦싊폫믵뇒헾닟쒿뇪횮볤뗄뚯첬맘쾵ꆣ퇐뺿뷡맻폫룟캪ꎨ2008ꎩ믹놾짏튻훂ꎬ벴짏횤횸쫽쫕틦싊폫춨믵엲헍싊돊쿖뢺뗄쿠맘탔ꎬ늻듦퓚“Fisher킧펦”ꆣ쇭췢틠랢쿖짏횤횸쫽쫕틦싊폫뺭볃퓶뎤튲쎻폐쿠맘맘쾵ꎬ쯤좻룃쫕틦싊냼몬쇋춨믵엲헍뗄틲쯘ꎬ떫틀뻉늻쿔훸ꆣ 룕쏍뗈ꎨ2003ꎩ뗄퇐뺿뷡맻틠쿔쪾ꎬ퓚95쓪1퓂훁02쓪1퓂웚볤ꎬ컒맺놾쫐뎡쪵볊쫕틦싊폫춨믵엲헍벰뫪맛뺭볃뇤솿맘쾵늢늻쿔훸ꎬ폈웤쫇퓚뛌웚쓚ꆣ뎤웚뛸퇔ꎬ놾쫐뎡ꎬ폈횸막욱쫐뎡ꎬ쪵볊쫕틦싊폫춨헍랴뛸쫇돊쿖뷏쏷쿔뗄뢺쿠맘탔ꎬ폫쪵볊뫪맛뺭볃믮뚯폐튻뚨뗄헽쿠맘탔ꆣ ퟛ짏살뾴ꎬ퓚컒맺ꎬ춨믵엲헍폫놾쫐뎡ꎬ폈횸막욱쫐뎡ꎬ뗄쪵볊쫕틦싊뎤웚뛸퇔ꎬ뚼돊쿖쇋믲잿믲죵뗄뢺쿠맘탔ꎻ떱좻튲폐짙쫽퇐뺿횤쏷듦퓚튻뚨뗄헽쿠맘탔ꎬ폈웤쫇퓚뛌웚쓚ꆣ틲듋ꎬ춨헍폫막욱쫕틦싊횮볤맘쾵틀뻉쫇늻좷뚨ꆣ헢튲뷏쫊뫏폃VAR쒣탍살럖컶ꆣ 막욱쫐뎡훐룷탐튵막욱볛룱횮볤쿠맘탔뗄퇐뺿 쇭튻랽쏦벴쫇맘폚막욱쫐뎡훐룷탐튵횮볤막욱볛룱횮볤맘쾵쿠맘뗄퇐뺿ꆣ헢랽쏦뗄퇐뺿튲쫇럇뎣뛠ꎬ훷튪벯훐탐튵킧펦벰탐튵횮볤뗄싖뚯탔ꆢ맘솪탔ꆣ늻맽쯹ퟶ뗄듳늿럖헢킩퇐뺿늢쎻폐냑춨믵엲헍폫탐튵막욱뇤뮯뷡뫏웰살뾼싇ꆣ뻟쳥ퟛ쫶죧쿂ꎺ Kingꎨ1966ꎩ쫗쿈랢쿖쇋탐튵틲쯘뛔막볛늨뚯뗄쿔훸펰쿬ꎬMeyersꎨ1973ꎩ뫍Livingstonꎨ1977ꎩ뚼횤쪵쇋헢튻뷡싛ꆣ Cavaglia, S., Brightman, C., & Aked, M. (2000)춨맽뛔뷼쓪살탐튵쫕틦싊뗄쫽뻝럖컶ꎬ퇐뺿쿔쪾탐튵킧펦뛔막욱뗄펰쿬풽살풽훘튪ꎬ늢쟒틑뺭뎬맽쇋뗘쟸틲쯘뗄ퟷ폃ꆣ Chaug-Jung Wang뗈(2003)퓋폃틲ퟓ쒣탍럖컶쇋1990쓪훁2001쓪웚볤ꎬ웟룶춶쫐뎡뫍뛾쪮뛾룶릤튵횸쫽쫕틦싊살뫢솿탐튵킧펦뫍뗘쟸킧펦뗄쿠뛔훘튪탔ꆣ뷡맻 4
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 쿔쪾ퟔ1999쓪횮뫳ꎬ탐튵킧펦뾪쪼쿔훸폚뗘쟸킧펦ꆣ헢폫짏쏦Cavagliaꎨ2000ꎩ뗈맛뗣튻훂ꆣ 뛸맺쓚랢뇭뗄컄헂ꎬ퇮킡퇠뗈ꎨ2008ꎩ뛔컒맺막욱쫐뎡훐짏쫐릫쮾뗄막볛탐캪쳘헷뷸탐쇋럖탐튵춳볆퇐뺿ꆣ뗃떽뷡싛폐ꎺ탐튵뗄늻춬믡떼훂막욱쫕틦싊뷏듳뗄닮틬ꎬ헢훖닮틬퓚춳볆짏쫇쿔훸뗄ꎬ뛸웤쯻쫐뎡틲쯘퓲펰쿬막욱쫕틦싊쿠뛔뷏죵ꆣ 랶쇺헱뗈ꎨ2003ꎩ퓲퓋폃믘맩럖컶램듓뷘쏦쫽뻝뫍쪱볤탲쇐쫽뻝솽랽쏦ퟛ뫏럖컶뾼달쇋막욱탐튵믘놨싊뫍뗘쟸틲쯘뗄킧펦ꆣ뷡맻뇭쏷뮦쫐폐쏷쿔뗄탐튵뫍뗘쟸킧펦ꆣ 헅펨ꎨ2009ꎩ틠퓋폃쪱볤탲쇐럖컶랽램ꎬ뛔컒맺막쫐훐컥룶탐튵횸쫽뷸탐쇋쪵횤퇐뺿ꆣ럖컶뷡맻쿔쪾뮦쫐컥룶탐튵횸쫽횮볤늻듦퓚킭헻맘쾵ꎬ벴컞뎤웚컈뚨뗄뻹뫢맘쾵ꎬ떫뛌웚쓚솪뚯탔뷏캪쏷쿔ꆣ 닌캰뫪ꎨ2006ꎩ샻폃맶뚯믘맩뗄랽램틠럖컶쇋늻춬탐튵횸쫽솪뚯뗄뚯첬탐캪ꆣ랢쿖컒맺막욱쫐뎡탐튵횸쫽폐ퟅ쿠떱룟뗄쿠맘탔ꎬ벴쪹틑뺭업돽튻킩쾵춳탔뗄틲쯘ꆣ 평짏쏦컄쿗볲쫶뿉볻막욱쫐뎡뗄탐튵킧펦뫜쿔훸ꎬ늢쟒탐튵횮볤펰쿬틠뷏쏷쿔ꆣ ퟛ뫏짏쫶솽랽쏦뗄퇐뺿ꎬ컒쏇뿉횪춨믵엲헍싊폫막욱쫕틦싊횮볤폐ퟅ뢴퓓뗄펰쿬맘쾵ꎬ쟒막욱쫐뎡훐룷탐튵횮볤막욱쫕틦싊틠폐뷏듳뗄쿠맘탔ꆣ늻맽붫춨믵엲헍싊폫룷탐튵쫕틦싊뷡뫏웰살뾼달뗄퇐뺿뗄릤ퟷ뫜짙ꆣ놾컄헽웚탭퓚헢랽쏦ퟶ킩퇐뺿ꆣ 싛컄뗄퇐뺿쮼쿫ꆢ퇐뺿랽램뫍훷튪뒴탂뗣 놾컄뗄퇐뺿쮼쿫벰퇐뺿랽램 놾컄퇐뺿쮼쿫훷튪쫇ꎺ쫗쿈ꎬ틔뮦짮300탐튵횸쫽ퟷ캪뾼달탐튵쫕틦싊횸뇪ꎬ틔PPIퟷ캪춨믵엲헍뾼달횸뇪ꆣ춨맽붨솢쫊떱뗄VAR쒣탍ꎬ붫춨믵엲헍폫탐튵쫕틦튻춬틽죫떽쒣탍떱훐ꎬ뷸탐럖컶ꆣ웤듎ꎬ캪뇜쏢붨솢뗄쒣탍훐쓚짺뇤솿쫽쒿맽뛠ꎬ쓢붫뮦짮300쪮듳탐튵듳훂럖캪죽샠ꆣ믹폚쿈퇩뗄탅쾢뿉틔듳훂쇋뷢떽ꎬ퓚춨헍놳뺰쿂룷탐튵잰뫳웚뇭쿖믡폐뷏쏷쿔뗄늻춬ꎬ벴폐킩탐튵쫇퓚춨헍돵웚믡톸쯙랴펦ꎬ믱틦폚춨헍풤웚ꎻ뛸폐킩탐튵퓲돶쿖쿠랴뗄늨뚯ꎬ퓚춨헍첧춷쪱믡쯰몦튵쓚릫쮾쫕틦ꎬ헢튲믡랴펦퓚탐튵막볛짏ꎻ떱좻튲믡폐킩탐튵막볛뇭쿖폫춨헍늢쎻폐뛠듳뗄쿠 5
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 맘탔ꆣ믹폚듋ꎬ컒쏇붫쪮듳탐튵럖캪ꎺ쮳춨헍훜웚ꆢ랴춨헍훜웚ꆢ폫춨헍훜웚컞맘뗄죽샠ꆣퟮ뫳ꎬ컒쏇붫죽듳샠훐탐튵횸쫽폫춨헍뷡뫏웰살럖뇰붨솢VAR쒣탍ꎬ뷓ퟅ짮죫뾼달쯼쏇횮볤뗄맘쾵벰쿠뮥펰쿬ꎬ늢뛔쪵횤뷡맻ퟶ킩뛔뇈럖컶ꆣ 춨맽뛔뇈럖컶ꎬ뗚튻ꎬ컒쏇뿉틔뻀헽뾪쪼훷맛뛔탐튵럖샠쪱뿉쓜돶쿖뗄듭컳ꎬ듓뛸ퟶ돶쿠펦뗄뗷헻ꆣ뗚뛾ꎬ뿉틔퓋폃VAR쒣탍뷸탐뛌웚뗄럖컶풤닢ꆣ뿉틔뾼달춨헍돥믷쿂룷탐튵막볛뫳웚늨뚯ꎬ늢뿉틔춨맽랽닮럖뷢살닩뾴춨헍뛔폚탐튵횸쫽늨뚯탔뗄뷢쫍솦ꆣ믹폚헢킩럖컶ꎬ컒쏇벴뿉틔춨맽탐튵횸쫽퓚춨헍돥믷쿂늻춬뗄뇭쿖살뫏샭엤훃늻춬뷗뛎뗄막욱닺ꆣ헢뿉틔캪컒쏇춶쳡릩횱뷓뗄닎뾼ꆣ 뛸놾컄퇐뺿뻟쳥랽램벴쫇틔PPI뫍뮦짮300탐튵횸쫽캪믹뒡ꎬ쟒쫇럖뇰ퟷ캪춨헍뫍탐튵쫕틦싊뗄횸뇪ꎬ붨솢뷏캪뫏샭뗄VAR쒣탍ꎬ늢뷨폃Eviews 뫍MATLAB뗈춳볆럖컶죭볾ꎬ뛔톡퓱뗄퇹놾쫽뻝뷸탐럖컶뫍뷡맻볬퇩ꆣ 놾컄뗄훷튪뒴탂뗣 놾컄붫쫗쿈틽죫뮦짮300탐튵횸쫽ퟷ캪탐튵쫕틦싊횸뇪살뾼달룷탐튵막욱뗄뇭쿖ꎬ늢춨맽VAR쒣탍살ퟛ뫏럖컶춨믵엲헍폫룷탐튵쫕틦싊횮볤뗄맘쾵ꆣ 웤듎ꎬ믹폚쿈퇩탅쾢뫍탐튵횸쫽싶돥랴펦쳘헷붫뮦짮300쪮듳탐튵뮮럖캪죽듳샠ꎬ늢퓚쪵횤럖컶믹뒡짏쳡돶쿠펦뗄춶붨틩ꆣ 싛컄뗄훷튪뿲볜 뗚튻헂붫훷튪뷩짜놾컄뗄톡쳢놳뺰벰틢틥ꎬ늢룅쫶쇋쿖뷱퓚춨믵엲헍폫막욱쫕틦싊횮볤맘쾵퇐뺿뗄헻쳥ힴ뿶ꆣ늢횸돶놾컄뗄퇐뺿쮼쿫ꆢ랽램벰훷튪뗄뒴탂뗣ꆣ 뗚뛾헂붫훷튪뷩짜VAR쒣탍룅쓮ꆢ탔훊벰췘햹럖컶ꆣ 뗚죽헂붫훷튪뛔뮦짮300탐튵횸쫽쯹듺뇭뗄쪮듳탐튵ퟶ돵늽뗄럖샠ꎬ늢뛔춨헍뗈쫽뻝ퟶ쿪쾸뗄쮵쏷벰돵늽뒦샭ꆣ 뗚쯄헂틀뻝잰쏦샭싛벰돵늽뗄럖컶ꎬ붨솢뫏샭뗄VAR쒣탍ꆣ늢퓚붨솢뗄쒣탍믹뒡짏뛔탐튵횸쫽폫춨믵엲헍싊뷸탐럖컶ꆣ냼삨폐ꎺGranger볬퇩ꆢ킭헻럖컶ꆢ싶돥쿬펦몯쫽뫍랽닮럖뷢뗈ꎬ짮죫뾼달춨믵엲헍뛔탐튵횸쫽뗄펰쿬ꆣ 뗚컥헂퓲훷튪닻쫶놾컄훷튪뷡싛ꎬ럖컶듦퓚뗄컊쳢ꎬ쳡돶캴살뷸튻늽퇐뺿랽쿲ꆣ 6
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 2 쿲솿ퟔ믘맩쒣탍ꎨVARꎩ벰웤췘햹럖컶 쿲솿ퟔ믘맩쒣탍ꎨVARꎩ쫇럇뷡릹뮯뛠랽돌쒣탍ꎬ뫜쫊뫏쏨쫶훐킡탍맦쒣뗄쪱볤탲쇐뇤솿뗄쫽뻝짺돉맽돌ꆣ퓚VAR쒣탍훐ꎬ쯹폐뗄뇤솿뻹쿈퇩탔뗄볙뚨캪쓚짺뗄ꎬ늢쟒붨솢쪱볤탲쇐쿲솿살ퟛ뫏럖컶ꆣ쒣탍뗄풼쫸튲훷튪쫇춳볆쳘헷랽쏦뾼싇ꎬ뛸늻쫇믹폚늻좷뚨뗄뺭볃샭싛췆횪뗄쿈퇩쳵볾ꆣ쿠맘뗄뻟쳥샭싛닻쫶죧쿂ꎺ 쿲솿ퟔ믘맩쒣탍ꎨVARꎩ '뛔폚K캬쪱볤탲쇐쿲솿뗄벯뫏y=(y,y,",y)ꎬ컒쏇뿉틔춨맽릹붨튻룶VARt1t2tkt쒣탍살쏨쫶뇤솿횮볤뚯첬맘쾵ꆣ튻냣ꎬP뷗뗄믹놾뗄VARꎨPꎩ쒣탍뿉틔뇭쪾캪ꎺ y=Ay+Ay+"+Ay+u ꎨꎩ t1t−12t−2pt−pt'쪽ꎨꎩ훐ꎬAꎨi=1,2,",pꎩ캪K×K뷗쾵쫽뻘헳ꎬu=(u,u,",u)캪컳it1t2tKt닮쿮ꎬ폃틔쏨쫶쿲솿훍뫳쿮컞램뷢쫍믲쯦믺탔늿럖ꆣ컳닮쿮훐룷럖솿횮볤뿉틔쫇춬웚쿠맘뗄ꎬ떫폫ퟔ짭훍뫳웚늻쿠맘쟒폫뗈쪽폒뇟y(i=1,2,",p)틠늻듦퓚쿠맘탔ꆣt−i튻냣컳닮쿮u짨뚨캪뻹횵뗈폚쇣뗄쿠뮥뛀솢뗄냗퓫짹맽돌ꎬ늢쟒킭랽닮뻘헳t'Σ=E(uu)캪쪱볤탲쇐늻뇤뗄K×K뷗헽뚨헳ꆣ틠벴ꎬuퟷ캪뛀솢뗄쯦믺쿲솿ꎬ쟒utt싺ퟣ럖늼ꎺu~N(0,Σ)ꆣ tuퟶ볲떥탎쪽뇤뮻ꎬ쪽ꎨꎩ뿉볲킴캪ꎺ A(L)y=u ꎨꎩ tt2p웤훐ꎬA(L)=I−AL−AL−"−ALꎬ캪K×K뷗뗄닎쫽뻘헳ꎬL캪훍뫳쯣ퟓꆣk12쪽ꎨꎩ믲ꎨꎩ돆캪컞풼쫸쿲솿ퟔ믘맩쒣탍ꎨunrestricted VARꎩꆣ 욽컈벰떥헻뗄룅쓮 욽컈탔ꎺ퓚짏쪽ꎨꎩ훐ꎬ짨z캪닎쫽뻘헳A(L)탐쇐쪽det[A(L)]뗄룹ꆣ죧맻ꎺ 2p뛔폚|z|≤1ꎬ폐det(I−Az−Az−"Az)≠0 ꎨꎩ k12퓲돆짏쫶쿲솿ퟔ믘맩쒣탍VARꎨPꎩ쫇욽컈뗄ꆣ듋쪱ꎬ컒쏇뿉횪ꎨꎩ쪽훐닎 7
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 2p쫽뻘헳A(L)쯹뚨틥뗄탐쇐쪽det(I−Az−Az−"Az)뗄룹뻹실퓚뢴뫏떥캻풲횮k12췢ꎬ벴쪽ꎨꎩ싺ퟣ뿉쓦쳵볾ꎬ듋쪱뿉붫웤뇭쪾캪컞쟮뷗뗄쿲솿뮬뚯욽뻹ꎨVMA(∞)ꎩ뗄탎쪽ꎺ y=C(L)u ꎨꎩ tt−12웤훐ꎬC(L)=A(L),C(L)=C+CL+CL+",C=Iꆣ 0120k짏쫶맽돌ꎬ죧맻컒쏇볙짨쫽뻝맽돌듓컞쟮풶뗄맽좥뾪쪼ꎨt=0,±1,±2,"ꎩꎬ퓲룃맽돌쓜릻놣돖춳볆쳘헷늻뇤ꎬ벴짺돉뗄쪱볤탲쇐뻹횵ꆢ랽닮뫍킭랽닮뻹믡놣돖늻뇤ꆣ듋쪱벴돆릹퓬뗄쪱볤탲쇐컈뚨ꆣ 떥헻ꎺ죧맻탲쇐y뺭맽d뷗닮럖돉캪튻룶욽컈탲쇐ꎬ쟒d-1듎닮럖캪럇욽컈ꎬt쓇쎴컒쏇돆탲쇐y캪d뷗떥헻탲쇐ꎬ볇캪y~I(d)ꆣ쳘뇰ꎬ죧맻y놾짭캪튻욽컈탲ttt쇐ꎬ퓲돆캪쇣뷗떥헻탲쇐ꎬ쿠펦뗄볇캪y~I(0)ꆣ t탲쇐뗄떥헻뷗쫽뛔펦뗄쫇웤떥캻룹뗄룶쫽ꎬ틠믲쫇쪹탲쇐욽컈뛸닮럖뗄뷗쫽ꆣ튻냣뛸퇔ꎬ뇭쪾듦솿뗄쫽뻝뺭뎣뇭쿖캪2뷗떥헻ꎻ틔늻뇤볛룱뇭쪾뗄쫽뻝퓲뎣캪1뷗떥헻ꎻ뛸뇤뮯싊샠탍뗄쫽뻝뎣쫇욽컈뗄ꎬ벴0뷗떥헻ꆣ 킭헻뫍쿲솿컳닮탞헽쒣탍ꎨVECMꎩ 쿲솿컳닮탞헽쒣탍쫇붨솢퓚킭헻룅쓮뗄믹뒡짏뗄ꎬ틲듋퓚쮵쏷쒣탍횮잰컒쏇탨쿈뷩짜킭헻뗄룅쓮ꆣ '킭헻ꎨcointegrationꎩꎺ죧맻튻룶k캬쿲솿y=(y,y,",y)싺ퟣ쿂쏦솽룶쳵볾ꎺ t1t2tktꎨ1ꎩy~I(d)ꎬ벴y뗄쎿룶럖솿쫇d뷗떥헻ꎺy~I(d)ꎻ ttit'ꎨ2ꎩ듦퓚늻캪쇣뗄쿲솿βꎬ쪹뗃βy~I(d−b),0<b≤dꆣ t듋쪱ꎬy돆캪킭헻뗄ꎬ볇캪ꎺy~CI(d,b)ꆣ웤훐쿲솿β폖돆캪킭헻쿲솿ꆣ늢쟒tt뛔폚튻룶k캬쿲솿y뛸퇔ꎬퟮ뛠듦퓚k-1룶쿟탔컞맘뗄킭헻쿲솿ꆣ t쿲솿컳닮탞헽쒣탍ꎨVECMꎩꎺ평짏쫶킭헻룅쓮컒쏇횪뗀ꎬ킭헻맘쾵늢쎻폐퓚쪽ꎨꎩ쯹뇭쪾뗄뺭뗤뗄VAR쒣탍훐뗃틔쳥쿖ꆣ폈웤떱럖솿훐듦퓚럇욽컈뗄뇤솿쪱ꎬVAR늢늻쫇튻룶뫜뫃뗄쒣탍ꆣ캪뷢뻶듋컊쳢ꎬEngle뫍Granger붫킭헻폫컳닮탞헽쒣 8
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 탍뷡뫏웰살ꎬ틽짪돶쇋튻룶룼캪뫏쫊뗄쒣탍VECMꆣ웤뿉틔뇭쫶캪ꎺ ∆y=Πy+Γ∆y+Γ∆y+"+Γ∆y+u ꎨꎩ tt−11t−12t−2p−1t−p+1t웤훐i=1,2,",p−1ꎬ쾵쫽뻘헳Π=−(I−A−"−A)뫍Γ=−(A+"A)ꆣ k1pii+1pVECM랽돌ꎨꎩ풴폚VAR랽돌ꎨꎩꎬ컒쏇뿉춨맽붫쪽ꎨꎩ솽뇟룷복좥yt늢뷸탐뗷헻뗃떽ꆣ틲듋ꎬ튲뿉죏캪VECM쫇몬폐킭헻풼쫸뗄VAR쒣탍ꎬ벴펦폃폚뇤솿횮볤뻟폐킭헻맘쾵뗄럇욽컈쪱탲붨쒣ꆣ 늢쟒ꎬ쪵볊붨쒣훐ꎬ컒쏇튻냣볙짨쯹폐뇤솿훁뛠캪튻뷗떥헻I(1)ꎬ퓲튻뷗닮럖뫳∆y캪욽컈쿲솿ꎬ폚쫇Πy쫇캨튻냼몬튻뷗떥헻I(1)뇤솿뗄쿮ꆣ뛸평폚뇤솿볤듦퓚킭tt−1헻맘쾵ꎬ틲듋Πy뇘뚨튲쫇쇣뷗떥헻I(0)ꆣ춨뎣컒쏇돆Γ(=1,2,",p−1)캪뛌웚닎t−1i쫽ꎬΠy캪뎤웚늿럖ꆣ쒣탍ꎨꎩ틠뿉볲킴캪VECMꎨP-1ꎩꎬ폐쪱캪쇋쟸럖VARt−1쒣탍폫VECM쒣탍ꎬ컒쏇붫VAR쒣탍돆캪쮮욽냦놾쒣탍ꆣ 쒣탍뗄짨뚨 틲캪잰쏦닻쫶뗄쿲솿ퟔ믘맩쒣탍ꎨVARꎩ뫍VECM춨뎣냼몬쇋쿠떱쫽솿뗄닎쫽ꎬ캪쳡룟맀볆뺫뛈ꎬ컒쏇췹췹탨튪쪩볓튻킩풼쫸쳵볾틔복짙닎쫽뿕볤뗄캬쫽ꆣ뛸헢킩풼쫸쳵볾뿉틔믹폚뺭볃샭싛ꎬ틠뿉틔쫇살ퟔ폚웤쯻뗄럇퇹놾탅쾢믲춳볆랽램ꆣ ퟔ믘맩뷗쫽P뗄짨뚨 쿲솿ퟔ믘맩쒣탍ꎨVARꎩ훍뫳뷗쫽P뗄좷뚨쫇튻룶좨뫢좡짡뗄맽돌ꆣ튻랽쏦ꎬ쾣췻톡좡ퟣ릻듳뗄훍뫳쫽틔룼볓췪헻뗄뿌뮭쯹릹퓬쒣탍뗄뚯첬쳘헷ꎻ뛸쇭튻랽쏦ꎬ훍뫳뷗쫽풽듳ꎬ탨튪맀볆뗄닎쫽튲믡풽뛠ꎬ헢믡떼훂쒣탍ퟔ평뛈뗄쯰쪧ꆣ뛸헢튲헽쫇VAR쒣탍쿠뛔뷏캪늻ퟣ뗄뗘랽ꆣ틲듋ꎬ죧뫎톡퓱훍뫳뷗쫽늻뷶뷶쫇벼쫵컊쳢ꎬ췹췹뻟폐튻뚨뗄틕쫵탔ꆣ퓚컒쏇쪵볊펦폃훐ꎬ튻냣폐솽훖볬퇩랽램살좷뚨쒣탍뗄훍뫳뷗쫽ꎺ ꎨ1ꎩAIC탅쾢ힼ퓲뫍SCힼ퓲 AIC탅쾢ힼ퓲뫍SC탅쾢ힼ퓲쫇쪵볊퇐뺿훐ퟮ캪뎣폃뗄솽룶뇪ힼꆣ웤뇭듯쪽죧쿂ꎺ AIC=−2l/T+2n/T ꎨꎩ 9
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 SC=−2l/T+nlnT/T ꎨꎩ 2웤훐ꎬn=pk캪쒣탍ꎨꎩ훐놻맀볆뗄닎쫽뗄ퟜ쫽ꎬk쫇쓚짺뇤솿뗄룶쫽ꎬT캪쯹좡퇹놾쫽ꎬp캪훍뫳뷗쫽ꎬl퓲평쿂쪽좷뚨ꎺ TkTl=−(1+ln2π)−lndet(Σ) ꎨꎩ u22탨힢틢뗄쫇ꎬ튻킩닎뾼컄쿗훐뚨틥AIC뫍SC랽쪽폐뿉쓜늻춬ꆣ튻냣튪쟳SIC뫍AC탅쾢ힼ퓲뗄횵풽킡풽뫃ꆣ ꎨ2ꎩLRꎨ쯆좻뇈ꎩ볬퇩 쯆좻뇈볬퇩뗄쮼쿫뷏캪볲떥ꎬ벴틀듎볬퇩쾵쫽뻘헳훐쾵쫽뗄쿔훸탔ꆣ튻냣듓짨뚨뗄ퟮ듳훍뫳뷗쫽뾪쪼ꎬ볬퇩볙짨ꎺ Hꎺ훍뫳뷗쫽캪jꎬ쾵쫽뻘헳A뗄풪쯘뻹캪0ꎻHꎺ쾵쫽뻘헳A훐훁짙폐튻룶0j1j풪쯘쿔훸늻캪0ꆣ 2뛔펦뗄춳볆솿χ(Wald)죧쿂ꎺ 22LR=(T−m){ln|Σ|−ln|Σ|}~χ(k) ꎨꎩ j−1j웤훐m캪랽돌훐닎쫽룶쫽ꎺm=kjꎬk캪쓚짺뇤솿룶쫽ꆣΣꆢΣ럖뇰뇭쪾훍j−1j뫳뷗쫽캪ꎨj-1ꎩ뫍j뗄VAR쒣탍뗄닐닮킭랽닮뻘헳뗄퇹놾맀볆횵ꎬ벴ꎺ 'ΛΛ1|Σ|=det(uu) ꎨꎩ ∑jtT−pt2듓ퟮ듳훍뫳뷗쫽뾪쪼ꎬ죧맻LR>χ쪱ꎬ퓲뻜뻸풭볙짨ꎬ뇭쪾춳볆솿쿔훸ꎬ벴쾵쫽쿔훸틬폚쇣ꎻ럱퓲ꎬ늻뻜뻸풭볙짨ꆣ뷓ퟅꎬ쎿듎복짙튻룶훍뫳뷗쫽ꎬ횱떽뻜뻸풭볙짨캪횹ꆣ 킭헻볬퇩벰훈뗄좷뚨 뛔폚VECM뛸퇔ꎬ뇤솿횮볤킭헻맘쾵쫇릹붨룃쒣탍뗄믹뒡ꆣ뛸퓚VAR쒣탍훐ꎬퟮ뎣폃뗄쫇Johansen킭헻볬퇩ꆣJohansen볬퇩쫇믹폚믘맩쾵쫽뗄킭헻볬퇩ꎬ폐쪱튲돆캪JJꎨJohansen-Juseliusꎩ볬퇩ꆣ JJ볬퇩뗄믹놾쮼쿫죧쿂ꎺ 10
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 쫗쿈붨솢VARꎨPꎩ쒣탍 y=Ay+Ay+"+Ay+u ꎨꎩ t1t−12t−2pt−pt'웤훐ꎬy=(y,y,",y)훐룷럖솿뻹캪튻뷗떥헻I(1)ꎻu캪닐닮쿮ꆣ붫ꎨꎩt1t2tktt닮럖뫳뿉뗃떽쿂쏦컳닮탞헽탎쪽 p−1∆y=Πy+Γ∆y+u ꎨꎩ ∑tt−1it−iti=1pp웤훐ꎬΠ=A−I,Γ=−Aꆣ ∑∑iij=1j=i+1틲캪ꎬy캪튻뷗떥헻ꎬ닮럖뫳∆y,∆y(i=1,2,",p)뻹캪욽컈쿲솿ꆣ퓲튪놣횤∆yttt−it욽컈탔ꎬ횻탨Πy캪욽컈쿲솿ꎬ틠벴y,y,",y횮볤뻟폐킭헻맘쾵ꆣ뛸t−11,t−12,t−1k,t−1y,y,",y쫇럱뻟폐킭헻맘쾵좡뻶폚뻘헳Π뗄훈ꆣ틲듋ꎬ쓚짺뇤솿횮볤뗄킭1,t−12,t−1k,t−1헻맘쾵뗄볬퇩벴뮻캪볬퇩뻘헳Π뗄훈ꎬ늢쟒뻘헳Π뗄훈틠뗈폚킭헻맘쾵뗄훈ꆣ 뻘헳Π뗄훈뗈폚웤럇쇣쳘헷룹뗄룶쫽ꎬ틲듋뿉틔춨맽뛔볬퇩럇쇣쳘헷룹룶쫽살볬퇩쿲솿뗄킭헻맘쾵뫍킭헻쿲솿뗄훈ꆣ 뎣폃뗄볬퇩랽램폐솽훖ꎺ쳘헷룹벣볬퇩ꎨtrace볬퇩ꎩ뫍ퟮ듳쳘헷횵볬퇩ꆣ뻟쳥볬퇩랽쪽늻퓙ힸ쫶ꆣ 쒣탍뗄볬닢 쒣탍볬닢뿉틔냯훺컒쏇랢쿖튻킩쒣탍뗄좱쿝ꎬ듓뛸뿉틔춨맽튻킩럇쿟탔쿮믲룄뇤몯쫽탎쪽ꆢ뗷헻퇹놾믲볓죫웤쯼쫽뻝ꎬ믲헟짨램퓚쒣탍훐쳭볓웤쯼뇤솿믲훍뫳쿮뗈ꎬ틔룄뷸쒣탍ꆣ 튻냣폐ꎺퟔ쿠맘믬뫏볬퇩ꆢퟔ쿠맘뗄Breusch-Godfrey볬퇩ꎻ럇헽첬탔볬퇩ꎻARCH-LM볬퇩뗈ꆣ 쒣탍풤닢폫럖컶 춨맽뛔폚뻟쳥뗄뇤솿쫽뻝붨솢쇋쫊떱뗄쒣탍횮뫳ꎬ컒쏇벴뿉퓋폃폚뺭볃럖컶뫍뺭볃풤닢ꆣ 11
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 VARꎨ몬VECMꎩ쒣탍뗄풤닢 뛔폚틑붨솢뗄쒣탍쪽ꎨꎩꎬ컒쏇퓚뫶싔좷뚨쿮뫍췢짺뇤솿뗄잰쳡쿂ꎬ늢쟒볙뚨ut쒣탍닎쫽틑횪ꎬ캪뛀솢뗄냗퓫짹맽돌ꆣ듋쪱ꎬ쳵볾웚췻벴캪ퟮ킡뻹횵-랽닮ꎨMSEꎩ풤닢ꆣ 뻟쳥ꎺ죧퓚풤닢뗄돵쪼쪱볤뛎T쓚ꎬ평뗝맩퓋쯣뗃떽잰쿲h뷗풤닢ꎺ y=Ay+Ay+"+AyT+h|T1T+h−1|T2T+h−2|TpT+h−p|T ꎨꎩ 듋뒦ꎬ뛔폚j≤0ꎬ폐y=yꆣ폚듋쿠뛔펦뗄컳닮캪ꎺ T+j|TT+jy−y=uΦu+Φu+"+Φu ꎨꎩ T+hT+h|TT+h1T+h−12T+h−2h−1T+룃쪽ꎨꎩ뿉틔샻폃쿂쪽뷸탐솬탸쳦뮻뗃떽ꎺ sΦ=ΦA,s=1,2,"ꎻ s∑s−jj=1웤훐뛔폚j>p,Φ=I쟒A=0ꆣ헢뫍떥룶뇤솿쟩뿶쫇튻퇹뗄ꎬu캪t-1웚뗄튻0Kjt뷗풤닢컳닮ꎬ풤닢쫇컞욫뗄ꎬ벴풤닢웚췻횵뗄컳닮캪쇣ꆣ 뛔폚h뷗풤닢뗄MSE뻘헳캪ꎺ h−1''(h)=E{(y−y)(y−y)}ΦΦ ꎨꎩ ∑T+hT+h|TT+hT+h|T∑jujyj=0죧맻u쫇럇쿠맘냗퓫짹쟒늻튻뚨쯦쪱볤뛀솢ꎬ퓲죧쪽ꎨꎩ뗝맩뗃떽뗄풤닢뻍t쫇ퟮ폅뗄쿟탔풤닢ꆣ '폫떥룶뇤솿쟩뿶샠쯆ꎬ뛔폚욽컈맽돌뗄풤닢MSEΦ쫕솲폚y뗄컞쳵볾킭랽∑tju∞''닮뻘헳틲듋ꎬ뛔폚욽컈맽돌뛸퇔ꎬ웤뎤E{(y−E(y))(y−E(y))}=ΦΦꆣ∑∑ttttjujj=0웚풤닢뗄랽닮튲쫇폐뷧뗄ꆣ뛸뛔폚럇욽컈뗄떥헻맽돌ꎬ쯦ퟅh쟷쿲폚컞쟮듳ꎬMSE춨뎣쫇컞뷧뗄ꆣ벴죧맻쎻폐풤닢웚쿞풼쫸ꎬ풤닢뗄늻좷뚨탔뻍믡퓶볓ꆣ 떱좻ꎬ죧맻붨솢뗄쫇쿠뛔펦뗄VECM쪱ꎬ캪풤닢룼볓랽뇣ꎬ뿉틔붫웤뮯캪VARꎬ틠뿉톡퓱횱뷓듓VECM뗃떽뗈킧뗄풤닢랽돌ꆣ 12
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 룱삼뷜틲맻맘쾵럖컶 뚨틥ꎺ죧맻뇤솿y폐훺폚퓶뷸뛔쪱볤탲쇐뇤솿y뗄풤닢ꎬy뻍돆캪y뗄2t1t2t1tGranger풭틲ꆣ뛸죧맻붫y뗄맽좥늿럖듓탅쾢벯훐좥돽ꎬ쟒퓚죎뫎풤닢웚쓚뚼늻룄2t뇤y뗄ퟮ폅풤닢횵뗄뮰ꎬ쓇쎴y늻쫇y뗄Granger풭틲ꆣ 1t2t1t뛸퓚룟캬쾵춳훐ꎬ솽뇤솿횮볤뗄틲맻맘쾵퓲뷏캪뢴퓓ꆣ틲캪튻룶뇤솿벯쫇쇭튻룶뇤솿벯뗄Granger풭틲늢늻뇘좻틢캶ퟅꎬ잰튻룶뇤솿훐뗄쎿룶풪쯘쫇뫳튻룶뇤솿훐쎿룶풪쯘뗄Granger풭틲ꆣ죧죽캬VAR훐ꎺ yαααy1t11,i12,i13,i1,t−ipy=y=αααy+u ꎨꎩ ∑t2t21,i2,i23,i2,t−iti=1ααα331,32,33,3,−퓚헢튻쾵춳훐ꎬ볬닢y뛔y뗄틲맻맘쾵탨춨맽틔쿂볬퇩ꎺ 2t1tH:α=0,뛔폚i=1,2",pꎻ 012,i떫듋볬퇩폫뛾캬볬퇩춳볆랽쪽늻춬ꆣ틲캪믹폚짏쫶Granger틲맻뗄뚨틥ꎬ퓚룼룟캬뗄VAR맽돌떱훐ꎬ웤쾵쫽뗄닺짺폐ퟅ룼뢴퓓뗄럇쿟탔뗄풼쫸ꆣ 춨뎣쟩뿶쿂ꎬ죧맻솽룶뇤솿횮볤듦퓚튻룶킭헻맘쾵ꎬ쓇쎴훁짙퓚튻룶랽쿲짏듦퓚Granger틲맻맘쾵ꆣ 쒣탍췘햹——뷡릹쿲솿ퟔ믘맩쒣탍뫍싶돥쿬펦 튻냣뗄VAR쒣탍뷶쏨쫶쇋쫽뻝뚯첬쳘헷ꎬ죧맻늻뾼싇쳘뚨뗄뺭볃뷡릹튻냣뫜쓑샭뷢헢훖볲뮯탎쪽뗄쿲솿ퟔ믘맩쒣탍ꆣ컒쏇쯹뗃돶뗄틑맀닎쫽훐ꎬ죧맻폫쳘뚨뗄욫뫃ꆢ벼쫵벰ퟮ폅뮯풭퓲뗄뷡릹닎쫽쿠솪쾵ꎬ퓲듳뛠쎻폐쪲쎴뺭볃몬틥ꎬ늢쟒뮹믡퓢폶“슬뾨쮹엺에”ꆣSimsꆢBernankeꆢShapiro&Watson틲듋쳡돶쇋튻훖탂뗄볆솿뺭볃쒣탍——SVAR벰SVECMꆣ 뷡릹쿲솿ퟔ믘맩쒣탍ꎨSVARꎩ 컒쏇횱뷓뷩짜ퟮ뎣폃뗄뷡릹쿲솿컳닮탞헽쒣탍ꎬ죧쿂ꎺ ******A∆y=Πy+Γ∆y+Γ∆y+"+Γ∆y+CD+Bz+vtt−11t−12t−2p−1t−p+1ttt ꎨꎩ 13
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 '웤훐y=(y,y,",y)캪튻룶(K×1)캬쓚짺뇤솿쿲솿ꎬz캪튻췢짺쯦믺뇤솿쿲t1t2tKtt****솿ꎬD캪냼몬쯹폐뗄좷뚨쿮ꎬΠꆢΓ(=1,2,",p−1)ꆢC뫍B뻹캪뷡릹쪽닎쫽뻘tj헳ꎻv캪컳닮쿮ꎬ캪튻쇣뻹횵ꆢ쪱탲늻뇤뗄킭랽닮뻘헳뗄냗퓫짹맽돌ꆣ떱(K×K)뷗t뻘헳A뿉쓦쪱ꎬ벴뿉쒣탍뮯y훐뇤솿횮볤뗄벴쪱맘쾵ꆣ tSVARꎨSVECMꎩ쒣탍훐뗄훐탄뇤솿쫇뷡릹돥믷ꆣ떫헢킩돥믷늻뿉풤볻ꎬ늢쟒뿉짺돉튻룶K캬쪱볤탲쇐쿲솿y쿟탔뚯첬뗄쫤죫뇤솿ꆣ틲듋ꎬ헢킩돥믷훷튪폫쪽ꎨꎩt훐뗄닐닮쿮폐맘ꆣ 늻맽ꎬ튻냣쟩뿶쿂닐닮뇤솿늢늻평죎뫎뺭볃쳵볾뻶뚨ꎬ틲듋컒쏇뿉틔붫웤쫓캪췢짺뇤솿ꆣ퓲쪽ꎨꎩ뿉틔볲뮯캪ꎺ ****A∆y=Πy+Γ∆y+Γ∆y+"+Γ∆y+v ꎨꎩ tt−11t−12t−2p−1t−p+1t뷸튻늽뇤탎뿉뗃웤VAR탎쪽ꎺ ***Ay=Ay+Ay+"+Ay+ε ꎨꎩ t−11t−12t−2pt−pt*듋쪱ꎬ쒣탍붫럇뎣뇣폚럖컶ꎬ쳘뇰쫇떱y뻹캪쇣뷗떥헻ꎬ벴욽컈뇤솿쪱ꆣ쪽훐Ati−1캪K×K뷗뻘헳ꆣ늢쟒떱뻘헳A뿉쓦쪱ꎬ뗈쪽솽뇟춬쪱돋틔Aꎬ벴뗃떽컒쏇ퟮ뾪쪼뺭뗤뗄VAR뫍VECM랽돌쪽ꆣ 싶돥쿬펦럖컶 싶돥쿬펦몯쫽ꎨIFꎩ럖컶랽램쫇뾼달떱튻룶컳닮쿮랢짺뇤뮯쪱ꎬ믲쿠떱폚쒣탍쫜떽쒳훖돥믷쪱뛔쒣탍쾵춳뗄펰쿬ꆣ 떱쪱볤탲쇐y캪욽컈맽돌I(0)쪱ꎬ쟒쒣탍볈뚨쪱ꎬ뇤솿뗄돥믷뿉틔뇭쪾돉튻룶t뮬뚯욽뻹ꎨMAꎩ맽돌ꎺ y=Φu+Φu+Φu+" ꎨꎩ t0t1t−12t−2s웤훐ꎬΦ=Iꎬ쟒Φ=ΦA,s=1,2,"ꎬ듋쪽뿉틔춨맽뗝맩랽쪽볆쯣뗃떽ꆣ 0Ks∑s−jj=1뛸ꎨꎩ쪽훐쾵쫽벴뿉뷢쫍쾵춳쫜떽뗄돥믷랴펦ꆣ늢쟒ꎬ싶돥뗄킧펦폐솽훖늻춬뗄킧맻ꎬ좡뻶폚쒣탍놾짭뗄컈뚨탔ꆣ뻟쳥럖컶죧쿂ꎺ 14
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 ꎨ1ꎩ떱쒣탍욽컈쪱ꎬ벴폐s→∞쪱ꎬΦ→0ꆣ퓲뿉횪싶돥뗄킧펦쫇퓝쪱뗄ꎬ늢s쟒돥믷뗄킧펦쯦ퟅ쪱볤뗄쇷쫅훰붥복죵ꆣ 폐쪱컒쏇룼맘힢폫싶돥뗄랴펦횮샛믽킧펦ꎬ듋킧펦뿉틔평Φ볓ퟜ뗃떽ꆣ죧ꎬ쯹s폐쪱웚뗄샛믽킧펦뿉틔뇭쪾캪ꎺ ∞−1Φ=Φ=(I−A−A−"−A) ꎨꎩ ∑sK12ps=0듋쪽퓚VAR캪욽컈뗄쳵볾쿂돉솢ꆣ ꎨ2ꎩ떱쒣탍캪럇욽컈쪱ꎬ벴s→∞쪱ꎬΦ뫜폐뿉쓜늻쫕솲폚쇣ꆣ듋쪱ꎬ튻킩돥s믷믡뻟폐폀뻃킧펦ꆣ 컳닮랽닮럖뷢 뛔풤닢뗄랽닮ퟶ킩럖뷢튲쫇럖컶쿲솿ퟔ믘맩쒣탍뫍쿲솿컳닮탞헽쒣탍뗄튻훖뎣폃랽램ꆣ틲캪춨맽뛔풤닢랽닮뗄럖뷢횮뫳뿉틔럖컶쎿튻룶뷡릹돥믷뛔쓚짺뇤솿뇤뮯ꎨ튻냣폃랽닮살뛈솿ꎩ뗄릱쿗뛈ꎬ벴뿉뷸튻늽움볛늻춬뇤솿돥믷뗄훘튪탔ꆣ 퓚듋뷩짜뗄랽램ꎬ평Sims폚1980쓪쳡돶ꎬ쫇튻훖뷏캪듖닚뗄뚨솿럖컶뇤솿횮볤펰쿬맘쾵뗄랽램ꆣ컒쏇평잰쏦믘맩쒣탍풤닢샭싛횪ꎬh뷗풤닢컳닮뿉뇭쪾캪ꎺ y−y=uΦu+Φu+"+ΦuT+hT+h|TT+h1T+h−12T+h−2h−1T+ ꎨꎩ −1뛸뛔폚탂탅쾢뇭쪾뗄컳닮캪ꎺε={ε,ε,",ε}=BAuꎬ퓲폐ꎺ t1t2ttty−y=Ψε+Ψ+"+ΨT+hT+h|T0T+h1T+h−1h−1T+1 ꎨꎩ −1쪽훐Ψ=ΦABꎬ컒쏇뚨틥Ψ훐뗚i탐j쇐뗄풪쯘캪Ψꎬ퓲풤닢훐컳닮쿲솿jjnij,n뗄뗚K룶풪쯘캪ꎺ h−1y−y=(Ψε+Ψε"+Ψε) ꎨꎩ T+hT+h∑|Tk1,nT+h−nk2,nT+h−nkK,nK,T+h−nn=0볙뚨ε캪벴쪱ꆢ탲쇐늻쿠맘뗄ꎬ쟒퓚뷡릹훐듦퓚떥캻랽닮ꎬ쓇쎴컒쏇뿉뗃떽쿠kt펦뗄컳닮랽닮캪ꎺ 15
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 h−1K2222222σ(h)(ψ+ψ+"+ψ)(ψ+ψ+"+ψ) ꎨꎩ k∑k1,nk2,nkK,n∑kj,0kj,1kj,h−1=0=1222웤훐ꎬψ+ψ+"+ψ벴쫇뇤솿J뛔뇤솿K뗄h뷗컳닮랽닮뗄릱쿗ꆣ뛸죧kj,0kj,1kj,h−1맻붫ε뾴돉쫇i뇤솿뗄돥믷ꎬ퓲헢룶뷢쫍뻍쫇뿉틔뷓쫜뗄ꆣ뷸튻늽ꎬ컒쏇뿉틔뗃떽it뇤솿j뛔폫풤닢랽닮릱쿗뗄냙럖뇈ꎺ 2222ω(h)=(ψ+ψ+"+ψ)/σ() ꎨꎩ kjkj,0kj,1kj,h−1k떱좻평폚닎쫽맀볆뗃떽뗄뇤솿춨뎣폐ퟅ늻춬뗄풤닢ꎬ쯹틔룃풤닢컳닮랽닮풪쯘뗄뷢쫍뇤솿춬뷡릹탔싶돥뗄쿬펦튻퇹ꎬ뻹듦퓚뷏듳뗄훊틉ꎬ틲캪쯻쏇뻹틔뫳웚뗄솿캪믹뒡ꆣ 16
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 3 탐튵쫕틦싊뗈쿠맘쫽뻝쮵쏷벰돵늽럖컶 뛔죎뫎믹폚쫽솿럖컶뗄퇐뺿뛸퇔ꎬ쒣탍쫽뻝훊솿훘튪탔컣펹훃틉ꆣ퓚듋ꎬ뛔톡퓱뗄쫽뻝횸뇪뷸탐쮵쏷늢ퟶ믹놾뗄럖컶ꆣ 춨믵엲헍싊뗄뫢솿벰쫽뻝럖컶 뾼달춨믵엲헍쪱ꎬ쫗튪쏦뛔뗄컊쳢벴쫇죧뫎뛈솿춨믵엲헍ꆣ컒쏇횪뗀춨믵엲헍횸뗄쫇튻뛎쪱웚쓚컯볛쮮욽뗄뇭쿖ꆣ틲듋컒쏇탨튪톡퓱뫏쫊뗄컯볛횸쫽살뫢솿춨헍ꆣ 횸뇪뗄톡좡 튻냣뎣폃뗄컯볛횸쫽폐죽훖ꎺ쿻럑헟볛룱횸쫽CPIꆢ짺닺헟볛룱횸쫽PPI뫍맺쏱짺닺ퟜ횵GDP욽볛횸쫽ꆣ샮잿ꎨ1997ꎩ퓸뛔춨헍횸뇪ퟶ맽퇐뺿ꎬ죏캪CPI뻟폐욽뻹컯볛횸쫽탔훊ꎬ쫊틋듺뇭튻냣컯볛쮮욽ꆣ뛸헅솢좺뗈ꎨ1997ꎩ뫍헂뫬퓲돖늻춬틢볻ꎬ헅솢좺죏캪쿻럑헟볛룱횸쫽훷튪쫇쫐뎡돉쫬뗄릤튵뮯맺볒닢뛈춨헍뗄횸뇪ꎬ뛸뛔폚랢햹훐맺볒ꆢ믲튻룶맺볒퓚웤뺭볃웰량쪱웚ꎬ펦훷튪닎뾼WPI믲PPIꎻ헂뫬뗄퇐뺿뇭쏷ꎬCPI뿉틔뺫좷뗘뫢솿쿻럑볛룱ꎬ떫늢늻쓜뫜뫃뗘뛈솿뺭볃뗄헦쪵볛룱톹솦ꎬCPI닢뛈뗄쫇뺭볃훐쿻럑늿쏅뗄볛룱쮮욽ꎬ늻쓜랴펳춶뫍닺뗈쇬폲뗄볛룱ퟷ폃ꎬ맊죏캪CPI늻쓜랴펳훐맺쪵볊춨헍쮮욽ꆣ쇭췢컒쏇뮹뿉틔닎뾼컢샲샲뗈ꎨ2008ꎩ뫍뛅펱뿼ꆢ샮웫쇖ꎨ2008ꎩ뛔CPI폫막쫐횸쫽맘쾵뗄퇐뺿훐랢쿖ꎬCPI뛔막쫐횸쫽펰쿬뷏킡ꆣퟛ짏ꎬ컒쏇뿉횪ퟷ캪뿉쓜쫇ퟮ캪쫬쾤뗄쿻럑헟볛룱횸쫽CPI늢늻쫇튻룶솼뫃뗄춨헍횸뇪ꎬ폈웤쫇퓚컒쏇퇐뺿놾쫐뎡뗄춶럖컶쪱ꆣ틲듋ꎬ좨뫢좡짡ꎬ컒쏇붫톡좡틔쿠뛔뺫좷뗄PPIퟷ캪춨믵엲헍뗄컯볛횸뇪ꆣ 쫽뻝럖컶 컒쏇톡좡뗄퇹놾쫽뻝쪱볤뛎캪2002쓪1퓂훁2010쓪1퓂ꆣ쫽뻝틔훐맺맺볒춳볆뻖랢늼뗄횸쫽캪ힼꆣ 컒쏇뚨틥R_PPI캪톡좡쪱볤뛎PPIꎨ짏쓪춬퓂캪100ꎩ뗄춬뇈퓶뎤싊ꎻL_PPI캪PPI좡뛔쫽뫳logꎨPPIꎩ뗄쫽횵ꆣ솽헟퓚퇹놾톡좡쪱볤뛎쓚뗄쪱탲춼볻쿂쏦춼뫍춼ꎺ 17
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 R_PPI12840-4-8-1220022003200420052006200720082009 춼 PPI춬뇈퓶뎤싊뗄쪱탲춼 춼 L_PPI쪱탲춼 평짏쏦춼뿉듳훂에뛏쪱볤탲쇐L_PPI뗄늨뚯듦퓚뷘뻠쿮뛸컞쪱볤쟷쫆ꎻퟶ튻뷗닮럖뫳틀뻉믡놣돖풭살탔훊ꎬ벴듦퓚뷘뻠쿮뛸컞쪱볤쟷쫆쿮ꆣ뷓쿂살컒쏇뛔L_PPIퟶ욽컈탔볬퇩ꎬ톡폃뗄볬퇩랽쪽쫇ퟮ캪뎣폃뗄퓶맣뗏믹-뢻샖ꎨADFꎩ볬퇩뫍쮫PꎨPPꎩ볬퇩ꎬ늢쟒컒쏇훍뫳쿮ퟮ듳횵짨훃캪11ꆣ볬퇩뗄뷡맻평죧쿂ꎺ (1)ADF볬퇩ꎺ 컒쏇틀듎뛔쪱볤탲쇐L_PPI뫍튻뷗닮럖뫳ퟶADF볬퇩ꎬ볬퇩뗄뷡맻럖뇰쿔쪾퓚뇭뫍뇭훐ꆣ 뇭 L_PPI욽컈탔볬퇩ꎨADFꎩ뷡맻 t-Statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level 5%% 18
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 뇭 L_PPI튻뷗닮럖욽컈탔볬퇩ꎨADFꎩ뷡맻 t-Statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level 5%%평짏쏦뷡맻뿉횪L_PPI놾짭쫇럇욽컈뗄쪱볤탲쇐ꎬ튻뷗닮럖횮뫳캪욽컈탲쇐ꎬ벴L_PPI~I(1)ꆣ ꎨ2ꎩPP볬퇩ꎺ 춬퇹컒쏇튲뛔쪱볤탲쇐L_PPI뫍튻뷗닮럖뫳ퟶPP볬퇩ꎬ볬퇩뷡맻럖뇰쿔쪾퓚뇭뫍뇭훐ꆣ 뇭 L_PPI욽컈탔볬퇩ꎨPPꎩ뷡맻 Adj. t-Stat Prob.* Phillips-Perron test statistic Test critical values: 1% level 5%%뇭 L_PPI튻뷗닮럖욽컈탔볬퇩ꎨPPꎩ뷡맻 Adj. t-Stat Prob.* Phillips-Perron test statistic Test critical values: 1% level 5%%평짏쏦PP볬퇩뷡맻뿉틔뾴돶ꎬL_PPI틠럇욽컈ꎬ튻뷗닮럖뫳퓚5%쿔훸탔쿂뻜뻸풭볙짨ꎬ벴튻뷗닮럖욽컈ꆣ쯹틔ꎬ컒쏇뿉뷓쫜L_PPI캪튻뷗떥헻I(1)탲쇐ꆣ헢폫ADF볬퇩뷡맻쿠춬ꆣ ퟛ뫏짏쏦솽훖볬퇩뷡맻뿉횪L_PPI캪럇욽컈탲쇐ꎬ튻뷗닮럖뫳뿉틔뮯캪욽컈탲쇐ꆣ벴쫴폚튻뷗떥헻탲쇐ꎬ뇭쪾캪ꎺL_PPI~I(1)ꆣ 19
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 뮦짮300탐튵럖샠벰횸쫽쫽뻝럖컶 뛔폚탐튵쫕틦싊뗄뾼달ꎬ컒쏇틔훐횤횸쫽릫쮾폚2007쓪7퓂2죕랢늼뗄10횻뮦짮300탐튵횸쫽ퟷ캪뫢솿뗄횸뇪ꆣ룃릫쮾랢늼뗄룃탐튵횸쫽럖뇰쫇ꎺ뮦짮300쓜풴ꆢ풭닄쇏ꆢ릤튵ꆢ뿉톡쿻럑ꆢ훷튪쿻럑ꆢ튽튩컀짺ꆢ뷰죚뗘닺ꆢ탅쾢벼쫵ꆢ뗧탅튵컱ꆢ릫폃쫂튵10듳샠ꆣ룷탐튵횸쫽뗄믹웚뻹캪2004쓪12퓂31죕ꎬ믹뗣뻹캪1000뗣ꆣ웤룷듳샠탐튵훐막욱퇹놾뿕볤평뮦짮300횸쫽뗄300횻돉럖막ퟩ돉ꆣ탐튵럖샠뗄랽램뷨본쇋맺볊훷쇷뗄탐튵럖샠뇪ힼꎬ늢뷡뫏컒맺짏쫐릫쮾ퟔ짭뗄쳘뗣뷸탐쇋뗷헻ꆣ 컒쏇톡좡뗄뮦짮300탐튵횸쫽쫽뻝쪱볤뛎캪ꎺ2002쓪1퓂4죕훁2010쓪1퓂29죕ꆣ캪폫퓂뛈PPI쫽뻝놣돖튻훂ꎬ탨붫탐튵횸쫽쫽뻝틠뮻캪퓂뛈쫽뻝ꆣ뻟쳥랽쪽쫇붫쎿퓂떱훐쯹폐뾪엌죕웚뗄쫕엌횸쫽좡욽뻹횵ꎬ좻뫳ퟷ캪룃퓂횸쫽쫽뻝ꆣ쿪볻뢽슼ꆣ 뮦짮300쪮듳탐튵뷸튻늽뮮럖 믹폚쿈퇩뗄탅쾢컒쏇뿉틔듳훂쇋뷢떽ꎬ퓚춨헍놳뺰쿂룷탐튵뫳웚뇭쿖믡폐뷏쏷쿔뗄늻춬ꎬ폐킩탐튵쫇퓚춨헍돵웚믡톸쯙랴펦ꎬ믱틦폚춨헍풤웚ꎻ뛸폐킩탐튵퓲돶쿖쿠랴뗄늨뚯ꎻ뛸폐킩탐튵막볛뇭쿖폫춨헍늢쎻폐뛠듳뗄쿠맘탔ꆣ믹폚듋ꎬ컒쏇붫쪮듳탐튵럖캪ꎺ쮳춨헍훜웚ꆢ쓦춨헍훜웚ꆢ폫춨헍훜웚쿠맘뷏죵죽샠ꆣ돌캰쟬ꎨ2009ꎩꆢ뗔열ꆢ컢뢻병뗈ꎨ2004ꎩ뫍샮뗈ꎨ2009ꎩ믹폚룷ퟔ뺭퇩럖컶ꎬ뚼쳡돶뗄튻킩퓚춨헍놳뺰쿂뗄탐튵엤훃닟싔ꆣ쇭췢ꎬ컒쏇춨맽붫쪮듳탐튵횸쫽늨뚯쟩뿶ꎬ뿉틔쿈뷏캪듖싔뗘붫쪮듳탐튵럖캪ꎺ쮳춨헍훜웚탐튵ꎺ쓜풴ꆢ풭닄쇏ꆢ훷튪쿻럑ꆢ뷰죚뗘닺ꎻ쓦춨헍훜웚탐튵ꎺ릤튵ꆢ뿉톡쿻럑ꆢ튽튩컀짺ꎻ폫춨헍훜웚쿠맘뷏죵탐튵ꎺ탅쾢벼쫵ꆢ뗧탅ꆢ릫폃쫂튵ꆣ쿂춼쫇쪮듳탐튵횸쫽퓚톡좡쟸볤쓚쪱탲춼ꎺ 20
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 쿻럑횸쫽뿉톡횸쫽탅쾢횸쫽뷰죚횸쫽뗧탅횸쫽릫폃횸쫽닄쇏횸쫽릤튵횸쫽쓜풴횸쫽튽튩횸쫽10000900080007000600050004000300020001000015913172125293337414549535761656973778185899397 춼 쪮듳탐튵횸쫽퓂뛈욽뻹횵쪱탲춼 퓚듋컒쏇늢늻탨튪뛔탐튵뗄럖샠ퟶ맽뛠뗄쮵쏷ꎬ틲캪컒쏇뫳쏦뿉틔럖뇰붨솢VAR쒣탍ꎬ퓋폃싶돥쿬펦몯쫽뿉틔뾼달럖샠탐튵뛔돥믷뗄뫳웚뇭쿖ꆣ헢튻랽쏦뿉틔뗃떽뻟쳥룷탐튵뛌웚쓚쫜돥믷뫳뗄늨뚯쟩뿶ꎬ쇭튻랽쏦튲헽쫇믹폚늨뚯쟩뿶뗄닮뇰ꎬ럖컶웤훐룷탐튵뛔춨헍돥믷랴펦뗄늻춬ꆣ횮뫳컒쏇뿉틔붫뛔돥믷랴펦샠쯆뗄탐튵훘탂맩캪춬튻듳샠ꎬ헢뻍뿉틔뻀헽컒쏇횮잰뛔탐튵폫춨믵엲헍돥믷맘쾵뗄뮮럖ꆣ 욽컈탔럖컶 VAR쒣탍훐ꎬ룷쓚짺뇤솿ퟔ짭뗄욽컈탔럇뎣훘튪ꆣ틲듋ꎬ퓚붨솢VAR쒣탍횮잰ꎬ컒쏇탨튪뛔룷뇤솿뷸탐떥헻탔럖컶ꎬ벴탨볬퇩뇤솿뗄욽컈탔ꆣ 평폚볬퇩맽돌쿠춬ꎬ컒쏇늻탨붫쎿룶탐튵횸쫽뗄볬퇩뗄쿪쾸맽돌튻튻쇐돶ꆣ틔뗚튻듳샠훐ꎬ벴쮳춨헍훜웚탐튵ꎨ쓜풴ꆢ훷튪쿻럑ꆢ풭닄쇏ꆢ뷰죚뗘닺쯄듳탐튵ꎩ횸쫽캪듺뇭ꎬ뛔룃쯄듳탐튵횸쫽틀듎ퟶ욽컈탔볬퇩ꎬ볬퇩랽램춬퇹닉폃뎣폃뗄ADF볬퇩뫍PP볬퇩ꆣ늻맽캪놣횤탐튵횸쫽쫽뻝솿벶폫L_PPI쿠춬ꎬ틠붫룷탐튵횸쫽쿈좡뛔쫽ꆣ룃쯄듳탐튵횸쫽욽컈탔볬퇩뗄뷡맻볻뇭ꆣ 웤훐ꎬ뇤솿L_ENꆢL_MSꆢL_FEꆢL_RM럖뇰뇭쪾좡뛔쫽뫳쓜풴ꆢ훷튪쿻럑ꆢ 21
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 뷰죚뗘닺ꆢ풭닄쇏횸쫽ꆣ 뇭 쮳춨헍훜웚탐튵횸쫽쫽뻝욽컈탔볬퇩뷡맻 탐튵 뇤솿뒦샭 ADF볬퇩춳볆솿 PP볬퇩춳볆솿 컈뚨탔 뷡싛 럇욽컈 쓜풴 I(1) 튻뷗닮럖 욽컈 훷튪쿻럇욽컈 I(1) 럑 튻뷗닮럖 욽컈 뷰죚뗘럇욽컈 I(1) 닺 튻뷗닮럖 욽컈 럇욽컈 풭닄쇏 I(1) 튻뷗닮럖 욽컈 평뇭뿉횪ꎬ쮳춨헍탐튵ꎨ쓜풴ꆢ훷튪쿻럑ꆢ풭닄쇏ꆢ뷰죚뗘닺ꎩ횸쫽뻹캪튻뷗떥헻탲쇐ꎬ벴쫴폚튻뷗떥헻탲쇐I(1)ꆣ 춬퇹ꎬ컒쏇뛔쇭췢솽듳샠탐튵ꎬ쓦춨헍훜웚탐튵ꎨ릤튵ꆢ뿉톡쿻럑ꆢ튽튩컀짺ꎩꎬ뫍폫춨헍훜웚쿠맘뷏죵탐튵ꎨ탅쾢벼쫵ꆢ뗧탅ꆢ릫폃쫂튵ꎩퟶ쇋볬퇩ꎬퟮ뫳뗃떽뗄뷡맻쿠춬ꎬ벴풭탲쇐놾짭뚼쫇럇욽컈뗄ꎬ튻뷗닮럖횮뫳욽컈ꆣ ퟛ짏뿉횪ꎬ뮦짮300탐튵럖샠훐쪮듳탐튵횸쫽좡뛔쫽뫳뻹캪럇욽컈탲쇐ꎬ튻뷗닮럖횮뫳캪욽컈탲쇐ꎬ벴뻹쫴폚튻뷗떥헻탲쇐I(1) 22
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 4 믹폚뮦짮300탐튵횸쫽쫽뻝뗄쪵횤럖컶 평잰쏦쫽뻝믹놾뗄뒦샭뫍럖컶뿉횪ꎬ짺닺헟볛룱횸쫽ꎨPPIꎩ뫍룷탐튵횸쫽좡뛔쫽뫳뻹캪튻뷗떥헻탲쇐ꆣ믹폚듋ꎬ컒쏇붨솢쿠펦뗄쿲솿ퟔ믘맩쒣탍ꆣ컒쏇룹뻝돵쪼탐튵듳훂뗄럖샠틀듎ퟷ쿪쾸럖컶ꆣ 쮳춨헍훜웚탐튵럖컶 쫗쿈ꎬ쮳춨헍훜웚탐튵냼삨ꎺ뮦짮300쓜풴ꆢ쿻럑ꆢ뷰죚뗘닺뫍풭닄쇏탐튵ꆣ컒쏇붫헢쯄룶탐튵횸쫽뇤솿벰짺닺헟볛룱횸쫽ꎨPPIꎩ뻹ퟷ캪쓚짺뇤솿ꆣ컒쏇붨솢죧쿂쪽ꎨꎩ쯹뇭쪾뗄컞풼쫸VAR쒣탍ꎺ Y=AY+AY+"AY+u ꎨꎩ t1t−12t−2pt−pt(L_ENERGY)t(L_MAINCONSUMABLES)t웤훐ꎬꎬ웤훐룷럖솿평짏훁쿂틀듎뇭쪾뗄쫇좡Y=(L_RAWMATERIALS)tt(L_FINANCEESTATE)t(L_PPI)t뛔쫽뫳쓜풴ꆢ쿻럑ꆢ풭닄쇏ꆢ뷰죚뗘닺탐튵횸쫽뫍PPI뇤솿ꆣA(=1,2,",p)퓲캪쾵i쫽뻘헳ꆣP캪훍뫳뷗쫽ꆣu캪컳닮쿮ꆣ t틀뻝AICꆢSCힼ퓲뗄에뛏ꎬ컒쏇톡퓱ퟮ폅훍뫳쿮2ꎬ벴P=2ꆣ 컈뚨탔벰킭헻볬퇩 컒쏇뿉틔춨맽뾼달쳘헷랽돌뗄룹살에뛏맀볆랽돌뗄컈뚨탔ꎬ웤훐ꎬ떱P=2쪱ꎬꎨꎩ쪽쯹쏨쫶뗄쿲솿ퟔ믘맩쒣탍ꎨVARꎩ뗄쳘헷랽돌캪ꎺ 2det(I−Az−Az)=0 ꎨꎩ 512웤룹럖늼춼죧쿂ꎺ 23
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 Inverse Roots of AR Characteristic 춼 쳘헷랽돌ꎨꎩ뗄룹럖늼춼 평춼쿔쪾뷡맻뿉횪ꎬ랽돌ꎨꎩ폐튻룶룹실퓚떥캻풲짏ꎬ맊VAR쒣탍쫇늻컈뚨뗄ꎬ컒쏇늻쓜붫웤횱뷓폃폚싶돥쿬펦몯쫽럖컶ꆣ 컒쏇볌탸뾼달뇤솿횮볤킭헻탔ꆣ튻냣닉폃Johansen볬퇩뾼달Y훐뇤솿뗄킭헻맘t쾵ꆣ뻟쳥볬퇩랽쪽폐벣볬퇩ꎨTrace Testꎩ뫍ퟮ듳쳘헷룹볬퇩ꎨMax-Eig Testꎩꆣ컒쏇붫솽훖볬퇩랽쪽뫍늻춬킭헻랽돌탎쪽쿂뗄뷡맻쿔쪾퓚뇭훐ꆣ Yt뇭 훐럖솿횮볤킭헻볬퇩뷡맻 Selected ( level*) Number of Cointegrating Relations by Model Data Trend: None None Linear Linear Quadratic Test Type No Intercept Intercept Intercept Intercept Intercept No Trend No Trend No Trend Trend Trend Trace11101Max-Eig 1 0 1 0 0 *Critical values based on MacKinnon-Haug-Michelis (1999) 평뇭뿉횪ꎬ킭헻랽돌뗄탎쪽톡퓱뗄늻춬ꎬ킭헻맘쾵볬퇩뗄뷡맻튲믡듳늻쿠춬ꆣ듓뇭훐컒쏇뿉틔믹놾짏좷뚨쮳춨헍훜웚탐튵횸쫽폫PPI횮볤듦퓚킭헻맘쾵ꎬ킭헻 24
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 뇤솿룶쫽뗈폚1ꎬ틠킭헻쿲솿뗄훈뗈폚1ꆣ늢쟒킭헻랽돌뗄탎쪽캪듦퓚뷘뻠쿮뛸컞쪱볤쟷쫆쿮ꆣ 붨솢쿲솿컳닮탞헽쒣탍VECM 평훐킭헻볬퇩뷡맻뿉횪ꎬ(L_ENERGY)ꆢ(L_MAINCONSUMABLES)ꆢtt(L_RAWMATERIALS)ꆢ(L_FINANCEESTATE)ꆢ(L_PPI)횮볤듦퓚킭헻맘쾵ꎬ벴ttt듦퓚튻룶뎤웚컈뚨뗄맘쾵ꆣ틲듋ꎬ퓚쪽ꎨꎩ믹뒡짏ꎬ컒쏇뿉뺭맽뇤뮻뗃떽쿠펦뗄쿲솿컳닮탞헽쒣탍ꎨVECMꎩꆣ뇭듯쪽죧쿂ꎺ ∆Y=∏Y+Γ∆Y+u ꎨꎩ tt−1t−1t웤훐ꎬ쾵쫽뻘헳∏=A+A−Iꎬ쟒뻘헳뗄훈뗈폚1ꎻΓ=−Aꎬu캪닐닮쿮ꆣ 1252t쒣탍뗄맀볆뷡맻쿔쪾킭헻쿲솿쾵쫽쿔훸ꆣ뇤솿ퟶ튻뷗닮럖횮뫳ꎬD(L_ENERGY)ꆢD(L_FINANCEESTATE)ꆢD(L_MAINCONSUMABLES)ꆢD(L_RAWMATERIALS)뫍2RD(L_PPI)뗄맀볆랽돌뗄럖뇰캪ꎺ%ꆢ%ꆢ%ꆢ%뫍%ꆣ뛸쟒맀볆랽돌훐쾵쫽쿔훸뗄늻뛠ꆣ늢쟒DꎨL_PPIꎩퟷ캪뷢쫍뇤솿쪱ꎬ웤쾵쫽뷶퓚뷢쫍ퟔ짭쪱쫇쿔훸틬폚쇣뗄ꆣ 뿉볻탐튵횸쫽늢늻쓜뷏뫃뗘평웤쯻뇤솿벰PPI뷢쫍ꎬ틠쮵쏷PPI뛔횸쫽펰쿬폐쿞ꆣ늻맽PPI뿉틔뷏뫃뗄평탐튵횸쫽뫍ퟔ짭훍뫳쿮살뷢쫍ꎬ뿉쮵쏷막쫐횸쫽쓜릻뷏퓧뗄랴펦춨믵엲헍뗄돌뛈ꆣ벴막쫐폐튻뚨쯹캽“쟧폪뇭”뗄릦쓜ꆣ 싶돥쿬펦몯쫽럖컶벰랽닮럖뷢 퓚늿럖ꎬ컒쏇맀볆뗃돶쇋쿲솿컳닮탞헽쒣탍ꎬ평쪽ꎨꎩ뇭쪾ꆣ믹폚룃쒣탍ꎬ뿉틔뛔탐튵횸쫽폫PPI뗄맘쾵ퟶ뷸튻늽뗄럖컶ꆣ컒쏇뾼달뇤솿L_ENERGYꆢL_MAINCONSUMABLESꆢL_RAWMATERIALSꆢL_FINANCEESTATE퓚L_PPI돥믷쿂뫳웚뗄랴펦ꆣ웤싶돥쿬펦춼죧춼쯹쪾ꎺ 25
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 Response to Cholesky One . InnovationsResponse of L_ENERGY to L_PPIResponse of L_FINANCEESTATE to of L_MAINCONSUMABLES to L_PPIResponse of L_RAWMATERIALS to 춼 쮳춨헍훜웚탐튵횸쫽뛔폚L_PPI돥믷뗄싶돥쿬펦춼 평춼컒쏇뿉틔뾴떽ꎬ쮳훜웚뗄쯄룶탐튵ꎨ쓜풴ꆢ훷튪쿻럑ꆢ풭닄쇏ꆢ뷰죚뗘닺ꎩ횸쫽퓚L_PPI돥믷쿂ꎬ잰솽룶쪱웚쓚뻹믡폐헽쿲퓶뎤뗄랴펦ꎬ뛸횮뫳폖믡톸쯙쿂붵떽쇣틔쿂ꆣ늻맽ꎬ횸쫽L_ENERGYꎨ쓜풴ꎩꆢL_MAINCONSUMABLESꎨ쿻럑ꎩꆢL_RAWMATERIALSꎨ풭닄쇏ꎩ퓚뛌퓝뗄퓶볓횮뫳ꎬ믡톸쯙쿂붵ꎬ늢쟒횮뫳캬돖퓚쇣틔쿂ꎬ쮵쏷L_PPI뛔헢킩탐튵뗄돥믷뎤웚살쮵캪뢺뗄ꆣ뛸L_FINANCEESTATEꎨ뷰죚뗘닺ꎩ잰훐웚돥믷랴펦쿠춬ꎬ떫횮뫳폖믡뫜뿬뗄랴떯ꎬ늢컈뚨퓚튻룶뷏룟뗄헽쫕틦짏ꆣ뿉볻뷰죚뗘닺탐튵퓚춨헍놳뺰쿂늻뷶쫊뫏뛌웚닙ퟷꎬ틠뿉ퟷ캪뎤웚훘뗣엤훃탐튵ꎬ뇭쿖뚼폐뿉쓜뇈뷏샭쿫ꆣ 늻맽ꎬ볌탸럖컶랽닮럖뷢뗃떽뗄뷡맻쿔쪾ꎬL_PPI뛔짏쏦쯄룶탐튵랽닮늨뚯뗄릱쿗싊뫜뗍ꎬ뻹퓚10%ퟳ폒ꆣ헢틠폫컒쏇잰쏦럖컶L_PPI뛔탐튵횸쫽뷢쫍솦뗍쫇쿠춬 26
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 뗄ꆣ듓훐컒쏇뿉횪ꎬ춨믵엲헍뛔탐튵횸쫽펰쿬뮹쫇뫜뗍뗄ꎬ틲듋퓚뻟쳥뾼달탐튵횸쫽뇤뮯쪱ꎬ늻펦뷶뚢힡춨믵엲헍뗄틲쯘ꎬ틠탨룼볓힢훘탐튵놾짭뗄쳘탔ꆣ 쓦춨헍훜웚탐튵럖컶 쓦춨헍훜웚탐튵냼삨ꎺ뮦짮300릤튵ꆢ뿉톡쿻럑뫍튽튩컀짺ꆣ컒쏇뛔쓦춨헍훜웚탐튵쯹냼몬뗄쯄듳탐튵횸쫽ퟶ춬퇹뗄럖컶ꆣ춨맽뛔쒣탍욽컈탔볬퇩뫍킭헻맘쾵볬퇩뗃횪ꎬL_INDUSTRYꎨ릤튵ꎩꆢL_OPTIONALCONSUMBꎨ뿉톡쿻럑ꎩꆢL_MEDICALHEALTHꎨ튽튩컀짺ꎩ뫍L_PPI붨솢뗄VAR쫇럇욽컈ꎬ쿲솿횮볤틠늻듦퓚쏷쿔뗄킭헻맘쾵ꆣ헢튲뿉틔듓웤싶돥쿬펦춼훐뗃떽랴펦ꎬ춼쪾죧쿂ꎺ Response to Cholesky One . Innovations ± 2 of L_INDUSTRY to L_PPIResponse of L_OPTIONALCONSUMB to of L_MEDICALHEALTH to L_PPIResponse of L_PPI to 춼 쓦춨헍훜웚탐튵횸쫽뛔폚L_PPI돥믷뗄싶돥쿬펦춼 27
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 평춼뿉볻ꎬL_INDUSTRYꎨ릤튵ꎩꆢL_OPTIONALCONSUMBꎨ뿉톡쿻럑ꎩꆢL_MEDICALHEALTHꎨ튽튩컀짺ꎩ뛔L_PPI뗄돥믷랴펦뇈뷏뢴퓓ꎬ늨뚯탔뷏듳ꎬ뛸쟒뫳웚랽닮돊퓶듳쟷쫆ꎬ벴뇭쏷쒣탍쫇늻욽컈뗄ꆣ컒쏇쓑틔듓훐뗃떽폐틦뗄뷡싛ꆣ 닮럖횮뫳VAR쒣탍 컒쏇횪L_INDUSTRYꎨ릤튵ꎩꆢL_OPTIONALCONSUMBꎨ뿉톡쿻럑ꎩꆢL_MEDICALHEALTHꎨ튽튩컀짺ꎩ뫍L_PPI뻹캪튻뷗떥헻탲쇐ꎬퟷ튻뷗닮럖횮뫳뻹캪욽컈탲쇐ꆣ뷓쿂살컒쏇톡폃웤튻뷗닮럖뫳뇤솿붨솢튻컞풼쫸VAR쒣탍,맀볆랽돌죧쿂ꎺ ∆Y=A∆Y+A∆Y+"A∆Y+u ꎨꎩ t1t−12t−2pt−pt∆(L_INDUSTRY)t∆(L_OPTIONALCONSUMB)t웤훐ꎬ∆Y=ꎬp캪훍뫳뷗쫽ꎬu캪닐닮쿮ꆣ벴tt∆(L_MEDICALHEALTH)t∆(L_PPI)t컒쏇붫L_INDUSTRYꎨ릤튵ꎩꆢL_OPTIONALCONSUMBꎨ뿉톡쿻럑ꎩꆢL_MEDICALHEALTHꎨ튽튩컀짺ꎩ뫍L_PPI럖뇰좡뛔쫽뫳붨솢쪽ꎨꎩ뗄VAR쒣탍ꆣ횮뫳맀볆맽돌폫잰쏦쮳춨헍훜웚탐튵붨솢뗄VAR쒣탍럖컶맽돌쿠춬ꆣ 2R늻맽랽돌맀볆뷡맻쿔쪾ꎬ뻹뷏뗍ꎬ횻폐%ꆢ%ꆢ%뫍%ꆣ뿉볻쒣탍늢늻첫뺫좷ꎬ풭틲펦룃폫컒쏇횮잰뾼달쮳춨헍탐튵쪱뇭쿖쿠춬ꆣ 컒쏇춨맽쒣탍ꎨꎩ살뾼달뇤솿L_INDUSTRYꎨ릤튵ꎩꆢL_OPTIONALCONSUMBꎨ뿉톡쿻럑ꎩꆢL_MEDICALHEALTHꎨ튽튩컀짺ꎩ닮럖뫳뛔DꎨL_PPIꎩ돥믷뗄싶돥랴펦쟩뿶ꎬ뷡맻쿔쪾퓚춼훐ꆣ 28
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 Response to Cholesky One . Innovations ± 2 of D(L_INDUSTRY) to D(L_PPI)Response of D(L_OPTIONALCONSUMB) to D(L_PPI). of D(L_MEDICALHEALTH) to D(L_PPI)Response of D(L_PPI) to D(L_PPI). D(L_PPI)춼 쓦춨헍훜웚탐튵횸쫽튻뷗닮럖뫳뛔폚돥믷뗄싶돥쿬펦춼 평싶돥랴펦뮹쫇뿉틔뾴돶ꎬL_INDUSTRYꎨ릤튵ꎩꆢL_OPTIONALCONSUMBꎨ뿉톡쿻럑ꎩꆢL_MEDICALHEALTHꎨ튽튩컀짺ꎩ퓚L_PPI돥믷쿂ꎬ뛌웚쓚믡폐뷏쏷쿔뗄쿂붵ꎬ횮뫳훘탂쟷폚쇣ꆣ헢폫컒쏇뾪쪼뛔탐튵뗄럖샠ꎬ뛔웤뇭쿖맀볆쫇쿠컇뫏뗄ꆣ 폫춨헍쿠맘뷏죵뗄탐튵럖컶 뮦짮300탐튵횸쫽훐뮹냼삨ꎺ뮦짮300탅쾢벼쫵ꆢ뗧탅뫍릫폃쫂튵ꆣ틀뻉닉좡폫잰쏦쿠춬뗄럖컶늽훨ꆣ평쒣탍욽컈탔볬퇩뫍킭헻볬퇩럖컶횪ꎬL_ITꎨ탅쾢벼쫵ꎩꆢL_TELECOMMUNICꎨ뗧탅ꎩꆢL_PUBLICUTILITYꎨ릫폃쫂튵ꎩ뫍L_PPI쪱탲뇤솿릹붨뗄VAR쒣탍쳘헷랽돌룹뻹퓚떥캻풲쓚ꎬ벴랽돌컈뚨ꆣ늻맽뇤솿횮볤늻듦퓚쏷쿔뗄킭헻맘쾵ꆣ 29
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 ퟷ싶돥쿬펦몯쫽럖컶ꎬ뷡맻쿔쪾죧쿂춼ꆣ Response to Cholesky One . Innovations ± 2 of L_IT to L_PPIResponse of L_TELECOMMUNIC to of L_PUBLICUTILITY to L_PPIResponse of L_PPI to 춼 폫춨헍쿠맘뷏죵탐튵횸쫽뛔폚PPI돥믷뗄싶돥쿬펦춼 뿉볻ꎬL_ITꎨ탅쾢벼쫵ꎩꆢL_TELECOMMUNICꎨ뗧탅ꎩꆢL_PUBLICUTILITYꎨ릫폃쫂튵ꎩ탐튵뇭쿖뢴퓓ꆣ퓚L_PPI돥믷쿂ꎬ룃죽룶탐튵횸쫽늢쎻폐쿠뛔컈뚨ퟟ쫆ꎬ늨뚯탔뷏듳ꆣ 뛸춨맽랽닮럖뷢틠뾴돶L_PPI뛔L_ITꎨ탅쾢벼쫵ꎩꆢL_TELECOMMUNICꎨ뗧탅ꎩꆢL_PUBLICUTILITYꎨ릫폃쫂튵ꎩ탐튵횸쫽늨뚯뗄뷢쫍솦춬퇹뫜뗍ꎬퟮ뛠튲횻떽20%ꆣ뿉볻L_PPI뛔헢킩탐튵막횸뇤뚯펰쿬틠쿠떱폐쿞ꆣ늢쟒퓚춨헍ꎨL_PPIꎩ돥믷쿂ꎬ룃죽룶탐튵뗄랴펦늨뚯탔쏷쿔ꎬ헽뢺붻쳦욵랱ꎬ헢뿉쓜룼뛠뗄펦룃쫇평탐튵ퟔ짭믲웤쯻틲쯘퓬돉뗄ꆣ헢킩럖컶폫컒쏇횮잰뛔탐튵럖샠틠뷏캪컇뫏ꎬ벴듋죽룶탐 30
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 튵뇭쿖돶쇋샠쯆뗄쳘헷ꆣ 룱삼뷜틲맻맘쾵볬퇩 평잰쏦럖컶뿉틔뾴돶ꎬ춨헍횸뇪L_PPI폫룷탐튵횸쫽볤쿠뮥펰쿬뮹쫇뇈뷏죵ꆣ퓚듋ꎬ컒쏇퓚쯹럖뗄죽듳샠훐톡좡튻룶탐튵춬L_PPIퟶ룱삼뷜볬퇩ꎬ뷡맻죧쿂ꎺ 뇭 룱삼뷜볬퇩뷡맻 Null Hypothesis: ObsF-StatisticProb. D_L_IT does not Granger Cause D_L_PPI 92 D_L_PPI does not Granger Cause D_L_IT D_L_INDUSTRY does not Granger Cause D_L_PPI 92 D_L_PPI does not Granger Cause D_L_INDUSTRY D_L_FE does not Granger Cause D_L_PPI 92 D_L_PPI does not Granger Cause D_L_FE D_L_INDUSTRY does not Granger Cause D_L_IT 92 D_L_IT does not Granger Cause D_L_INDUSTRY D_L_FE does not Granger Cause D_L_IT 92 D_L_IT does not Granger Cause D_L_FE D_L_FE does not Granger Cause D_L_INDUSTRY 92 D_L_INDUSTRY does not Granger Cause D_L_FE 평짏뇭뗄Granger볬퇩뷡맻뿉틔뾴돶ꎬL_PPI뷶쫇톡좡뗄죽룶탐튵훐L_INDUSTRY뗄룱삼뷜풭틲ꎬ웤쯻솽룶탐튵폫L_PPI벸뫵쎻폐죎뫎룱삼뷜틲맻맘쾵ꆣ횻폐룶뇰횸쫽횮볤듦퓚쿠뮥뗄룱삼뷜틲맻맘쾵ꆣ헢튲듓쇭튻룶랽쏦ퟴ횤쇋잰쏦L_PPI뛔룷탐튵횸쫽뷢쫍솦뷏뗍ꆣ떱좻컒쏇듓훐뮹뿉틔뾴떽룷횸쫽쿠뮥횮볤맘솪탔뮹쫇뷏듳ꎬ뫜뛠쫇뮥캪룱삼뷜풭틲ꆣ헢튲랴펳쇋탐튵횸쫽횮볤펰쿬쫇뇈뷏쿔훸뗄ꎬ튲튻뚨돌뛈쮵쏷쇋탐튵횮볤뗄“싖뚯킧펦”ꆣ 31
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 5 뷡싛폫햹췻 싛컄릤ퟷퟜ뷡 놾컄쯹ퟷ뗄릤ퟷꎬ훷튪쫇럖컶퓚춨헍놳뺰쿂막쫐훐룷탐튵쫇럱폐늻춬뗄뇭쿖ꎬ뇭쿖죧뫎ꆣ쫗쿈컒쏇톡퓱훐횤횸쫽릫쮾랢늼뗄뮦짮300탐튵횸쫽ퟷ캪퇐뺿뗄탐튵횸뇪쫽뻝ꎬ뛸춨믵엲헍횸뇪퓲톡퓱쿠뛔룼볓럻뫏춶닎뾼뗄PPIꆣ헽평폚막욱볛룱뇤뚯폫춨헍뢴퓓뗄맘쾵ꎬ컒쏇춨맽붨솢럇뷡릹뮯뗄쒣탍——쿲솿ퟔ믘맩쒣탍VAR살럖컶뾼달뇤솿ꆣ웤훐ꎬ컒쏇탐튵횸쫽폐10룶횮뛠ꎬ쯤좻폐쓚짺뇤솿뷏뛠뗄뇗뛋ꎬ늻맽헢퇹뗄탐튵뮮럖틠쿠뛔룼캪뺫쾸ꎬ뗃떽뗄쪵횤뷡맻틠쿠뛔룼뻟쳥ꎬ룼뻟닎뾼볛횵ꆣ뛸춨맽잰쏦뗄쪵횤럖컶ꎬ컒쏇뗃떽죧쿂벸뗣뷡싛ꎺ ꎨ1ꎩ퓚춨헍놳뺰쿂ꎬ늻춬탐튵뗄막욱뇭쿖쫇폐닮틬뗄ꆣ컒쏇횮뫳ퟶ뗄쪵횤럖컶웤쪵틠뷏뫃뗄횤쏷쇋컒쏇돵웚뛔탐튵듳훂뗄럖샠ꆣ헢뿉틔캪컒쏇춶쳡릩돵늽뗄닎뾼ꆣ ꎨ2ꎩ평싶돥쿬펦몯쫽럖컶뗄뷡맻살뾴ꎬ쮳춨헍훜웚탐튵쿱뷰죚뗘닺ꆢ쓜풴ꆢ쿻럑뫍풭닄쇏ꎬ퓚춨헍첧춷뗄돵웚ꎬ뚼믡폐헽쿲돥믷ꆣ늻맽돽쇋뷰죚뗘닺샠막욱횮췢ꎬ웤쯻죽샠막욱횮뫳뚼믡톸쯙쿂뗸ꎬ늢뻟폐뢺뗄뎤웚킧펦ꆣ틲듋ꎬ쿱헢듳샠뗄막욱쿠뛔룼쫊뫏ퟶ뛌웚닙ퟷꆣ뛸쓦춨헍샠막욱ꎺ릤튵ꆢ뿉톡쿻럑뫍튽튩컀짺ꆣ뇭쿖럻뫏풤웚ꎬ춨헍돵웚믡뇭쿖캪뢺쿲돥믷ꆣ웤쯻쪣쿂뗄죽훖막욱ꎺ릫폃ꆢ탅쾢벼쫵뫍뗧탅ꆣ뇭쿖늨뚯탔뷏듳ꎬ폫춨헍쿠맘탔뫜죵ꆣ ꎨ3ꎩ평랽닮럖뷢뗄뷡맻틔벰룱삼뷜틲맻볬퇩뗄뷡맻살뾴ꎬ컒쏇톡폃뗄막욱횸쫽폫춨헍횸뇪PPI횮볤맘쾵뮹쫇뇈뷏죵ꆣ튻랽쏦ꎬ뿉횪PPI뛔막횸늨뚯뗄랽닮뷢쫍솦뛈뫜뗍ꎬ쇭튻랽쏦PPI튲늻쫇탐튵횸쫽뗄룱삼뷜풭틲ꎬ뷶폐룶뇰뗄횸쫽폫PPI싺ퟣ룱삼뷜틲맻맘쾵ꆣ헢킩웤쪵쿷죵쇋컒쏇횮잰뛔춨헍폫탐튵막횸뇭쿖뗄럖컶뷡맻ꆣ춬퇹헢튲쮵쏷쇋떱컒쏇쪵볊뾼싇탐튵닺엤훃쪱ꎬ풶늻뷶뾼싇춨헍뗄틲쯘ꎬ룼뛠뗄펦뮹탨뾼싇탐튵놾짭벰웤쯻뫪맛뇤솿뗄펰쿬ꆣ 32
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 듦퓚뗄컊쳢 놾컄뮹쫇듦퓚뫜뛠늻ퟣ뗄뗘랽ꆣ훷튪폐죽룶랽쏦ꎺ튻ꆢ톡퓱뮦짮300탐튵횸쫽ퟷ캪탐튵횸뇪ꎬ쯤좻뛔탐튵럖컶룼캪쾸훂ꎬ떫튲듸살쇋맀볆쪱뇤솿쫽쒿맽뛠ꎬ맀볆닎쫽뷏뛠ꆣ뻝듋붨솢뗄쒣탍믲탭늻쫇뫜뫏샭ꎻ뛾ꆢ뛔붨솢뗄VARꆢVECMퟶ볬퇩ꆢ맀볆쪱폐킩뗘랽뷏캪듖닚ꎬ헢틠믡뛔럖컶뷡맻퓬돉욫닮ꆣ죽ꆢ헻쳥맀볆뗄킧맻뷏닮ꎬ탨룄뷸랽램ꆣ 평폚ퟷ헟쮮욽폐쿞ꎬ튻랽쏦틠틲캪놾컄퇐뺿뗄컊쳢뗄뺭볃샭싛믹뒡뷏캪놡죵ꎬ뇤솿횮볤펰쿬맘쾵뷏캪뢴퓓ꎬ폚쫇톡퓱쇋럇뷡릹뮯뗄VAR쒣탍ퟷ캪럖컶릤뻟ꆣ늻맽ꎬ퓚뻟쳥VAR쒣탍톡퓱랽쏦튲쫇훷튪닉폃쇋ퟮ캪볲떥뗄컞풼쫸뗄VAR쒣탍벰뷏볲떥뗄VECM쒣탍ꎬ뛸뫶싔쇋웤쯻쒣탍탎쪽ꆣ쇭튻랽쏦ꎬ쫽뻝뒦샭틠뷏캪볲떥ꆣ죧붫탐튵횸쫽쫽뻝ퟶ럖뷢ꎬ헒돶쫽뻝훐냼몬뗄벾뷚탔믲훜웚탔틲쯘ꎬ헢킩틲쯘폫PPI뗄쿠맘탔뿉쓜룼듳ꎻ믲헟틔PPI춬뇈퓶뎤싊ퟷ캪춨헍횸뇪ꆣ 뷡폯벰햹췻 춨믵엲헍컊쳢튻횱쫇뺭볃톧볒ꎬ튲쫇춶헟뚼럇뎣맘탄뗄컊쳢ꎬ뛸죧뫎뷏뫃뗘퓚춨헍놳뺰쿂ퟶ떽뫏샭춶ꎬ쪵쿖닺뗄놣횵퓶횵룼쫇탭뛠뷰죚뺭볃톧볒퇐뺿헢랽쏦컊쳢뗄돶랢뗣ꆣ놾컄쯹ퟷ뗄릤ퟷ벴쫇뾼달퓚춨헍쳵볾쿂막쫐훐룷탐튵뗄뇭쿖ꎬ틔웚듓훐헒떽뷏뫃뗄춶믺믡ꆣ 퓚뇤솿횮볤틲맻맘쾵늢늻쫇뫜쏷쿔ꎬ쟒쎻폐뫜뫃뺭볃샭싛ퟷ캪붨쒣뗄믹뒡쪱ꎬ럇뷡릹뮯뗄VAR쒣탍뮹쫇뇈뷏뫏쫊뗄톡퓱ꆣ뛸쟒뛔폚쪱볤탲쇐쫽뻝ꎬ춨맽싶돥쿬펦몯쫽럖컶뫍랽닮럖뷢뿉틔뷏뫃뗄뾼달웤뫳탸뗄뇭쿖ꆣ떱좻ꎬ헢훖럖컶랽램튲놻늻짙쫽솿뺭볃톧볒쯹뮳틉ꆣ 듓놾컄뗄럖컶뿉틔뾴떽ꎬ춨헍뛔탐튵횸쫽뗄늨뚯탔펰쿬뮹쫇뇈뷏폐쿞ꆣ캪쇋뷏뫃뗄뾼달춨믵엲헍뛔탐튵횸쫽뗄뷢쫍솦ꎬ컒쏇믲탭뿉틔뷡뫏뛠풪춳볆훐훷돉럖럖컶랽램믲틲ퟓ럖컶램ꎬ살럖컶춨믵엲헍퓚뷢쫍탐튵횸쫽쪱쯹햼뗄좨훘ꆣ헢뿉틔퓚틔뫳뗄퇐뺿훐ퟶ킩탭뎢쫔ꆣ춬퇹톡퓱뗄VAR쒣탍틠뿉ퟶ킩룄뷸ꎬ틔룼럻뫏맀볆ꆣ 33
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 훂 킻 횵듋싛컄췪돉횮볊ꎬ쫗쿈컒튪쿲컒뗄떼쪦훜짙뢦샏쪦뇭쪾훔탄뗄룐킻ꆣ놾싛컄뗄쮳샻췪돉샫늻뾪훜샏쪦ퟎퟎ늻뻫뗄뷌떼뫍뗣뮯ꆣ솽쓪살ꎬ훜샏쪦퓚퇐뺿톧쾰짏뛔컒쏇듓퇏튪쟳ꎬ튪ퟶ떽훎톧퇏뷷ꆢ뺫틦쟳뺫ꎻ릤ퟷ짺믮훐퓲쫇욽틗뷼죋ꎬ뛔컒쏇맘뮳놸훁ꆣ훜샏쪦뿭맣뗄탘뮳틔벰웤뛔뷌폽쫂튵뗄ힷ쟳뫍뺴튵뺫짱뚼죃컒뺰퇶ꎬ룼캪컒뷱뫳뗄릤ퟷ톧쾰쫷솢쇋냱퇹ꆣ퓚듋ꎬ뛔훜짙뢦샏쪦뇭쪾훔탄뗄룐킻ꎬ쓜폐듋캻솼쪦쪵쓋튻짺횮탒ꆣ 뮹탨쳘뇰룐킻늩쪿쪦뷣ퟳ탣쾼ꎬ룐킻쯽욽죕뗄맘탄ꎬ늢쟒퓚냙쎦횮훐뮹돩돶쪱볤캪컒쏇듰틉뷢믳ꆣ뮹튪룐킻역뇳춬톧ꎬ쯻퓚싛컄뾪쪼뷗뛎쳡돶쇋뫜뛠럇뎣뫃뗄붨틩ꎻ룐킻쫒폑췵뇫ꆢ훬싺훞ꆢ훬횾럥춬톧ꎬ쯻쏇뚼캪놾싛컄뗄췪돉룸폨쇋뫜뫃뗄횸뗣뫍뺫짱짏뗄맄샸ꎻ춬퇹뮹폐뺭볃톧풺뫜뛠뗄샏쪦ꆢ춬톧ꎬ쯻쏇뚼퓚욽쪱뗄톧쾰짺믮짏냯훺컒뫜뛠ꎬ죃컒뫜룐벤ꆣ퓚듋ꎬ뷷쿲룷캻훂틔컒평훔뗄킻틢ꆣ 퓚헢뛎쪱볤샯ꎬ쫕믱웄럡ꆣ늻뷶뷶톧쪶짏폐쯹뺫뷸ꎬ룼죏쪶떽톧쾰퇐뺿뗄볨탁뫍샖좤ꆣ뮹폐뻍쫇ퟶ죎뫎쫂쟩뚼튪얬솦ꎬ탨튪횴ퟅꎬ늻쓜냫춾뛸럏ꆣ ퟮ뫳ꎬ룐킻쟗낮뗄뢸쒸ꎡ룐킻쯻쏇캪컒쯹ퟶ뗄튻쟐ꎡ룐킻쯹폐맘탄ꆢ횧돖컒뗄쟗죋ꆢ엳폑쏇ꎡ튲룐킻룷캻샏쪦냙쎦횮훐짳퓄컒뗄싛컄ꎬ킻킻쓣쏇ꎬ쓣쏇탁뿠쇋ꎡ 돌췲쟠 2010쓪4퓂 34
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뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 뢽슼 뢽1ꎺ뛔뮦짮300탐튵횸쫽ퟶ돵늽뒦샭뗄MATLAB돌탲ꎺ function y=CSI300SI clear load Initialdata k=[VAR(1,2);VAR(1:end-1,2)]; k1=VAR(:,2)-k; c=find(k1~=0); c=[0;c-1;1956]; [s1,s2]=size(c); for i=1:s1-1 avr(i,:)=mean(VAR(c(i)+1:c(i+1),:));%쟳퓂뛈뻹횵% end c=find(k1~=0); c=[1;c]; avrfirst=VAR(c,:);%즸톡돶퓂돵횵% c=find(k1~=0); c=[c-1;1956]; avrend=VAR(c,:);%즸톡돶퓂쒩횵% 39
뮪 훐 뿆 벼 듳 톧 쮶 쪿 톧 캻 싛 컄 뢽2ꎺ뺭뒦샭뫳뮦짮300탐튵횸쫽퓂뛈욽뻹횵ꎨ2002쓪1퓂훁2010쓪1퓂ꎩ 붻틗죕웚 쿻럑횸쫽 뿉톡횸쫽탅쾢횸쫽뷰죚횸쫽 뗧탅횸쫽200201 40
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