ֻ24जֻ2௹, 2011୍4ᄅ ୡѯն࿐࿐Бč۽ϱĎ ൮ࢽᇏݓۚႪྮ॓௹़ࢂ , Apr. 2011 JOURNAL OF NINGBO UNIVERSITY ( NSEE ) ᆄࡾസႪྮ॓௹़၂֩ࢂ ཟਈሱ݂߭ଆაཟਈ༂ҵྩᆞଆყҩۿି֥бࢠ iiࠎႿݓݓଽളӁሹᆴބंཨٮᆦԛэਈ֥ൌᆣ࣮ 11,2* ޠྦ, ລݽᜧč1.ୡѯն࿐ അ࿐ჽ, ᆄࡾ ୡѯ 315211; 2.ୡѯն࿐ ࣮ളჽ, ᆄࡾ ୡѯ 315211Ď ᅋေ: ࡹ৫ݓଽളӁሹᆴაंཨٮᆦԛႵܱྙൔэਈ֥ཟਈሱ݂߭ଆބ༂ҵྩᆞଆ, ၇ऌݓଽളӁሹᆴބंཨٮᆦԛ֥ൎඔऌٳљؓଆࣉྛܙ࠹, ѩ০Ⴈܙ࠹ݺ֥2۱ଆؓ࣍2୍֥ཌྷႋэਈࣉྛყҩ, ࡼყҩࢲݔაൌ࠽ඔऌཌྷбࢠ, Ֆط֤ԛ2۱ଆ֥ყҩིݔ. ๙ݖбࢠཁൕ: ༂ҵྩᆞଆყҩིݔႪႿཟਈሱ݂߭ଆ. ܱՍ: ཟਈሱ݂߭ଆ; ༂ҵྩᆞଆ; ყҩۿିбࢠ ᇏٳোݼ: ໓ངѓ്: A ໓ᅣщݼ: 1001-5132č2011Ď02-0119-05 ंཨٮᆦԛაݓଽളӁሹᆴᆭࡗ֥ܱ༢ૡ3ᇕଆყҩႇݓ֥ܢௐࡎ۬, ؿགྷVECᄝყҩۿ్, ंཨٮᆦԛაݓଽളӁሹᆴ֥ᇌު௹ཌྷܱ, ିഈေ఼Ⴟః2۱ଆ. طݓଽളӁሹᆴᄵაंཨٮᆦԛ֒௹Ⴕܱ. ൎ1 ඔऌࠣཌྷܱэਈඪૼ [1]ୡᇏ֩ದൌᆣٳ༅ਔᇏݓದनݓଽളӁሹᆴაದनཨٮᆭࡗ֥ܱ༢, ؿགྷದनݓଽളӁሹᆴۚгᆀႨ֥ඔऌູ1978~2007୍֥ंཨٮᄹӉѩીႵջটದनཨٮ֥ۚᄹӉ, ѩਆᆦԛބݓଽളӁሹᆴၛࠣཨٮࡎᆷඔ, ಆ҆ඔᆀѩ҂թᄝ֒௹֥۬ཌྟܱ༢, ط൞၂۱ऌটჷႿuᇏݓ࠹୍2008v. ॉ੮֞ཨԢэਈэ߄֥ܱ༢, หљ൞ཨٮᆦԛສສაభ௹֥ݓଽᆭࡗ֥܋ཌྟ, ႮႿླေႨ֞ࡎᆷඔ, ܣҐႨൌളӁሹᆴ֥ܱ༢ࢠն. ࠽эਈ, ط҂൞ၬэਈ. ႮႿದनཨٮඔऌ֥҂ཟਈሱ݂߭ଆ(VAR)aཟਈ༂ҵྩᆞଆॖᆰࢤࠆ֤ྟ, ູࡨഒඔऌሇߐݖӱᇏྐ༏ݻ, (ECM)ބवણੲѯଆ(KFM)ӈӈФႨটყҩܢܣႨሹᆴ, ط҂൞ದनඔᆴ. ऎุэਈі1. і1 эਈі ௐࡎ۬. ࣮іૼ, ཟਈ༂ҵྩᆞଆყҩིݔቋэਈGDP TGDPVTGDP ETGDPݺ, طཟਈሱ݂߭ଆႻݺႿवણੲѯଆ. ၂ϮVARܙ࠹ EVMܙ࠹ಪູ, ༂ҵྩᆞଆᆭ෮ၛᄝყҩིݔഈݺႿఃၬളൌ࠽ള ݣၬ֥ൌ࠽ള ֥ൌ࠽ള2ᇕଆ, ൞ႮႿ๙ݖ1۱༂ҵྩᆞཛᄍྸэӁሹᆴӁሹᆴ Ӂሹᆴ Ӂሹᆴ [2-6]ਈ֥۷ྍטᆜ. ཟਈሱ݂߭ଆିܔّ႘эਈCONSTCONS VTCONS ETCONSэਈᆭࡗ֥ཌྷܱ༢, ିܔุགྷᇌު௹ၛࠣޅVARܙ࠹ EVMܙ࠹ၬंൌ࠽ं௹ಠؓ۲۱эਈ֥႕ཙ, ط༂ҵྩᆞଆߎିݣၬ֥ൌ࠽ཨ ֥ൌ࠽ཨཨٮᆦԛཨٮᆦԛ ܔّ႘эਈᆭࡗ֥Ӊ௹नޙܱ༢ၛࠣ؋௹ொܱٮᆦԛ ٮᆦԛ ༢. ๙ݖᆃ2۱ଆؓᇏݓ֥ंཨٮᆦԛაݓଽ2 ࠎЧଆ֥ࡹ৫ ളӁሹᆴࣉྛყҩ, ѩбࢠਆᆀ֥ყҩིݔ൞гᆀ֥ଢ֥. ݓຓႵ࣮VARაVEC֥ყҩིݔ֥ эਈ֥ֆᆜဒ [7]ཌྷܱ໓ངэਈCONSіൕၬंཨٮᆦԛ, эਈGDP. Jung֩ದ๙ݖႋႨVARaECMބKFM ൬۠ರ௹ 2010-09-24. ୡѯն࿐࿐Бč۽ϱĎຩᆶ: ֻ၂ቔᆀ ޠྦč1976ĒĎ, ଳ, ࡾ༆ೋӄದ, ᄝණൖ࣮ള, ᇶေ࣮ٚཟ: ࣜ࠶༢ٳ༅აႪ߄. E-mail: lhx_1109@ *๙ቔᆀ ລݽᜧč1964ĒĎ, ଳ, νߪކ٧ದ, Ѱൖ/࢝൱, ᇶေ࣮ٚཟ: ࣜ࠶༢ٳ༅აႪ߄. E-mail: wanghaohan@
120 ୡѯն࿐࿐Бč۽ϱĎ 2011 *іൕၬݓଽളӁሹᆴ, ਆᆀູؽࢨֆᆜ, ࠧ࿊౼ջཛ֥ᇌު௹ູቋࡄᇌުࢨඔ. I(2); эਈTCONSіൕൌ࠽ཨٮᆦԛ, эਈ ࡹ৫ࠎЧଆ іൕൌ࠽ݓଽളӁሹᆴ, ਆᆀູ၂ࢨֆᆜ, ࠧVARٚӱೂ༯: I(1). ఃᇏ, TCONS=(CONS/CPI)×100,TGDP= TCONS=a+aTCONS+aTCONS+ t1011t−112t−2(GDP/CPI)×10, CPIູཨٮࡎᆷඔ(ၛ1978୍aTGDP+aTGDP+ε, (1) 13t−11421tູࠎඔ100). TGDP=aaTCONSaTCONS+ t2021t−122t−2эਈTGDPބTCONS֥ֆᆜဒࢲݔі2. aTGDP+aTGDP+ε. (2) 23t−12422tі2іૼ, TGDPބTCONSࢥູ၂ࢨֆᆜ, ఃᇏVECٚӱೂ༯: D( )ູ၂ࢨҵٳ. ΔTCONS=b+bΔTCONS+bΔTGDP+ t1011t−112t− эਈᆭࡗ֥ླྀᆜဒ λe+μ,(3)1t−11tؓTGDPބTCONSࣉྛླྀᆜဒ, ဒࢲݔΔTGDP=b+bΔTCONS+bΔTGDP+ 2021t−122t−1і3. і3іૼ, эਈTCONSބэਈTGDPᆭࡗλe+μ, (4)2t−12tթᄝ၂۱ླྀᆜܱ༢. ఃᇏ, e=TCONSc−cTGDP. t−1−101t− ᇌުࢨඔ֥ಒק 3 ଆ֥ܙ࠹ эਈTCONSބэਈTGDPژކࡹ৫VARଆ֥ࠎЧေ, ࡹ৫VARଆߎླေಒקᇌުэ ܙ࠹VARଆ ਈ֥௹ඔ, ༯૫൞ቋࡄᇌުࢨඔ֥ဒ. ဒࢲݔ๙ݖEViewsೈࡱܙ࠹֥VARଆࢲݔі5. і4. ࢲݔཁൕ, טᆜު֥ॖथ༢ඔᆴӑݖ, ط۲۱і4іૼ, ቋࡄᇌުࢨඔູ2௹, ఃᇏ, іᇏࢳэਈᄵ҂ܔཁᇷ. і2 ADFֆ໊۴ဒ ၂קཁᇷඣ༯֥ਢࢸᆴ ਙ ADFဒ࠹ਈඔᆴ Pᆴ 1 5 10 TCONS 515 853 878 542 0D(TCONS) 247 457 038 906 0TGDP 206 457 038 906 9D(TGDP) 878 457 038 906 0і3 Johansenླྀᆜဒ ဒٚم ࡌഡླྀᆜٚӱ۱ඔ หᆘᆴ ဒ࠹ਈ֥ඔᆴ5 ཁᇷඣ༯֥ਢࢸᆴ Pᆴ หᆘ۴ࠖဒ 0 10 71 01 695 466 2ቋնหᆘᆴဒ 0 40 60 01 695 466 2і4 ቋࡄᇌުࢨඔಒק Lag LogL LR FPE AIC SC HQ 130 NA e 111 e *11* ***2 113 e 114 e 115 e 116 e
ֻ2௹ ޠྦ, ֩: ཟਈሱ݂߭ଆაཟਈ༂ҵྩᆞଆყҩۿି֥бࢠ 121 і5 VARଆܙ࠹ࢲݔ 22VARٚӱ ༢ඔ ༢ඔᆴ ཌྷႋtᆴ ॖथ༢ඔR טᆜު֥༢ඔR a 01 623 313 ٚӱ(1) 10a 374 46 11a 072 21 12a 806 93 13a 857 72 14a 64 12 713 944 ٚӱ(2) 20a 79 12 21a 220 13 22a 259 38 23a 611 36 24і6 VECଆܙ࠹ࢲݔ 22VECٚӱ ༢ඔ ༢ඔᆴ ཌྷႋtᆴ ॖथ༢ඔR טᆜު֥༢ඔR b 1 19 795 767 ٚӱ(3) 10b 637 20 11b 622 90 12λ 649 35 1c 8 0c 660 2 1b 7 63 086 552 ٚӱ(4) 20b 731 16 21b 772 24 22λ 414 03 2c 8 0c 660 2 ܙ࠹VECଆ ᆴބൌ࠽ंཨٮሹᆴٳљູETGDPބETCONS. ๙ݖEViewsೈࡱܙ࠹VECଆ֥ࢲݔі6. ᆃဢॖၛࡹ৫ਙVTGDPaVTCONSaETGDPބࢲݔཁൕ, טᆜު֥ॖथ༢ඔᆴࢠཬ, ն؟ඔࢳETCONS, ѩҐႨEViewsࣉྛ࠹ෘ, ֤֞VTGDPaэਈ္҂ܔཁᇷ. VTCONSaETGDPބETCONS۲୍֥ඔᆴ, ܙ࠹֤֥֞۲୍ඔऌაൌ࠽֥TGDPބTCONS֥ඔऌ4 ଆყҩིݔ֥бࢠ і7. ၛഈଆ൞၇ऌ1978୍֞2005୍֥ඔऌܙ࠹і7ཁൕ, ં൞TGDPބTCONS, ߎ൞2006ԛট֥, ༯૫ᄵ০Ⴈܙ࠹ݺ֥ଆؓ2006୍ބ୍ބ2007୍, VARଆყҩԛট֥ඔᆴაൌ࠽ඔ2007୍֥TCONSބTGDPࣉྛყҩ, ಖުбࢠყᆴ֥धؓҵေбECMଆყҩ֥ն, ᆃඪૼҩᆴაൌ࠽ᆴ֥धؓҵ, ࢠཬ֥धؓҵࣼିඪૼECMଆყҩིݔбVARଆݺ. Ֆऎุࢲݔটყҩིݔࢠݺ. ु, ં൞ECMଆߎ൞VARଆ, TGDPଆ০Ⴈܙ࠹ݺ֥VARଆ֤֞ൌ࠽ݓଽളӁሹ֤бࢠݺ, طTCONSᄵଆ֤бࢠҵ. ֒ಖ, 2۱ᆴބൌ࠽ंཨٮሹᆴٳљູVTGDPބVTCONS, ଆ֥ყҩིݔ҂൞ޓམ, ᆃॖି֥ჰၹ൞ၛࠣ০Ⴈܙ࠹ݺ֥ECMଆ֤֞ൌ࠽ݓଽളӁሹ႕ཙTGDP֥ၹ҂ᆺ൞TCONS, ߎႵఃᇗေ
122 ୡѯն࿐࿐Бč۽ϱĎ 2011 і7 ଆყҩඔऌࢲݔ ୍ٺ TGDP ETGDP VTGDP TCONS ETCONS VTCONS 1978 3 1 1979 4 1 1980 4 4 5 2 3 5 1981 4 5 6 2 4 6 1982 4 5 6 2 4 7 1983 5 5 6 2 4 7 1984 6 6 7 3 5 7 1985 7 7 8 3 5 7 1986 7 8 9 4 6 9 1987 8 9 11 4 7 11 1988 8 9 11 4 8 12 1989 8 10 12 4 9 14 1990 8 10 12 4 10 15 1991 9 10 12 4 8 13 1992 11 11 13 5 8 13 1993 12 12 15 5 9 14 1994 13 14 17 6 10 17 1995 15 16 19 7 12 19 1996 16 17 21 7 14 22 1997 17 19 23 8 15 25 1998 19 20 25 8 16 25 1999 20 22 27 9 17 28 2000 22 24 29 10 19 31 2001 24 26 32 11 19 32 2002 35 28 35 15 21 35 2003 30 37 41 12 12 22 2004 34 39 52 13 44 71 2005 38 39 48 14 27 45 2006 43 44 54 16 30 51 2007 48 50 61 18 33 56 эਈ, ೂሧaࣉԛ१aᆟکᆦԛ֩. ၂ࢨֆᆜ. ଆ֥ࡹ৫ਸ਼ຓ၂۱ླေॉ੮֥൞ᇌު௹֥࿊ᄴ໙ี. ଆࡹ৫ѩ๙ݖဒު, ܙ࠹ଆ5 ࢲე ൈླေᇿၩ֥൞, ᄝ၂ק֥эਈ۱ඔࠣᇌު௹๙ݖ၂۱Ⴕܱޡܴࣜ࠶эਈ֥ൌ২ӂඍਔཟඔ่֥ࡱ༯ିܔႵቀܔ֥ဢЧಸਈ, ၛЌᆣଆਈሱ݂߭ଆބ༂ҵྩᆞଆ֥ࡹ৫aܙ࠹ࠣఃؓܙ࠹֥Ⴕིྟ. ࣜ࠶эਈ֥ყҩ. ཟਈሱ݂߭ଆᇏ֥эਈೂݔཟਈሱ݂߭ଆބ༂ҵྩᆞଆّ႘ਔэ҂Ֆࣜ࠶ၩၬഈॉ੮, ᆺေэਈᆭࡗླྀᆜࣼॖၛਈᆭࡗ֥ܱ༢, ၛᇌު௹эਈቔູࢳэਈ, ࡹ৫ଆ; طؓႿ༂ҵྩᆞଆটඪ, ေ۷ۚ၂ၹՎૌିܔ۴ऌၛສ֥ඔऌؓФࢳэਈࣉྛུ, ҂۲۱эਈᆭࡗေླྀᆜ, طૌ֥၂ࢨყҩ. ༂ҵྩᆞଆ൞၂ᇕห൹֥ཟਈሱ݂߭ଆҵٳᆭࡗ္ေ൞ླྀᆜ֥, ֒ಖቋݺ൞эਈ൞, ҂ऎႵཟਈሱ݂߭ଆ֥၂Ϯྟᇉ, ط
ֻ2௹ ޠྦ, ֩: ཟਈሱ݂߭ଆაཟਈ༂ҵྩᆞଆყҩۿି֥бࢠ 123 Ϝэਈᆭࡗ֥Ӊ௹नޙܱ༢ބ؋௹ܱ༢ٳིݔ҂൞ޓམ, ᆃॖି֥ჰၹ൞႕ཙTGDP֥षট, ିܔิ܂۷؟֥Ⴕܱэਈܱ༢֥ྐ༏, ѩऎၹ҂ᆺ൞TCONS, ߎႵఃᇗေэਈ, ೂሧ, Ⴕ۷ݺ֥ყҩۿି. Ֆ໓ᇏ֥২ሰটु, ࣐ܵਆᆀࣉԛ१, ᆟکᆦԛ֩, ॖ၇Վࣉ၂҄ڿࣉଆ. ֥༢ඔुර൞ܥק֥, ༂ҵྩᆞଆ֥ყҩҕॉ໓ང: ۿିૼཁႪႿཟਈሱ݂߭ଆ, ᆃ൞ႮႿభᆀႵ[1] ൎୡᇏ, ศࡴ. ᇏݓࣜ࠶ᄹӉ൝აದनݓଽളӁሹ၂۱༂ҵྩᆞཛ, ିܔሱטᆜؓӉ௹नޙ֥ொᆴa൬ೆၛࠣཨٮᆭࡗܱ༢֥࣮: 1978~2002[J]. , ط҂ᇀႿொޓჹ, ఃᇏ֥ᇌުҵٳཛᄵཁൕ࠹აྐ༏ંฆ, 2005, 20(6):5-10. ؋௹ܱ༢, ᆃ൞္ުᆀ෮҂ऎС֥. [2] ઔӑಕ, ۚಥབ. གྷսყҩંაٚم[M]. Ӊ೬: Ֆଆܙ࠹ࢲݔটु, ཟਈሱ݂߭ଆ֥ॖଲն࿐ԛϱഠ, 1998. थ༢ඔ٤ӈۚ, ط༂ҵྩᆞଆᄵޓ֮, ყҩི[3] ၞօߩ. ඔऌٳ༅აEViewsႋႨ[M]. Кࣘ: ᇏݓ࠹ԛϱഠ, 2002. ݔᄵཌྷّ, ᆃඪૼॖथ༢ඔᄝ2۱ଆᇏ֥ᇗေྟ[4] נ໓ќ. GDPሹਈყҩٚمฐษ࣮[J]. ࠹აყҩ, ॖିѩ҂൞ޓۚ, ᇗေ֥ᄵ൞ૄ۱эਈ֥ཁᇷྟ. 2003(6):57-59. Ֆყҩࢲݔটु, ؓGDP֥ყҩ֥ሙಒྟط, 2[5] ۚํ઼. ࠹ਈࣜ࠶ٳ༅ٚمაࡹଆ[M]. Кࣘ: ౢն۱ଆေбؓCONS֥ყҩေۚ, ᆃॖି֥ჰၹ࿐ԛϱഠ, 2006. ൞ીႵॉ੮ದ१֥ၹ, ၛࠣሧԥྐྵؓཨٮᆦ[6] ဗܳ౪. ᇏݓࣜ࠶ᄹӉඔऌॖྐ؇ဒ࣮——ંaԛ֥႕ཙ, മᇀཨٮᆦԛॖିթᄝࢨ؍ྟ֥ࢲܒଆაൌᆣဒ[M]. Кࣘ: ࣜ࠶ܵԛϱഠ, 2006. э߄, ᆃུॖିᄯӮଆഡᇂ֥ொ༂, Ֆط႕ཙ[7] Jung C H, Boyd R. Forecasting UK stock prices[J]. Applied Financial Economics, 1996, 6(3):279-286. ਔଆყҩۿି֥Ⴕིྟ. ֒ಖ, 2۱ଆ֥ყҩForecasting Performance Comparison Between VAR and ECM: An Empirical Analysis on the Variables of GDP and Consumption in China 11,2* LI Hong-xiong, WANG Hao-han( of Business, Ningbo University, Ningbo 315211, China; School, Ningbo University, Ningbo 315211, China ) Abstract: This paper establishes a VAR and an ECM based on the defined parameters describing the patterns of GDP and Consumption. The two estimation models are built using the history data of GDP and Consumption. Using the two parameters describing the GDP and Consumption from the recent two years to predict and comparing the prediction results with the truth results show that the forecasting performance of the ECM is superior to that of the VAR. Key words: VAR; ECM; forecasting performance comparison čᄳщࠠ ᅣ৫Ď
