2005쓪2퓂뗚ꆡꆡꆡꆡꆡꆡꆡFeb.,200519뻭뗚2웚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ뮪ꆡ뚫ꆡ뺭ꆡ볃ꆡ맜ꆡ샭EastChinaEconomicManagemꆡꆡꆡꆡꆡ,훐맺막욱쫐뎡ꆢ믹뷰쫐뎡벰맺햮쫐뎡볤뗄킭헻맘쾵퇐뺿뫺퇠뺩,헅랽뷜(쟠떺듳톧ꆡ뺭볃톧풺,즽뚫ꆡ쟠떺ꆡ266071)[햪튪]컄헂틔짏횤ퟛ뫏횸쫽ꆢ짏횤믹뷰횸쫽뫍짏횤맺햮횸쫽캪퇐뺿뛔쿳,춨맽킭헻볬퇩ꆢ컳닮탞헽쒣탍뫍틲맻맘쾵볬퇩뾼달훐맺막욱쫐뎡ꆢ믹뷰쫐뎡뫍맺햮쫐뎡퓚막쫐평쿂뗸쿲짏퇯맽뛉탐쟩훐뗄뎤웚뻹뫢맘쾵벰뛌웚늨뚯뗄펰쿬,퇐뺿훐맺막욱쫐뎡ꆢ믹뷰쫐뎡뫍맺햮쫐뎡뗄퓋탐쿠맘탔쳘헷ꆣ[맘볼듊]믹뷰;킭헻볬퇩;컳닮탞헽쒣탍;틲맻볬퇩[훐춼럖샠뫅]F830ꆡꆡꆡ[컄쿗뇪쪶싫]Aꆡꆡꆡ[컄헂뇠뫅]1007ꆪ5097(2005)02ꆪ0122ꆪ03CointegrationAnalysisonStockMarket,FundMarketandNationalDebtMarketofChinaHUYan2jing,ZHANGFang2jie(CollegeofEconomics,QingdaoUniversity,Qingdao266071,China)Abstract:UsingtheCompositeIndexofShanghaiStockMarket,FundIndexandNationalDebtIndexastheanalyzingobjectives,thispaperappliesthecointegrationtest,error2correctionmodelandcausalitytesttoinvestigatelong2termequilibriumrelationshipandtheshort2termfluctuationeffectamongthestockmarket,,:fund;cointegrationtest;trror2correctionmodel;causalitytestꆡꆡ튻ꆢ컄쿗ퟛ쫶막쫐훐뷸탐뛌쿟닙ퟷ,뛔막쫐뗄컈뚨웰떽쇋튻뚨뗄뢺쏦ퟷ쯦ퟅ훐맺믹뷰쫐뎡뗄톸쯙랢햹,춶믹뷰ퟷ캪놾쫐뎡폃ꆣ짲뢣쾲(2002)뗈죋죏캪,평폚횤좯쫐뎡춶믺탐캪퇏뗄튻룶ퟩ돉늿럖뛔놾쫐뎡뗄펰쿬풽살풽듳,죧뫎냑컕춶훘ꆢ믹뷰욵랱뎴ퟷ뫍탅쾢엻슶뗄ꆰ뫚쿤ꆱ닙ퟷ뗈컊쳢뗄듦헟퓚막욱쫐뎡뫍믹뷰쫐뎡뗄탐캪닮뇰,첽톰막욱쫐뎡뫍믹뷰퓚,훐맺횤좯쫐뎡뗄늨뚯늢늻믡뛔믹뷰쫐뎡릹돉돥믷ꆣ췵뾭쫐뎡뗄솪뚯맘쾵돉캪떱잰뷰죚퇐뺿훐뗄튻룶훘튪싛쳢ꆣ쳎(2003)뛔짮?막욱쫐뎡뫍믹뷰쫐뎡뗄뮥뚯맘쾵퇐뺿뇭쏷Warther(1995)춨맽틽죫믘삡붻틗헟볙쮵ꆢ볛룱톹솦볙쮵퓚뛌웚쓚,믹뷰횸쫽쫕틦싊뗄늨뚯훷튪쫜떽ퟔ짭뗄펰쿬,막뫍춶죋쟩탷볙쮵살쮵쏷막욱쫐뎡폫믹뷰쫐뎡뗄뮥뚯맘쾵,욱횸쫽쫕틦싊뗄돥믷뛔믹뷰횸쫽쫕틦싊뗄펰쿬뷏킡,짮?믹쯻죏캪춶죋횮쯹틔붫뷰춶폚믹뷰,쾵퓚랴펳막욱쫐뎡뷰쫐뎡뫍막욱쫐뎡춶헟탐캪폐튻뚨닮뇰ꆣ뗄뷼웚벨킧;믹뷰쫐뎡뷸돶쇷솿뗄뇤뮯붫춸맽뎬뛮탨쟳믲릩좻뛸,뛔놾쫐뎡뗄쇭튻훷쳥ꆪꆪꆪ맺햮쫐뎡,쒿잰맺쓚룸뗄탎쪽,퓬돉막욱쫐뎡늨뚯;춶죋뛔막욱쫐뎡놧돖샖맛쿊폐퇐뺿웤폫막욱쫐뎡쫇럱듦퓚틲맻맘쾵ꆣ듓샭싛짏쮵,막(놯맛)쟩탷쪱,믡퓶볓믹뷰뗄릺싲(쫪믘),뷸뛸떼훂막욱욱쫐뎡뫍맺햮쫐뎡듦퓚ퟅ냥킧펦,떫쪵볊짏,평폚헢솽쫐뎡뗄짏헇(쿂뗸)ꆣRemolona,Kleiman뫍Gruenstein룶쫐뎡룷ퟔ쫜ퟅ늻춬틲쯘뗄펰쿬,뫜쓑에뛏솽헟듦퓚쟷춬ퟟ(1997)쪹폃릤뻟뇤솿뗄랽쪽,첽쳖쇋막욱쫐뎡놨돪쫇럱믡쫆뮹쫇놳샫ퟟ쫆ꆣ놾컄퓋폃킭헻럖컶,듓막볛ꆢ믹뷰뫍맺햮틽랢돉뎤탍ꆢ쫕틦탍폫좫쟲막욱탍믹뷰뗄쇷솿뫍볛룱뇤뚯,횸쫽뗄맘쾵뷇뛈,살볬퇩막욱쫐뎡ꆢ믹뷰쫐뎡뫍맺햮쫐뎡뗄쪵횤뷡맻뇭쏷,뛌웚뗄막욱쫐뎡놨돪뛔럇풤웚믹뷰쇷솿캴쓜맘쾵,늢쫔춼뷢쫍헢튻맘쾵놳뫳뗄뺭볃풭틲ꆣ퓬돉펰쿬ꆣAdler(1998)샻폃Granger틲맻맘쾵램춨맽첽쳖뛾ꆢ킭헻럖컶뗄쒣탍믹뒡막욱탍믹뷰쇷솿폫막욱쫐뎡놨돪볤뗄틲맻맘쾵,죏캪믹뷰쫐쪱볤탲쇐뇤솿횮볤뗄킭헻맘쾵퇐뺿쫇20쫀볍80쓪듺쒩뎡뗄늨뚯뛔막욱쫐뎡뇤뚯뻟폐뷗뛎탔킧맻ꆣ뻍맺쓚맘폚헢튻떽90쓪듺틔살볆솿뺭볃톧랽램뗄훘듳춻웆ꆣ헢튻랽램뗄믹싛쳢뗄퇐뺿쟩뿶살뾴,쇵퓂헤뫍샮뷰닽(2001)틔컥볒믹뷰놾쮼쿫쫇,죧맻솽룶믲솽룶틔짏뗄쪱볤탲쇐뇤솿쫇럇욽컈캪퇐뺿뛔쿳,살첽쳖훐맺횤좯춶믹뷰뛔막쫐뗄펰쿬,뷡맻뗄,떫쯼쏇뗄쒳훖쿟탔ퟩ뫏뚼뇭쿖돶욽컈탔,퓲헢킩뇤솿횮랢쿖,훐맺횤좯춶믹뷰늢늻쫇틔뎤웚춶캪훷,뛸듳뚼퓚볤듦퓚뎤웚뻹뫢맘쾵(킭헻맘쾵)ꆣ죧맻탲쇐y뺭맽d듎닮[쫕룥죕웚]ꆡ2004ꆪ11ꆪ13[믹뷰쿮쒿]ꆡ쟠떺듳톧뺭볃톧풺풺뎤믹뷰쿮쒿[ퟷ헟볲뷩]ꆡ뫺퇠뺩(1959ꆪ),쓐,놱뺩죋,뷌쫚,쮶쪿짺떼쪦,뢱풺뎤,퇐뺿랽쿲:뷰죚짮뮯샭싛,웳튵훎샭샭싛;헅랽뷜(1981ꆪ),쓐,즽뚫죋,쮶쪿퇐뺿짺,퇐뺿랽쿲:뷰죚샭싛폫헾닟ꆣꆪ122ꆪ
럖뫳뻟폐욽컈탔,퓲돆룃탲쇐캪d뷗떥헻탲쇐,뇭쪾캪I룟뛌웚풤닢뺫뛈ꆣ(d)ꆣ죧맻솽룶I(1)탲쇐뗄쿟탔ퟩ뫏뗃떽튻룶뇤솿캪I41Granger틲맻맘쾵볬퇩(0),퓲죏캪헢솽룶뇤솿쫇킭헻뗄,샽죧,x,y캪I(1),Granger틲맻맘쾵볬퇩훷튪쫇캪쇋쮵쏷뺭볃뇤솿횮볤뗄ꛅt=Yt-ꛁꚶt(1)틲맻맘쾵,튲뿉틔좷뚨뇤솿볤뗄틲맻랽쿲뫍잿뛈ꆣ룃랽램훷ꛅt캪I(0),쓇쎴x,y쫇킭헻뗄,ꛁ돆캪킭헻쾵쫽(ꛁꇙ튪쫇닉폃F춳볆솿살뻶뚨쫇럱뇤솿X뗄훍뫳탅쾢뛔Y뇤솿떱0),평폚ꛅt쫇욽컈뗄,x,y뻍늻믡럖샫첫풶,틲듋,쪽(1)잰횵뗄뷢쫍뻟폐춳볆쿔훸탔,벴볬퇩쿂쫇쫇럱돉솢:랴펳쇋튻훖뎤웚뗄뻹뫢맘쾵ꆣ듓뺭볃톧틢틥붲,헢훖킭헻맘ꛒ2(yt꛲yt-1,k<0)<ꛒ2(yt꛲yt-1,xt-k,k<0)(8)쾵뗄듦퓚뇣뿉틔춨맽웤쯼뇤솿뗄뇤뮯살펰쿬쇭튻뇤솿쮮욽횵죧맻폃x뗃훍뫳횵뫍y뗃훍뫳횵뛔y뷸탐풤닢뇈횻폃y뗄뇤뮯ꆣ킭헻맘쾵뗄쒣탍럖컶벰늽훨죧쿂:뗄훍뫳횵뛔y뷸탐풤닢쯹닺짺뗄풤닢컳닮튪킡,퓲돆x쫇틽11욽컈탔볬퇩웰y뇤뮯뗄Granger풭틲,럱퓲돆x늻쫇틽웰y뇤뮯뗄퓚뷸탐쪱볤탲쇐뗄킭헻맘쾵볬퇩횮잰,쫗쿈튪좷뚨쪱볤Granger풭틲;죧맻춨맽F볬퇩뗃돶x쫇틽웰y뇤뮯뗄탲쇐뗄욽컈탔ꆣ탲쇐뗄욽컈탔쫇횸탲쇐뗄뻹횵폫쪱볤컞맘,Granger풭틲,y튲쫇틽웰x뇤뮯뗄Granger풭틲,헢쪱솽헟춬쪱웤랽닮쫇폐쿞뗄,늢늻쯦쪱볤뗄췆틆랢짺쾵춳뗄뇤뮯ꆣ뮥캪틲맻,듦퓚튻훖쮫쿲랴삡뗄맘쾵,평폚쯼뗄뇤뮯틽웰x뇤솿쫇럱캪욽컈뗄맽돌돆캪떥캻룹볬퇩ꆣ놾컄쪹폃ADF뫍y뗄릲춬뇤뮯ꆣ(Augmented-Dickey-Filler)램볬퇩뇤솿뗄욽컈탔,춨뎣뛔죽ꆢ쪵횤볬퇩폫뷡맻탲쇐뗄{xt}ADF볬퇩뗄튻냣탎쪽캪:11퇹놾쫽뻝뗄톡좡ꇷxt=ꛁ+ꛂt+(ꛑ-1)+xt-1+ꇆpꛈiꇷxt-1+ꛅt(2)놾컄틔짏몣막쫐캪놳뺰,톡좡짏횤믹뷰횸쫽(JJ)뫍맺i=1웤훐ꛁ캪뎣쫽쿮,ꛑ뫍ꛈi캪쾵쫽쿮,ꛂt캪쪱볤쟷쫆쿮햮횸쫽(GZ)ퟷ캪뷢쫍뇤솿,뛔짏횤ퟛ뫏횸쫽(SZ)뷸탐킭,ꛅ헻럖컶틔웚랢쿖훐맺막욱쫐뎡ꆢ믹뷰쫐뎡벰맺햮쫐뎡늨뚯뗄t캪닐닮쿮ꆣp캪훍뫳뷗쫽,쯼뗄톡퓱뿉룹뻝AICힼ퓲뫍BICힼ퓲뷸탐ꆣ쇣볙짨H0:x쫇I(1)뗄,죧맻ꛑ-1늻쿔훸쓚퓚맘쾵ꆣ퇐뺿쟸볤캪2003쓪2퓂24죕떽2004쓪6퓂1틬폚쇣죕,릲307룶붻틗죕뗄쫕엌볛쫽뻝,쯹폃쫽뻝뻹살ퟔ횤좯횮,퓲뷓쫜H0,죏캪x쫇I(1)뗄ꆣ벴{xt}쫇튻뷗떥헻탲쇐,랴횮,퓲죏캪x쫇I(0)ꆣ탇췸햾ꆣ헢뛎쪱볤쫇훐맺믹뷰쫐뎡뫍맺햮쫐뎡맦쒣삩듳ꆢ훰21킭헻볬퇩늽돉쫬뗄뷗뛎,쫇막욱쫐뎡평태쫐캪얣쫐뗄뷗뛎,쓜릻뷏맘폚킭헻뇤솿횮볤뗄킭헻맘쾵,Johansen(1988캪돤럖뗘랴펳뇤솿볤뗄헦쪵맘쾵ꆣ)뫍Juselius(1990)쳡돶쇋폃쿲솿ퟔ믘맩(VAR)쒣탍뷸탐볬퇩21횸쫽볤뗄킭헻볬퇩벰뷡맻뗄랽램,춨뎣돆캪Johansen볬퇩,볬퇩쒣탍캪:짨X뛔횸쫽탲쇐뗄욽컈탔볬퇩,놾컄톡폃떥캻룹볬퇩t=(yt,X1t,X2t,K,Xkt)쫇k+1룶I(d)쪱볤탲쇐릹돉뗄쿲(ADF,Dickey뫍Fuller,1979)랽램ꆣ퓚볬퇩맽돌훐,쒣탍솿ꆣ죧맻{xt}럖솿횮볤듦퓚킭헻맘쾵,퓲폐뗄훖샠룹뻝퇹놾쫽뻝뗄쪱탲춼좷뚨;ퟮ폅훍뫳웚룹뻝AICy(Akaikeꆯsinformationcriteria)뫍SC(Schwarzcriterion)t=ꛁ0+ꛁXt+ꛌt(3)웤맀볆닐닮캪:ힼ퓲좷뚨,볬퇩뷡맻볻뇭1ꆣꛌ^ꆡꆡ뇭1룷횸쫽탲쇐뗄떥캻룹볬퇩뷡맻t=yt-ꛁ^0-ꛁ^Xt(4)퓚볬퇩맽돌훐뿉틔춨맽볬퇩킭헻믘맩랽돌뗄춳볆맀볆닐닮쿮뗄욽컈탔살에뛏킭헻맘쾵ꆣ죧맻맀볆춳볆닐닮탲쇐쫇욽뇤솿볬퇩탎쪽ADF횵1%쇙뷧횵5%쇙뷧횵욽컈ힴ첬(c,t,p)컈뗄,쓇쎴뻍쮵쏷뇤솿볤듦퓚킭헻맘쾵ꆣ떱솽룶럇욽컈쪱볤SZ(c,t,3)-21825840-410540-314557럱탲쇐(춬뷗떥헻)횮볤듦퓚킭헻맘쾵,퓲틢캶ퟅ솽룶탲쇐횮D(SZ)1-81034978-215866-119433욽컈볤듦퓚ퟅ뎤웚뗄뻹뫢맘쾵ꆣJJ(c,t,1)-21276993-410521-314548럱31컳닮탞헽쒣탍(VECM)D(JJ)1-71271780-215866-119433욽컈컳닮탞헽쒣탍쫇킭헻뗄튻훖뗈볛탎쪽ꆣ뛔폚믘맩랽돌GZ(c,t,1)11196942-314972-218906럱yt=ꛁ+ꛂxt+ꛅt(5)D(GZ)(c,t,1)-61373198-410530-314552욽컈죧맻x,y쫇킭헻뗄,퓲ퟜ쓜붫웤뮯캪컳닮탞헽뗄쳘힢:볬퇩탎쪽훐,c뇭쪾몬뎣쫽쿮,t뇭쪾몬쪱볤쟷쫆쿮,p캪훍뫳뚨탎쪽,벴웚쫽ꆣꇷy뇭1뿉틔뾴돶,퓚룸뚨쿔훸쮮욽캪1%뫍5%쪱,풭탲쇐t=ꛁ0+ꛁ1ꇷxt+ꛁ2(yt-1-ꛂxt-1)+et(6)쪽(6)돆캪컳닮탞헽쒣탍(ErrorCorrectedModel)ꆣ웤SZꆢJJ뫍GZ뚼캪럇욽컈탲쇐,튻뷗닮럖횮뫳,쯹폐닮럖탲훐,x쇐뗄t춳볆솿횵뻹킡폚쿔훸탔쮮욽캪1%뗄쇙뷧횵,뇭쏷훁t,yt캪뇤솿,뛸ꇷytꆢꇷxt퓲캪I(0)뇤솿ꆣ짏쪽뿉틔킴돉:짙뿉틔퓚99%뗄훃탅쮮욽쿂뻜뻸풭볙짨,SZꆢJJ뫍GZ뺭맽ꇷy튻뷗닮럖욽컈,뚼쫇튻뷗떥헻탲쇐,틲듋뿉틔뛔쯼쏇뷸탐킭t=ꛁ0+ꛁ1ꇷxt+ꛃECMt-1+et(7)웤훐ECMt-1=yt-12ꛂx헻맘쾵뗄볬퇩ꆣ볬퇩뷡맻죧뇭2쯹쪾:t-1캪컳닮탞헽쿮,틲캪xt,yt킭헻,쯹틔ECM튲캪I(0)ꆣ틲캪쪽(7)뗄뇤솿뻹캪컈뚨뇤룹뻝뇭2뗄볬퇩뷡맻뇭쏷,듦퓚ퟅ쒳훖뺭볃믺훆훆풼ퟅ솿,쪽(7)튲놻돆캪컈뚨믘맩랽돌,웤틢틥퓚폚,뛌웚뇤짏횤ퟛ뫏횸쫽ꆢ짏횤믹뷰횸쫽뫍짏횤맺햮횸쫽횮볤뗄뇤뚯,솿ꇷx뎤웚뛸퇔,쯼쏇뗄쿟탔ퟩ뫏폐쿲뻹뫢쫕솲뗄쟷쫆ꆣ컒쏇톡좡t뫍뎤웚틲쯘ꛃECMt-1솪뫏뻶뚨yt뗄뛌웚뇤뮯ꇷyt뗄랽쿲ꆣ튪쪹킭헻맘쾵ECMt-1뛔yt뗄뇤뮯ꇷyt뗄퓶볓(믲복짙)쯆좻뇈뇈뷏듳뗄Johansen킭헻볬퇩뗄뇪ힼ뮯랽돌캪:웰틖훆(믲복뮺)ퟷ폃,ꛃ펦룃킡폚0,틲듋,ECM뗄쓚몭SZ=41871096JJ-21812005GZ+15968199+ꛌt퓚폚춨맽킭헻맘쾵살킣헽쓚짺뇤솿뗄뛌웚뇤뮯ꆣ평폚킭헻맘(7107972)(2431994)(9)쾵뗄돉솢,쪽(7)뻟폐쓚퓚컈뚨탔,샻폃쯼뿉틔폐킧뗘쳡쇮ꆪ123ꆪ
VECM=SZ+41871096JJ-21812005GZ+15968199횸쫽뗄뇤뮯믡떼훂짏횤ퟛ뫏횸쫽뫍믹뷰횸쫽뗄늨뚯,뛸쿠랴(10)틲맻맘쾵뗄볙짨퓲놻뻜뻸ꆣꆡꆡ뇭2Johansen킭헻볬퇩뷡맻쯄ꆢ뷡싛벰헾닟틢틥퇹놾춨맽샻폃킭헻럖컶뛔짏횤ퟛ뫏횸쫽ꆢ짏횤믹뷰횸쫽뫍짏:2/24/2003ꆪ6/1/2004맛달횵:307훍뫳:11탲쇐횤맺햮횸쫽뗄뎤웚뻹뫢맘쾵벰뛌웚늨뚯펰쿬뗄쪵횤퇐뺿,컒:SZJJGZ쳘헷룹쯆좻뇈1%쇙뷧횵5%쇙뷧횵킭헻랽돌룶쫽쏇뿉틔랢쿖훐맺막욱쫐뎡ꆢ믹뷰쫐뎡뫍맺햮쫐뎡뗄퓋탐뻟폐죧쿂쳘헷:011213603112551735165291680311훐맺막욱쫐뎡ꆢ믹뷰쫐뎡뫍맺햮쫐뎡뗄ퟟ쫆퓚막욱쫐01051391513171782010415141ퟮ뛠1룶뎡평쿂뗸(짏횤ퟛ뫏횸쫽평2002쓪7퓂3죕뗄1730192엌헻010004130104132161653176ퟮ뛠2룶믘실떽2003쓪11퓂18죕뗄1316156뗣)탐쟩떽짏퇯(짏횤힢ퟛ뫏횸쫽퓚2004쓪4퓂6죕뒴쿂뷼솽쓪살뗄ퟮ룟뗣:3뇭쪾퓚5%쿔훸탔쮮욽짏L1R1볬퇩뻝뻸늻듦퓚킭헻뗄볙짨ꆣ1777152)탐쟩뗄맽뛉맽돌훐듦퓚ퟅ뎤웚뗄킭헻맘쾵,헢틢뛔탲쇐VECM뷸탐떥캻룹볬퇩,랢쿖쯼틑뺭쫇욽컈탲캶ퟅ막욱쫐뎡뿉틔퓚튻뚨돌뛈짏뛔믹뷰쫐뎡뫍맺햮쫐뎡릹돉쇐펰쿬ꆣ,늢쟒좡횵퓚0뢽뷼짏쿂늨뚯,퇩횤쇋퓚짏횤ퟛ뫏횸쫽ꆢ짏횤믹뷰횸쫽뫍짏횤맺햮횸쫽횮볤듦퓚킭헻맘쾵뗄헽좷탔ꆣ21믹뷰쫐뎡뫍막욱쫐뎡뻟폐춬헇춬뗸뗄뎤웚뻹뫢맘쾵,룹뻝쪽(6),쪹폃Hendry뗄듓튻냣떽룶뇰뗄붨쒣랽램믹뷰쫐뎡뛔막욱쫐뎡듦퓚튻뚨쪱훍킧펦,떫쯦ퟅ훍뫳웚쫽뗄,뛔쎿룶뇤솿훍뫳2웚,좻뫳쳞돽쓇킩쾵쫽늻쿔훸뗄훍뫳웚,뷸퓶볓뛸펰쿬복죵;맺햮쫐뎡폫막욱쫐뎡듦퓚ퟅ랴쿲ퟷ폃,듓튻늽뗃돶뗄뷏캪볲뷠뗄컳닮탞헽쒣탍캪:뎤풶살뾴,막욱쫐뎡뛔맺햮쫐뎡뗄펰쿬쿠떱쿔훸,헢쮵쏷,ꇷSZ퓚뷏뎤쪱웚쓚막욱쫐뎡뫍맺햮쫐뎡뗄듦퓚ퟅ냥킧펦ꆣt=-0161858ECMt-1-0102179ꇷSZt-1+0118096ꇷJJt-1(-119246)(1124687)(119302331평폚킭헻맘쾵뗄듦퓚,막욱쫐뎡ꆢ믹뷰쫐뎡폫맺햮쫐)+0104335ꇷJJt-2+815767ꇷDZ뎡뗄ퟟ쫆쫇럱욫샫죽헟뗄뎤웚뻹뫢ힴ첬붫틽웰막욱쫐뎡뗄뛌t-1웚랴쿲뗷헻,늢쟒평폚헢훖뗷헻솦뛈뗄잿뺢떼훂뎤웚쓚맺햮(1124187)(1161604)(11)컳닮탞헽쒣탍쫇튻룶뛌웚쒣탍,웤훐뻹뫢컳닮탞헽쿮랴쫐뎡뫍막욱쫐뎡뗄쿠랴ퟟ쫆ꆣ펳쇋뎤웚뻹뫢뛔뛌웚늨뚯뗄펰쿬,뗈쪽폒닠뗄닮럖쿮랴펳뇤41Granger틲맻볬퇩뗄뷡맻뇭쏷,믹뷰횸쫽뗄늨뚯늻쓜솿뛌웚늨뚯뗄펰쿬ꆣ평쪽(11)컒쏇뿉틔뾴떽훍뫳튻웚뗄짏릻틽훂짏횤ퟛ뫏횸쫽뗄늨뚯,헢쮵쏷훐맺춶믹뷰퓚듳엌늨횤ퟛ뫏횸쫽뗄뇤뮯붫틽웰놾웚짏횤ퟛ뫏횸쫽뗄랴쿲뇤뮯,쯤뚯쪱뻟폐컈뚨쫐뎡릦쓜뗄쮵램쫇횵뗃짌좶뗄;뛸짏횤ퟛ뫏횸좻헢훖랴쿲ퟷ폃늢늻듳,떫훁짙쮵쏷짏횤횸쫽뗄늨뚯늻뻟폐쫽뗄늨뚯쎻폐틽훂믹뷰횸쫽늨뚯뗄풭볙짨퓲놻뻜뻸,쮵쏷믹뷏듳뗄퇓탸탔;럖뇰훍뫳1웚뫍2웚뗄믹뷰횸쫽뛔짏횤ퟛ횸뷰횸쫽뗄뇤뮯쫇쫜헻룶막쫐뇤뮯뗄펰쿬뗄;맺햮횸쫽늨뚯틽뻟폐헽쿲뗷뷚ퟷ폃,떫쯦ퟅ훍뫳웚쫽뗄퓶볓펰쿬풽살풽죵훂믹뷰횸쫽늨뚯,쮵쏷훐맺춶믹뷰뗄춶ퟩ뫏훐맺햮춶;훍뫳1웚뗄맺햮횸쫽뛔짏횤ퟛ뫏횸쫽뗄헽쿲ퟷ폃뷏잿,떫퓚쯹햼뇈훘뮹쫇늻킡뗄,믹뷰뗄춶럧룱욫쿲폚컈뚨ꆢ욽뫢ꆢ탞헽컳닮쿮뗄랴쿲뗷헻ퟷ폃(듓쾵쫽뾴컈붡뫍햮좯탍ꆣ,뗷헻뗄솦뛈뇈뷏듳ퟜ횮,뺡맜훐맺막욱쫐뎡뗄랢햹뮹늻릻돉쫬,쫐뎡늻춬)쿂,짏횤ퟛ뫏횸쫽욫샫웤폫맺햮횸쫽뗄뎤웚뻹뫢붫틽웰짏횤ퟛ뫏횸쫽뗄랴랽쿲뗷헻,헢뿉틔듓쪽돌뛈듦퓚ퟅ춶믺탐캪퇏훘ꆢ믹뷰욵랱뎴ퟷ뫍탅쾢늻뛔돆뗈컊(9)훐뾴돶,벴퓚뎤웚뻹뫢쿂,맺햮횸쫽폫짏횤ퟛ뫏횸쫽듦퓚잿쇒뗄랴쿲맘쳢,떫듓뎤웚살뾴,훐맺막욱쫐뎡ꆢ믹뷰쫐뎡뫍맺햮쫐뎡듦쾵ꆣ퓚ퟅ튻뚨뗄뮥뚯맘쾵ꆣ31룷횸쫽탲쇐뗄틲맻맘쾵볬퇩뷡맻[닎뾼컄쿗]짏쫶뗄킭헻럖컶쮵쏷쇋막욱쫐뎡ꆢ믹뷰쫐뎡뫍맺햮쫐뎡\[1\]췵뾭쳎,뫺쯄탞.짮?막욱쫐뎡폫믹뷰쫐뎡뮥뚯맘죽헟횮볤듦퓚ퟅ뎤웚컈뚨뗄뚯첬뻹뫢,튲뻍췪좫럻뫏쾵뗄볆솿럖컶\[J\].뫾놱듳톧놨:ퟔ좻뿆톧냦,2003,25G(ranger틲맻럖컶뗄튪쟳ꆣ샻폃Eview1).s311,뷸탐짏쫶죽룶틲쯘뗄Granger틲맻볬퇩뗄뷡맻볻뇭3ꆣ\[2\]컢쫀얩,컢폽믔.훐맺횤좯춶믹뷰훘닖돖폐막욱ꆡꆡ뇭3룱삼뷜틲맻볬퇩뗄쫐뎡탐캪퇐뺿\[J\].뺭볃퇐뺿,2003,(10).풭볙짨\[3\]퇞퇴,샮훎,탭뻹욽.훐맺막쫐늨뚯폫뫪맛뺭볃F횵P횵틲쯘늨뚯볤뗄킭헻맘쾵퇐뺿\[J\].춳볆퇐뺿,2004,(4).JJ쎻폐퓚Granger틢틥쿂틽훂SZ31747470102713\[4\]EgnleRE,쎻폐퓚Granger틢틥쿂틽훂JJ01756040106863rection:representation,estimationandtesting\[J\].Econome2tGZ쎻폐퓚Granger틢틥쿂틽훂SZ01374830168842ics,1987,(1).SZ쎻폐퓚Granger틢틥쿂틽훂GZ21120130112566\[5\]쎻폐퓚Granger틢틥쿂틽훂JJ01004920199509\[J\].JournalofEconomicDynamicsandControl,1988,(12).JJ쎻폐퓚Granger틢틥쿂틽훂GZ51222100100705\[6\],realactiviyt,inflationandmoney\[J\].AmericanEconomicReview,1981,71.볬퇩뷡맻뇭쏷,퓚ꛁ=0105뗄쿔훸쮮욽쿂,믹뷰횸쫽뗄\[7\]Harris,늨뚯쎻폐떼훂짏횤ퟛ뫏횸쫽늨뚯뗄풭볙짨쎻폐놻뻜뻸,뛸짏ment:AReassessment\[J\].EurpoeanEconomicReview,횤ퟛ뫏횸쫽뗄늨뚯쎻폐틽훂믹뷰횸쫽늨뚯뗄풭볙짨퓲놻뻜1997,(1).뻸,쮵쏷믹뷰횸쫽뗄뇤뮯쫇쫜헻룶막쫐뇤뮯뗄펰쿬뗄;맺햮[퓰죎뇠벭:탭풾믔]ꆪ124ꆪ
