2(X)7୍ֻ12௹No.,122007(ሹֻ330௹)ཬٹႸneඳ.No330ࢌၞ෮ބၿྛࡗ൧ӆᅏಊࢌၞࡎ۬ؿགྷൌᆣ࣮nݒဗᆭආ(ౢն࿐ࣜ࠶ܵ࿐ჽ,Кࣘlၛxr84)ᅋေ:Ч໓࿊ᄴ၂ᆦᅏಊᄝࢌၞ෮൧ӆބၿྛࡗ൧ӆൈࢌၞ֥5ᆦᅏಊ,ٳљ০ႨVARଆაHasbrouck(195)ྐ༏ٺحଆ,ൌᆣ࣮ਔࢌၞ෮ᅏಊ൧ӆބၿྛࡗᅏಊ൧ӆᄝࡎ۬ؿགྷᇏ֥ቔႨb࣮ؿགྷ,VARଆіૼ,ࢌၞ෮൧ӆᄝᅏಊࡎ۬ؿགྷᇏఏਵ༵ቔႨ;ྐ༏ٺحଆіૼ,෮Ⴕݓᅏࢌၞ൞ࢌၞ෮൧ӆ֥ࡎ۬ؿགྷ܊ངնbၹՎ,ࢌၞ෮൧ӆᄝᅏಊ֥ࡎ۬ؿགྷᇏఏሢᇶေቔႨbܱࡲՍ:ݓᅏ;ࢌၞ෮൧ӆ;ၿྛࡗ൧ӆ;ࡎ۬ؿགྷJELٳোݼ,:G12G14໓ངѓ്:A໓ᅣщݼ:1(X)2၂7246u2(X)7)12၂0142၂12၂a໙ี֥ิԛࡎ۬ؿགྷ൞ᆣಊ൧ӆቋᇶေ֥ۿି,Hasbrouck(195)ࡼࡎ۬ؿགྷקၬູ൧ӆࡼྍྐ༏֝ದሧӁࡎ۬,ѩؿགྷनޙࡎ֥۬ݖӱbႮႿࡎ۬ྐ༏ބࡎ۬ؿགྷऎႵ܄܋֥หྟ,ၹՎ၂ᆰ൳֞࿐ඌࢸބ൧ӆܵᆀ֥ܱᇿb֒၂ሧӁൈᄝ҂֥൧ӆࢌၞ,ࡎ۬ؿགྷॹ֥൧ӆࡼਵ༵ః֥൧ӆ,ࡎ۬ؿགྷ֥ॹત္ࣼӮູޙਈ၂۱൧ӆིੱ֥֮ۚᇗေᆷѓbၹՎ,၂۱ޓሱಖ֥໙ี൞:ࡎ۬ؿགྷቋ༵ؿളᄝଧ၂۱൧ӆ?ଧ၂۱൧ӆؓሧӁ֥ࡎ۬ؿགྷఏᇶ֝ቔႨ?ၘႵ໓ངؓ၂ሧӁൈᄝ҂൧ӆࣉྛࢌၞ֥ࡎ۬ؿགྷ໙ีࣉྛਔնਈ֥࣮,ᇗׄฐษਔၛ༯ਆٚ૫໙ีb(1)၂܄ඳ֥ܢௐᄝ҂֥൧ӆഈࢌၞ֥ࡎ۬ؿགྷ໙ี,࣮ଧ၂۱൧ӆᄝࡎ۬ؿགྷഈऎႵᇶֹ໊֝bؓᄝૅݓଽ҂൧ӆࢌၞ֥ܢௐ࣮ؿགྷ,୧ჿᆣಊࢌၞ෮ᄝࡎ۬ؿགྷٚ૫ఏሢᇶ֝ቔႨ,ཌྷܱ֥࣮ႵGסӋdeabnds,iber(1979)Ha8brouck(195)طؓᄝଽຓഈ൧֥ܢௐط,ؓႿଽܢௐ൧ӆ,ႮႿഈ൧܄ඳ֥ᇶေြༀބሹ҆ᄝݓଽ൧ӆ,ၹՎᄝࡎ۬ؿགྷഈӮູ၂۱ቋᇶေ֥൧ӆ(Ha,,u201)ਸ਼၂ٚ૫,ႮႿૅݓ൧ӆ൞ఘࣂູᆸൗࢸഈቋն֥ܢௐ൧ӆ,ᄝࡎ۬ؿགྷഈႵᇗေ֥ቔႨbཌྷܱ֥࣮ႵGi~٦,Melvina,ndSchlᓻ(205)HupϴretsandMeve၂,d(202)BacidoؽandSo6anos(ၛಫ,b2)ބEunandSabherwal(2(X)3)(2)ࡼ၂ሧӁ֥ۀঔᅚ֞ؓܢௐ൧ӆބܢௐᆷඔစള൧ӆ֥࣮b࣮ؿགྷܢᆷ௹ࠊ൧ӆ֥ࡎ۬ؿགྷਵ༵ܢௐ൧ӆ,ᄝࡎ۬ؿགྷۿିഈंႿਵֹ໊༵bཌྷܱ࣮ႵG֥aeda,,ndSiber(1983)Cha,n(192)Both50andTse,(၂999)Chu,HsiehandTse൬۠ರ௹:ຣಫ၂,04၂12ቔᆀࡥࢺ:ݒᅵ(1970၂,)ଳ,Ѱൖള,ౢն࿐ࣜ࠶ܵ࿐ჽ;ဗᆭආ(1966၂,)ଳ,Ѱൖ,ڬ࢝൱,ౢն࿐ࣜ࠶ܵ࿐ჽb*Ч࣮֤֞ݓࡅሱಖ॓࿐ࠎࣁ(ਆ۱ࠎֹ)(ཛଢщݼ:7৩4042ၛ90)֥ሧᇹbቔᆀۋ྆େബದ֥ࡹഡྟၩ,֒ಖ໓ᄳሱڵb142
2֥7୍ֻ12௹ࢌၞ෮ބၿྛࡗ൧ӆᅏಊࢌၞࡎ۬ؿགྷൌᆣ࣮143,(199)50andTse(2(Xb)ݓ֥ᅏಊࢌၞ൧ӆႮࢌၞ෮൧ӆބၿྛࡗ൧ӆਆ۱൧ӆቆӮ,¹ఃᇏࢌၞ෮൧ӆҕაᆀᇶေႵᆣಊ܄ඳaЌག܄ඳaࠎࣁܵ܄ඳaఒြ֩ࠏܒሧᆀބ௴๙۱ದሧᆀቆӮ;طၿྛࡗ൧ӆҕაᆀᇶေႵഅြၿྛaᆟکሙ֥ն൧ӆb࣐ܵؓ၂ᆦᅏಊط,ࢌၞ෮൧ӆބၿྛࡗ൧ӆࢌၞ֥൞၂ᇕሧӁ,ᆺ൞ࢌၞֹׄ҂,ส০֤ࢌၞ෮ࡎ۬აၿྛࡗࡎ۬ົӻࠎЧनޙ,൞ਆ۱൧ӆᄝࢌၞٚൔa൧ӆҕაದބࢌၞܿᄵഈႵૼཁ֥҂(ဏ,ң࣋໓(2(X॓b))ၹՎ,ਆ۱൧ӆᄝࡎ۬ؿགྷ൞ڎ၂ᇁ,ਆ۱൧ӆ֥ᅏಊࡎ۬ؓྍྐ༏ّႋංॹංત,ᆴ֤࣮bଢభ,ݓଽ࿐ඌࢸؓഈඍ໙ีߎಌഒ࣮,ؓࢌၞ෮ބၿྛࡗᅏಊ൧ӆᆭࡗ֥ࡎ۬ؿགྷࠏᇅ֥࣮໓ངߎ٤ӈഒºbဗࡹૼ(2ၛp)০Ⴈᄝഈݚᆣಊࢌၞ෮ࢌၞ֥ݓᅏರඔऌ,ҐႨ൙ࡱٳ༅م,ॉҳCPI܄҃భުଖ၂ൈ௹ଽࣇࣇᄝࢌၞ෮൧ӆࢌၞ֥ᅏಊބൈᄝࢌၞ෮ބၿྛࡗ൧ӆࢌၞ֥ᅏಊ֥ӑح൬ၭੱ֥э߄b࣮ؿགྷࣇᄝࢌၞ෮ࢌၞ֥ᅏಊؓCPI֥܄҃թᄝิభّႋ,طൈᄝࢌၞ෮ބၿྛࡗ൧ӆࢌၞ֥ᅏಊ҂թᄝิభّႋb൞ھ࣮ߎ҂ି֤ԛࢌၞ෮ބၿྛࡗ൧ӆࡎ۬ؿགྷජॹජત֥ࢲંbຯaਟਞބᅦဗ(2(X)5)ൌᆣ࣮ਔٳ۩൧ӆ่ࡱ༯ࢌၞ෮ᅏಊ൧ӆაၿྛࡗᅏಊ൧ӆݓᅏקࡎ֥ҵၳ,ؿགྷࢌၞ෮ބၿྛࡗ൧ӆཌྷ௹ཋݓᅏ֥൬ၭੱሼ൝ࠎЧཌྷ,൞൬ၭੱնཬթᄝҵၳ,ࢌၞ෮֥൬ၭੱնႿၿྛࡗ֥൬ၭੱ,ѩՖࢌၞᇶุaੀྟބࢌၞࠏᇅ֩ٚ૫ࣉྛਔٳ༅bಖط,ھ࣮ીႵбࢠൈᄝࢌၞ෮൧ӆބၿྛࡗ൧ӆࢌၞ֥ᅏಊ֥ࡎ۬ҵၳbૌ֥࣮ࡼҀݓଽܱႿ൧ӆٳ۩่ࡱ༯ᅏಊࡎ۬ؿགྷٚ૫֥࣮ॢϢbЧં໓֥ଢѓ൞࣮ൈᄝࢌၞ෮൧ӆބၿྛࡗ൧ӆࢌၞ֥ᅏಊ֥ࡎ۬ؿགྷ,ࣉطᄹࡆૌؓྐ༏൞ೂޅᄝᆃਆ۱൧ӆࡗԮ־֥ਔࢳbؓഈඍ໙ี֥߭ճ,҂ં൞࿐ඌഈ,ߎ൞ൌᇏऎႵᇗေ֥ၩၬb๙ݖؓࢌၞ෮൧ӆބၿྛࡗ൧ӆ֥ࡎ۬ؿགྷࠏᇅ࣮,ሧᆀॖၛ۴ऌࡎ۬ؿགྷఏᇶ֝ቔႨ֥൧ӆิ܂֥ྐ༏ࣉྛࢌၞथҦ,طᆟҦᇅקᆀॖၛ۴ऌࡎ۬ؿགྷఏᇶ֝ቔႨ֥൧ӆ֥ᅏಊ൬ၭੱಒקࠎԤ০ੱbࠎႿᄝࢌၞ෮ބၿྛࡗ൧ӆࢌၞ֥ᅏಊࢌၞඔऌ,ૌ࿊౼ᄝਆ۱൧ӆൈࢌၞ֥ᅏಊࣉྛٳ༅,Ֆط॥ᇅਔၹᅏಊࢌၞᇕ֥҂طႵॖିӁള֥ொ༂bૌ൮༵০ႨVAR(ཟਈሱ݂߭)ଆؓᄝਆ۱൧ӆൈࢌၞ֥ᅏಊࡎ֥۬ਵ༵აᇌުܱ༢ࣉྛ࣮,ٳ༅ਆ۱൧ӆᆭࡗ൞ڎթᄝਵ༵ބᇌު֥ܱ༢bᄝՎࠎԤഈ,ૌࣉ၂҄০ႨHasbrouck(1995)֥ྐ༏ٺحଆࣉྛ໗ࡲྟဒ,ᄝླྀᆜٳ༅֥ࠎԤഈ,ॉҳ۲۱൧ӆؓႿᅏಊࡎ۬ؿགྷ֥܊ངbૌ֥࣮ؓ໓ང֥܊ངᇶေุགྷᄝၛ༯ਆ۱ٚ૫:(l)پڶਔ၂ሧӁᄝ҂൧ӆࢌၞ֥໓ང,ࡼ࣮ਵთঔᅚ֞ᅏಊ൧ӆ֥ࡎ۬ؿགྷb(2)ൌᆣ࣮ਔࢌၞ෮൧ӆބၿྛࡗ൧ӆජᄝࡎ۬ؿགྷᇏԩႿᇶֹ໊֝,ѩՖᇅ؇Ҫ૫ࢳਔఃᇏ֥ჰၹbЧ໓֥ࢲܒ൞ᆃဢνஆ֥:ֻؽ҆ٳ൞ࢌၞ෮൧ӆބၿྛࡗ൧ӆᇅ؇ࢺക,ֻ҆ٳ൞࣮ٚم,ֻඹ҆ٳ൞ඔऌটჷބඪૼ,ֻ҆ٳ൞ൌᆣࢲݔބٳ༅,ቋު൞ಆ໓ࢲંbؽaᇅ؇ඪૼ(၂)ࢌၞ෮൧ӆഈݚᆣಊࢌၞ෮ҐႨՂກֆ౺֥ࢌၞࠏᇅ,ીႵቓ൧അ,ሧᆀ๙ݖิࢌཋࡎກֆؓ൧ӆิ܂ੀྟbࢌၞ෮֥ᅏಊ൧ӆބܢௐ൧ӆ֥ࢌၞൈࡗ၂ᇁ,ູૄᇛ၂ᇀᇛ,ૄ฿ഈ9:30ᇀ¹Ԣਔഈඍਆ۱൧ӆၛຓ,ᇏݓ֥ݓᅏؽࠩ൧ӆߎЇওഅြၿྛ݊൧ӆ,൞,ݓᅏ݊ࢌၞሱ202୍षϷၛট,݊൧ӆ֥ࢌၞਈᇔ٤ӈౢ֎(ဗࡹૼ,2ၛb)º၂۱ॖି֥ჰၹ൞ᄝૅaႇaࡆଦն֩ؿղݓࡅ,ᆟکᅏಊᆺᄝOTC൧ӆഈࢌၞbࠧь൞թᄝࢌၞ෮ބOTCਆ۱ᅏಊ൧ӆ֥ݓࡅ,ሧᆀॖၛሱႮ֥࿊ᄴࢌၞӆ෮,ሧࣁॖၛሱႮֹᄝ҂֥൧ӆᆭࡗሱႮੀ(ၞۑ,2(X)2;)طᄝᇏݓ,അြၿྛᆺିᄝၿྛࡗ൧ӆࣉྛࢌၞ,ն҆ٳᅏಊ҂ିᄝࢌၞ෮ބၿྛࡗ൧ӆࣉྛሱႮ֥ཌྷሇກܵb
14ཬϲѳሹֻ33b௹,11:30༯1:oᇀ3:boمק܄ᇙࡌ௹Ԣຓbఃᇏഈ9:ె၂9:25ູࠢކࣩࡎࢨ؍,ࣉದᆞൔࢌၞൈࡗުູ৵࿃ࣩࡎࢨ؍bࢌၞ࿖ࡎ۬Ⴊ༵aൈࡗႪ༵֥ჰᄵbࠢކࣩࡎӁളᅏಊ֥षࡎ,҂ିӁളषࡎ֥,ၛ৵࿃ࣨࡎٚൔӁളbᅏಊ֥൬ࡎູ֒ರھᅏಊቋު၂гࢌၞభ၂ٳᇒ෮Ⴕࢌၞ֥Ӯࢌtࡆಃनࡎ(ݣቋު၂гࢌၞb)֒ರӮࢌ֥,ၛభ൬ࡎູ֒ರ൬ࡎbБࡎ༢֥ྛ౦Бࡎൈཁൕݓᅏಆࡎa࣪ࡎࠣႋ࠹০༏حbБࡎၛᅦ(૫ᆴ10ჭ)ູֆ໊,ࠧoૄϤჭ૫ᆴ֥ࡎ۬p,ࡎ۬൞ᆷૄ10ჭ૫ᆴݓᅏ֥ࡎ۬bݓᅏണБࡎ֥۬ቋཬБࡎֆູ໊.001ჭದлbࢌၞၛ൭ູֆ໊,ૄՑࢌၞቋཬඔਈ൞l൭,ၛದл10[X)ჭູ1൭(10ᅦ,)ၛ1൭ࠇఃᆜඔПࣉྛണБbֆгണБቋնඔਈႋ֮֒Ⴟ၂ຣ൭(ݣ၂ຣ൭b)ᆞൔൌീݓᅏ࣪ࡎࢌၞު,ൌྛ࣪ࡎണБބ࣪ࡎլކӮࢌ֥ٚൔ,ѩၛӮࢌࡎ۬ބႋ࠹০༏حᆭބቔູࢲෘࡎ۬bݓᅏ൧ӆࢌၞູT+Oٚൔ,ݓᅏགྷࠊࢌၞᄍྸൌྛ߭ሇࢌၞbࠧ֒฿ઙࣉ֥ݓᅏ֒฿ॖၛછԛ,֒฿છԛ֥ݓᅏ֒฿ॖၛઙࣉbطݓᅏࢲෘᄵοT+1ٚൔࣉྛ,ሧᆀა෮ᆷק֥ᆣಊഅᄝӮࢌުֻ֥ؽ۱ႏြರϷࢌ۩൭࿃b(ؽ)ၿྛࡗ൧ӆၿྛࡗ൧ӆӮ৫Ⴟ197୍b2(X)1୍7ᄅၛభ,ࢌၞචٚᇶေ๙ݖླྀഅ֥ٚൔಒקࢌၞ֥ࡎ۬ބඔਈ,࿘ࡎӮࢌ൞ᇶေ֥ࢌၞଆൔb2(X)1୍7ᄅၛު,ᇏݓದၿྛሙᇏݓ۽അၿྛ֩9ࡅഅြၿྛູၿྛࡗᅏಊ൧ӆචшБࡎഅ,ࠧൈཟ൧ӆБԛઙࡎބછࡎ֥ࢌၞഅ,ᆃၩሢၿྛࡗ൧ӆᄝݓࣁವ൧ӆᇏੱ༵ࡹ৫ቓ൧അᇅ؇b2(X)2୍චшБࡎᇅ؇ࣉ၂҄ປ,ၿྛࡗ൧ӆഈ֥ࢌၞഅॖၛ๙ݖᇏݓࠊлຩ֥ሰࢌၞࣉྛׄࠌӮࢌ,ՖطննิۚਔӮࢌ؇bਸ਼ຓ,ࢌၞഅᆭࡗ္ॖၛҐ౼࿘ࡎ֥ٚൔࣉྛሱᇶซᇯгӮࢌ,ࠧࢌၞචٚ๙ݖ߅aԮᆇࠇሰႯࡱ֩ૂࢺؓࢌၞေࣉྛซղӮ၂ᇁުᇯгదרӮࢌކbၹՎ,ၿྛࡗᅏಊ൧ӆൌ࠽ഈ൞؟ᇕࢌၞٚൔ܋թbႮႿၿྛࡗᅏಊ൧ӆࢌၞᇶေ൞ࠏܒሧᆀࡗ֥նሷ٤৵࿃ྟࢌၞ,෮ၛᅏಊࢌၞགྷಊઙછࡎ۬ࠇ߭ܓ০ੱႮࢌၞචٚሱྛಒק,აࢌၞ෮նሷࢌၞཌྷbնሷࢌၞ֥Ӯࢌࡎ۬൞۴ऌ֒ರၘӮࢌ֥ቋۚބቋ֮Ӯࢌࡎ۬ಒק,ၿྛࡗေ๙ݖ࿘ࡎٚൔࣉྛ,ط൞ᇯгӮࢌ,҂ཞࢌၞ෮ॖၛࣉྛ৵࿃ࢌၞb202୍ၛট,ൈᄝࢌၞ෮൧ӆބၿྛࡗ൧ӆࢌၞ֥ݓᅏॖၛൌགྷචཟੀ,ࠧࢌၞ෮ݓᅏॖၛກܵᇀၿྛࡗ൧ӆԛ൲,ၿྛࡗݓᅏॖၛກܵᇀࢌၞ෮൧ӆԛ൲,ᆃູݓᅏॴ൧ӆචཟส০ิ܂ਔࢌၞࠏᇅ֥ࠎԤb¹a࣮ٚم(၂)VARଆູਔ࣮൞ࢌၞ෮൧ӆߎ൞ၿྛࡗᅏಊ൧ӆᄝࡎ۬ؿགྷഈఏᇶ֝ቔႨ,ૌҐႨVARଆ,࣮ਆ۱൧ӆഈᅏಊ൬ၭੱ֥ਵ༵ބᇌުܱ༢bೂݔਆ۱൧ӆࢌၞ֥ᅏಊؓྍྐ༏ّ֥ႋ൞ൈ֥,ᄵਆ۱൧ӆᅏಊ֥ࡎ۬ᄎႋھթᄝ௹ཌྷܱܱ༢bཌྷّ,ೂݔթᄝଖ၂۱൧ӆؓྐ༏ّ֥ႋбਸ਼ຓ၂۱൧ӆؓྐ༏ّ֥ႋॹ,ପહਆ۱൧ӆᆭࡗթᄝਵ༵ބᇌު֥ܱ༢bູਔିܔࡼ෮Ⴕ֥ᅏಊࠢᇏఏটࣉྛܙ࠹,ૌ൮༵ؓૄᆺᅏಊ֥൬ၭੱࣉྛѓሙ߄bࡌഡ෮Ⴕэன֥֒௹ᆴ൞Ⴎૌ֥భൃ௹֥ᆴބ༂ҵཛथק֥,ೂݔᆺॉ੮ࢌၞ෮൧ӆ൬ၭੱބၿྛࡗ൧ӆ¹۴ऌҍᆟ҆uݓᅏॴ൧ӆሇກܵြༀܵϷمvܿק,սࠏܒቋӾႿ൳ग़ሇກܵກണ౨֥T+l۱۽ቔರ14:oభ,ཟሇԛٚກܵࠏܒิԛണ౨;ሇದaሇԛٚກܵࠏܒቋӾႿT2۱۽ቔರປӮሇກܵ;ॖੀ๙ݓᅏቋӾႿሇກܵປӮު֥༯၂۱۽ቔರ߫گࢌၞbၹՎ,ປӮ၂Ցປᆜ֥ሇກܵѩൌགྷੀ๙,෮ླေ֥ൈࡗ၂Ϯᄝ2-3฿,ᆃіૼॴ൧ӆࢌၞႵ၂ק֥ൈࡗڄགࠇࡎ۬ڄག(ຯaਟਞބᅦဗ(2(X]5b))
2(Xj7୍ֻ12௹ࢌၞ෮ބၿྛࡗ൧ӆᅏಊࢌၞࡎ۬ؿགྷൌᆣ࣮145൬ၭੱਆቆэਈ,ପહVARଆॖၛཿູ:ُ,:ؽa,.b+a::ُ,၂,+A+aZpR,;၂,+ᄅ:,ُ,:၂+A+ᄅ,,ُ,,၂,+u:,ྏ.mؽaZ,b+aZ:ྏ,၂:+A+aZpُ၂,+ࠫ,ُ.m၂,+A+Ѥُ.:၂,+་(l).ఃᇏ,ُ:ᆷ֥൞ֻm௹ࢌၞ෮ᅏಊ൧ӆ֥൬ၭੱ,m:ؽ1b,ฐ:൞ֻ:௹ࢌၞ෮ᅏಊ൧ӆ~pmӆomnom~o၂mo~~Mpppnmppm~၂rn၂၂ࠫm၂ُ၂:n၂o၂m၂m~၂၂op၂nmp၂m֥൬ಆࡎ;Ryh:,ᆷ֥൞ֻt௹ၿྛࡗᅏಊ൧ӆ֥൬ၭੱ,࠹ෘٚمࢌၞ෮൧ӆ֥൬ၭੱbpູࣜAICሙᄵಒק֥ൡ֒ᇌުࢨඔ,,alb,al,ll,,al,ী,ເ:,၂,aҀ,ᄅ,:,ll,ӄ,,ࠫ,,ll,ದ൞ܙ࠹ҕඔbo::,ϓm൞नᆴູਬ,ਙ҂ཌྷܱ,ླྀٚҵइᆔູO֥ϢᄮലbؓႿࢌၞ෮൧ӆФࢳэਈُ,:,ೂݔࢳэਈRҗ:၂,:၂,,Rr^,,ll,Rҗm၂,భ༢ඔ֥ᆴཁᇷ҂ູਬ,ඪૼၿྛࡗ൧ӆ֥భ௹൬ၭੱॖၛࢳࢌၞ෮൧ӆ֥֒௹൬ၭੱ,іૼၿྛࡗ൧ӆ֥ࡎ۬ؿགྷ༵Ⴟࢌၞ෮൧ӆ;,ؓၿྛࡗ൧ӆФࢳэਈ,:R,ط,ೂݔࢳэਈُ,၂ُ,၂2,ll,ُ၂,భ༢ඔ֥ᆴཁᇷ҂ູਬ,ඪૼࢌၞ෮൧ӆ֥భ௹൬ၭੱॖၛࢳၿྛࡗ൧ӆ֥֒௹൬ၭੱ,іૼࢌၞ෮൧ӆ֥ࡎ۬ؿགྷ༵Ⴟၿྛࡗ൧ӆ;ೂݔၛഈ౦ঃൈթᄝ,ᄵіૼࢌၞ෮൧ӆაၿྛࡗ൧ӆູࡎ۬ႄܱ֝༢b(ؽ)ྐ༏ٺحଆ֒၂ᆺᅏಊᄝࢌၞ෮ބၿྛࡗਆ۱൧ӆഈࣉྛࢌၞ,ູਔ࣮ᆃਆ۱൧ӆؓᅏಊࡎ۬ؿགྷ֥܊ང,၂۱ᇗေ֥ٚمࣼ൞Hasbrouck(195)ࡹ৫֥ླྀᆜٳ༅ٚمbٳ༅ٚمೂ༯:ُ.m൞ֻm௹ࢌၞ෮ᅏಊ൧ӆ֥൬ಆࡎ;ࠫm൞ֻm௹ၿྛࡗᅏಊ൧ӆ֥൬ಆࡎ;࣐ܵࡎُ۬,.ބగ,:ູֆᆜ,(҂໗)൞ఃࡎ۬ҵॖၛູ໗,္ُࠧ,.ބྏ.:ླྀᆜ,ᄵթᄝೂ༯༂ҵྩᆞଆ:¶ᆺ=a+၂:B+Ztᅝ,¶pѾ:+൦m၂pၙ2+K+ᅝ,ᆺၙ၂,+e:(2)ఃᇏൃ:ؽqُ,:,గ,:xm,mz၂ؽAnᆺ၂,,Anؽq,1၂1r,e.ؽ,[et:,eZ,:rm,e:ູनᆴູਬ,ਙ҂ཌྷܱ,ླྀٚҵइᆔູn֥Ϣᄮലbູਔܙ࠹ૄ၂۱൧ӆؓࡎ۬ؿགྷ֥܊ང,ࡼ(2)ᇗྍڿཿູཟਈ၍न(VMA)ྙൔ:ၙᆺؽcc(Le.)=e:+,గ_,+ϓగ၂:+.l(3)ఃᇏ,ࡊ(L)ູइᆔ؟ཛൔ,LູᇌުෘሰbႮُ,.ބpҗ.ླྀᆜc,ૌႵAm(1)ؽ,0ఃᇏ(l)ؽI+,+c2+.l,္ࠧ(l)൞၍न༢ඔᆭބ,ࠇᆀӫಠཛe.ؓ൧ӆࡎ֥۬Ӊ௹႕ཙᆭބ,ၹՎॖၛޙਈಠཛe,ؓࡎ֥۬Ӊ௹႕ཙbೂݔ(l)इᆔ֥ૄ၂۱ྛཌྷ,ପહಠཛe:ؓ෮Ⴕࡎ֥۬Ӊ௹႕ཙ൞ཌྷ֥bၹՎ,(l)൞ૌٳ༅֥ނྏb࠹ਈࣜ࠶࿐ᇏܙ࠹(l)Їও۱҄ᇧ:ֻ၂҄,০ႨslC(schi~nfoznTaCtionሃerion)ٚمಒקٚӱ(3)ᇏކൡ֥ᇌުࢨඔ;ֻؽ҄,۴ऌֻ၂ϱಒק֥ᇌުࢨඔ,ܙ࠹VECଆބइᆔ(l)֥ჭ;ֻ҄,ҐႨHasbrouck(195)ٚم,ܙ࠹ૄ۱൧ӆ֥ྐ༏ٺحb-Ⴎstockބwatsons(1988)ॖᆩ,ಠཛe.ؓ൧ӆࡎ֥۬Ӊ௹႕ཙູ.b(l)eᄝਆ۱൧ӆ֥౦ঃ༯ॖၛіඍູ:ҧl)et=ᆩࠫ:(4)ࡎ=(ࡎ:,:)սі(l)֥ྛཟਈ,:൞ႮႿྍ֥ྐ༏֝ᇁᅏಊࡎ۬э߄֥҆ٳ,ఃٚҵູଧപmbྐ༏ٺحॖၛ࠹ෘೂ༯:.1֒nູؓ࢘इᆔൈ(൧ӆࡗࡎ۬ಠཛᆭࡗીႵཌྷܱྟ,)ପહଧപmᆺЇݣؓ࢘ཌഈਆ۱ჭ:ૄ၂۱ჭսіਔหק൧ӆ֥Ԋࠌؓ܋ၹሰ֥܊ངbૄ۱൧ӆ֥ྐ༏ٺحູ:ֻj۱൧ӆ(jູࢌၞ෮൧ӆࠇᆀၿྛࡗ൧ӆ)֥ྐ༏ٺح:.5ؽuઔ-ࡎ۽പn(5)
146ཬϲѳሹֻ330௹ఃᇏ൞ࡎֻ֥j۱ჭ֒൧ӆࡗࡎ֥۬ಠཛթᄝૼཁཌྷܱൈ,nࣼ҂൞ؓ࢘इᆔ,భඍ֥ٚمࣼ҂ᄜކൡbHasbrouckࡹၰؓnҐႨcholeskyٳࢳ,ಖުᄜܙ࠹ૄ۱൧ӆ֥ྐ༏ٺحbF൞၂۱༯࢘इᆔ,flؽF,,ᄵֻj۱൧ӆ֥ྐ༏ٺحູ:s=ප۽2ࡎౡ(6),ఃᇏ,qࡎFljູྛཟਈइᆔࡎFֻ֥j۱ჭbҐႨCholesႼٳࢳٚمֻ֤၂۱эਈ֥ྐ༏ٺحቋն,ቋު၂۱эਈ֥ྐ༏ٺحቋཬbၹՎ,ૌ๙ݖڿэଆᇏэਈ֥࿖ॖၛ֤֞эਈྐ༏ٺح֥ഈ༯ࢸb֒൧ӆjԩႿֻ၂۱эਈൈ,֤֥֞ྐ༏ٺحູఃഈࢸ;ԩႿቋު၂۱эਈൈ,֤֥֞ྐ༏ٺحູః༯ࢸbҐႨഈඍٚم,ૌॖၛٳљܙ࠹ࢌၞ෮ބၿྛࡗ൧ӆྐ༏ٺح֥ഈࢸބ༯ࢸbඹaඔऌটჷބඪૼЧ࣮ҐႨ֥ඔऌটሱऊჷࣁವඔऌ.b(htp:֗~jldata~)ھඔऌЇওൈᄝഈݚᆣಊࢌၞ෮ބၿྛࡗ൧ӆࢌၞ֥ݓᅏರඔऌ,Їওݓᅏսaቋۚࡎaቋ֮ࡎaሹࢌၞࣁحa൬ࡎaሹؿྛࣁحaௐ૫০ੱaఏ༏ರa֞௹ರaڱ༏ٚൔbૌ࿊౼ਔൈᄝࢌၞ෮ބၿྛࡗ൧ӆࢌၞ֥ᅏಊቔູ࣮ؓའ,ᆃဢژކૌ࣮ေ֥ᅏಊ၂܋5ᆦbі1൞ܱႿ෮࿊֥ᅏಊဢЧ֥ࠎЧྐ༏bݕ1ൈᄝࢌӄ෮ބၿྛࡗࢌӄ֥ᅏಊ֥ࠎЧྐ༏ӫ౼༏ರ֞௹ರௐ૫০༏(%)ဢЧඔऌ௹ࡗ%ݓᅏ.6(ڸ༏)196၂6၂14၂6၂1411832(~X)၂l၂4၂2(Xຉ၂6၂92067ݓᅏ4(ڸ༏)197၂9၂5၂9၂59782(XX)၂l၂4၂2(Xె၂12၂ݓᅏ5(ڸ༏)199၂8၂20၂8၂203282(XX)၂1၂4၂2(Xຉ၂12၂ݓᅏె2(X)2၂12၂6၂12၂62932(X)2၂12၂16၂2(Xຉ၂12၂1503ݓᅏ012(X)3၂2၂192()l0၂2၂.19262(X)3၂2၂26၂2(ె၂12၂15і2൞ဢЧ௹ଽൈᄝࢌၞ෮ބၿྛࡗ൧ӆࢌၞ֥ᅏಊૄ୍ࢌၞ֥฿ඔbૌؿགྷ21)୍ၛభؿྛ֥ݓᅏࢌၞ෮ࢌၞࠃᄁ,൞ၿྛࡗ൧ӆ֥ࢌၞ٤ӈ҂ࠃᄁ;2(XX)୍ၛުؿྛ֥ᅏಊၿྛࡗ൧ӆࢌၞэ֤ࠃᄁbක2ൈᄝࢌӄ෮ބၿྛࡗ൧ӆࢌၞ֥मಊૄ୍ࢌӄ฿ඔ(ֆ໊:฿)ᅏಊӫ൧ӆো2(XX)2(X)12(X)22(X)32ၛ2(X)52(Xె96ݓᅏ6ၿྛࡗ621488111314612ࢌၞ෮23823923624024224210197ݓᅏ4ၿྛࡗ1083041335937ࢌၞ෮23823923624()2422422309ݓᅏ5ၿྛࡗ409112458043ࢌၞ෮23823923624024224223102ݓᅏ15ၿྛࡗ12238155l9()118ࢌၞ෮.1224024224223003ݓᅏ01ၿྛࡗ157153215184ࢌၞ෮208242242231
2(X)7୍ֻ12௹ࢌၞ෮ބၿྛࡗ൧ယᅏಊࢌၞࡎ۬ؿགྷൌᆣ࣮147࣐ܵႮႿ൧ӆٳ۩,ᄝଖུࢌၞರଖᆦᅏಊᆺᄝࢌၞ෮൧ӆႵࢌၞطᄝၿྛࡗ൧ӆીႵࢌၞ,ࠇᆀᄝၿྛࡗ൧ӆႵࢌၞ,طᄝࢌၞ෮൧ӆીႵࢌၞbູՎ,ૌؓཌྷਣਆՑࢌၞ֥ൈࡗࡗۯࣉྛ࠹,іb3෮ႵᅏಊཌྷਣਆՑࢌၞ֥ൈࡗࡗۯनᆴ֥नᆴູ12฿,ᇏᆴ֥नᆴູ3฿bᆌؓᆃᇕඔऌಌാ,ູਔ࣐ॖି֥০Ⴈඔऌྐ༏,ૌؓ3฿ၛଽಌكࢌၞ֥฿ඔҐႨഈ၂۱Ⴕࢌၞ֥ࢌၞರ֥ࡎ۬ቔູھರࢌၞࡎ۬ࣉྛඔऌҀఊ,ӑݖ3฿ၛഈીႵࢌၞ֥฿ඔ҂ҀఊbҐႨᆃဢԩ֥Ⴎ൞ૌಪູӑݖ3฿ၛഈ֥ࡎ۬ྐ༏ؓ֒భ֥ࡎ۬႕ཙ҂նbᆃဢᄝࣉྛ࠹ෘൈ,ӱሱࡼીႵࢌၞ֥ඔऌัԛbі3ᅏಊࢌၞࡗۯ࠹(ֆ໊:฿}ࡗۯರ௹(฿)൧ӆোनᆴᇏᆴٚҵቋཬቋն96ݓᅏ.6ࢌၞ෮.1811115ၿྛࡗ..100512216497ݓᅏ..4ࢌၞ෮1811115ၿྛࡗ..27810430121299ݓᅏ5ࢌၞ෮..1811115ၿྛࡗ..69371142141102ݓᅏ15ࢌၞ෮..1911315ၿྛࡗ..18111173ݓᅏ01ࢌၞ෮...20151315ၿྛࡗ..1711118aଆܙ࠹ބٳ༅(၂)ࠎЧ࠹і4൞ܱႿဢЧ௹ଽൈᄝࢌၞ෮ބၿྛࡗ൧ӆࢌၞ֥ᅏಊࢌၞਈބӮࢌࡎ֥۬ࠎЧ࠹bࡎ۬ҐႨᅏಊ֥ಆࡎ൬ࡎ۬bૌؿགྷ,ࢌၞ෮൧ӆ֥ࢌၞਈေჹჹཬႿၿྛࡗ൧ӆ֥ࢌၞਈ,नູၿྛࡗ൧ӆࢌၞਈ֥.3845%bطࢌၞ෮ࢌၞ֥ᅏಊࡎ္۬ေັбၿྛࡗ൧ӆࢌၞ֥ᅏಊࡎ֮۬,5ᆦᅏಊᇏႵ4ᆦ֮Ⴟၿྛࡗ൧ӆࢌၞ֥ᅏಊbක4ൈᄝࢌӋ෮ބၿྛࡗ൧ӆࢌၞ໊֥ಊ֥ࡎ۬ބӮࢌ,}ֆ໊:ჭ)൧ӆোनᆴᇏ໊ඔٚҵቋཬቋնӮࢌਈ%ݓᅏ..6ࢌၞ෮23895894291047767779ݱ)45682(X)ၿྛࡗ.ᇝX)24()2(X)7050[X)2654ҧXࣸ.97ݓᅏ4ࢌၞ෮.35531782059()733250540756230ၿྛࡗ1(Xె..17204(Xଢູ1584511020[X)1uX)၎סᄇ..9ݓᅏ5ࢌၞ෮79136421512(X)13031240310150187(X)ၿྛࡗ..123937407uX)၎X)1631359065(X)1059᳒Xࣸ
148ཬϲѳሹֻ30௹࿃і൧ӆোनᆴᇏ໊ඔٚҵቋཬቋն.02ݓᅏెࢌၞ෮.97725501697526371620517ၛຉ30ၿྛࡗ..458211702(XX)(Xಫ56161(X)01uD[X)..03ݓᅏ01ࢌၞ෮14615260ႆ522022864840ၿྛࡗ..2619251015ҧXXࣸ369423010ၛX)51५ଢXK)൬ࡎ..96ݓᅏ6ࢌၞ෮46ၛo32075184926203672041ౡੁ2713ؽឃӋ߃1970348250110820154540ၿྛࡗ..108550154820..97ݓᅏ4ࢌၞ෮107720146180ၿྛࡗ..102570146l9()..9ݓᅏ5ࢌၞ෮9796()108720ၿྛࡗ..98ၛ0108880..02ݓᅏ15ࢌၞ෮913201056ၛ)ၿྛࡗ...1(X)7701029()59()105550..03ݓᅏ01ࢌၞ෮.982ႆl(X)88470104210ၿྛࡗ...989781(X)8856()105510(ؽ)VARଆܙ࠹ᄝVARଆᇏ,ٚӱႷшીႵ௹ཛ,ૄ۱эਈ൞༵थэਈbᄝႋႨSIC(Sch~informationcriterion)ಒקᇌުࢨඔ,ૌؿགྷҐႨᇌު6ࢨॖၛԉٳّ႘эਈᆭࡗ֥ཌྷܱ༢bؓૄ۱ٚӱቓOбܙ࠹,֤֥֞VARଆܙ࠹ࢲݔbі5൞ࢌၞ෮ބၿྛࡗ൧ӆ൬ၭੱҗҵٚҵ၂ླྀٚҵइᆔb۴ऌі5ࢲݔ,ૌࠎЧॖၛಪູ൬ၭੱҗҵ֥ٚҵ၂ླྀٚҵइᆔູؓ࢘इᆔ,ܙ࠹ࢲݔॖၛႨটࣉྛٳ༅bක5VARҗਙٚҵ၂ླྀٚҵइᆔބཌྷܱ༢ඔٚҵ၂ླྀٚҵཌྷܱ༢ඔu၂mo2१u၂:గu၂...101200891uXX~.0107uZ....:0089063201071ၛၬ~і6൞༢ඔܙ࠹ࢲݔbູਔࢫസږ,ૌᆺБԛభ3ࢨᇌު֥ࢲݔbі6֥ࢲݔཁൕ,ࢌၞ෮൧ӆ֥൬ၭੱթᄝ၂ࢨڵ֥ሱཌྷܱ,൞ѩ҂ཁᇷbၿྛࡗ൧ӆ֥൬ၭੱթᄝཁᇷ֥၂ࢨڵ֥ሱཌྷܱbᆃඪૼࡎ۬թᄝ؋௹֥߭گbಖط,ቋᇗေ֥൞ૌؿགྷ,ᄝࢳࢌၞ෮൧ӆ൬ၭੱ֥ٚӱᇏ,ၿྛࡗ൧ӆ൬ၭੱ֥1၂3ࢨᇌުཛ,ᇌުֻ၂ࢨ֥༢ඔູڵ,ᇌުֻؽބֻࢨ֥༢ඔູᆞ,҂ཁᇷbඪૼၿྛࡗ൧ӆ֥൬ၭੱ҂ିࢳࢌၞ෮൧ӆ֥൬ၭੱb൞,ᄝࢳၿྛࡗ൧ӆ൬ၭੱ֥ٚӱᇏ,ࢌၞ෮൧ӆ൬ၭੱ֥1၂3ࢨᇌުཛ֥༢ඔູᆞ,ᄝl%֥ཁᇷྟඣ༯ཁᇷbඪૼࢌၞ෮൧ӆ֥൬ၭੱॖၛࢳၿྛࡗ൧ӆ֥൬ၭੱbൌᆣࢲݔіૼ,ࢌၞ෮൧ӆᄝᅏಊࡎ۬ؿགྷᇏਵ༵ၿྛࡗ൧ӆ,ᄝᅏಊ֥ࡎ۬ؿགྷᇏఏ༵
20()7୍ֻ12௹ࢌၞ෮ބၿྛࡗ൧ӆᅏಊࢌၞࡎ۬ؿགྷൌᆣ࣮149֝ቔႨbі6ဢЧ௹ಆ҆ᆺᅏಊVAR݂߭ࢲݔُ,.ྏ,.ُ,:၂,၂..0028004~(၂..1392)(4796)ُ,၂..:00120084pn..(0626)(4362)ُ,Ѿ..m,00170065o..(0793)(3486)ُ,:၂,၂.0027၂a592~(၂.0783)(၂.27120)R೬,၂.20019၂.0423၂..(0827)(၂17798)R,Ѿ.30017၂.0353pn.(0774)(၂.16229).Csontant0uX)3၂.0(Ӭె.(0141)(၂.0296)()ᇏ֥ඔᆴ൞tဒᆴ,.**іൕᄝ1%֥ඣ༯ཁᇷbᄝഈ૫֥vARଆܙ࠹ᇏ,ૌ൞ࡼ෮Ⴕ֥ᅏಊඔऌࠢᇏᄝ၂ఏࣉྛܙ࠹,ط20(xr୍ၛభؿྛ֥ᅏಊބ2uXK)୍ၛުؿྛ֥ᅏಊࢌၞࠃᄁӱ؇Ⴕࢠն֥҂bູՎ,ૌٳљؓ2(XX)୍ၛభؿྛ֥ᅏಊބ2ၛҭ)୍ၛުؿྛ֥ᅏಊࣉྛٳ༅,ࢲݔіb7ૌؿགྷ,҂ં൞ؓ20(X)୍ၛభؿྛ֥ᅏಊߎ൞ؓ20(X)୍ၛުؿྛ֥ᅏಊ,ࢌၞ෮൧ӆ֥൬ၭੱॖၛཁᇷࢳၿྛࡗ൧ӆ֥֒௹൬ၭੱ,طၿྛࡗ൧ӆ֥൬ၭੱ҂ିࢳࢌၞ෮֒௹֥൬ၭੱbࢲݔაࡼ෮Ⴕᅏಊࠢᇏᄝ၂ఏࣉྛVARܙ࠹֥ࢲݔ൞၂ဢ֥bࢌၞ෮൧ӆᄝᅏಊ֥ࡎ۬ؿགྷٚ૫ਵ༵ၿྛࡗ൧ӆᆃ၂ࢲંીႵэ߄bі720(X)୍ၛభބၛުؿྛᅏಊVARࢲݔُ.::R*20(X)୍ၛభؿྛᅏಊُ,:၂:၂..m00290085ؽ(၂..1208)(3877)ُ...:၂:m00260078ஂ..(1087)(3652)ُ၂..3n00240072..(1ࡆ.7)(3327)Rླྀ.Ѿl၂.m0036၂.0634..(၂1315)(၂.244֥).m၂.y^:R0027၂.0453m.(0889)(၂.15034)ُJ၂.30034၂0419m.(1121)(၂.14(ၬณ)
150ཬϲၫሹֻ330௹࿃іُ,mRࡆ5၂.0uXຉ..(0195)(၂0275)2(X୍ٕၛުؿྛᅏಊُ,m၂,၂..00310151~.(၂.0832)(34()3)ُ.m၂2၂..00170115~.(၂.0451)(2615)ُ,:၂3၂.01ᇝຉ.0069.(၂.0130)(1521)၂..Rҗ၂l00200494~.(0535)(၂.13131).Rੂ၂20016၂.0376~.(0430)(၂.9977)ྏ..:၂30ࡆ5၂.0327~.(0135)(၂.8625).00ၛ)၂.0(ె(၂.0010)(၂.0164)ᇿ:()ᇏ֥ඔᆴ൞mဒᆴ,.*bіൕᄝ1%֥ඣ༯ཁᇷb()ྐ༏ٺحଆ.1эਈ֥ླྀᆜဒଆܙ࠹ᆭభ,൮༵ླေؓэਈࣉྛླྀᆜဒ,ဒэਈᆭࡗ൞ڎթᄝӉ௹नޙܱ༢bؓႿᄝࢌၞ෮ބၿྛࡗ൧ӆࢌၞ֥၂ᆦᅏಊࡎ۬ᆭࡗླྀᆜܱ༢֥ဒ,ૌҐႨJohansen(198)ิԛ֥ࠖ࠹ਈބቋնหᆘᆴ࠹ਈਆᇕဒٚمbі8൞ࠖ࠹ਈླྀᆜဒ֥ࢲݔbݕ8эtࠖ࠹ླྀᆜဒࢲݔэனჰࡌഡหᆘᆴࠖ࠹ਈ5%ਢࢸᆴ(ࠖ࠹)1%ਢࢸᆴ(ࠖ࠹)...96ݓᅏ6None༉.0111937715412004...Atmoࣸ.tl~001179537666597ݓᅏ4None༉....01021086154120ၛ....Atmழݓᅏ5None.....01333753154120܂~0Ӌl֥.ࡎ..37666502ݓᅏ..15None༉..02029()35154120ၛ...Atmoࣸ.tl~0077529376665..03ݓᅏ01None...01723302154120ၛ...Atmostl~0ເ.5949376665ᇿ:***іൕᄝ1%֥ඣ༯ཁᇷb
2(X)7୍ֻ12௹ࢌӄ෮ބၿྛࡗ൧ӆᅏಊࢌၞࡎ۬ؿགྷൌᆣ࣮151ࠖဒіૼ,෮Ⴕݓᅏᄝ1%ඣ༯नթᄝླྀᆜܱ༢,ॖၛҐႨHasbrouck(195)֥ٚم࠹ෘࡎ۬ؿགྷ֥ྐ༏ٺحbਸ਼ຓ,ૌߎҐႨቋնหᆘᆴٚمࣉྛླྀᆜဒ,ဒࢲݔބҐႨࠖဒ֥ࢲݔ၂ᇁྐ༏ٺحଆ֥ܙ࠹ࢲݔႮႿࢌၞ෮ބၿྛࡗ൧ӆࡗࡎ۬ಠཛթᄝ௹ཌྷܱ,ૌླေҐႨCholeskyٳࢳ,০Ⴈླྀٚҵइᆔ֥࢘ٳࢳটყҩྐ༏ٺحଆ֥ഈࢸބ༯ࢸ,ಖުૌᄜܙෘఃनᆴbі9൞ྐ༏ٺحଆ֥ܙ࠹ࢲݔbྐ༏ٺحଆ֥ൌᆣࢲݔіૼ,ؓ෮Ⴕݓᅏࢌၞ,൞ࢌၞ෮൧ӆ֥ࡎ۬ؿགྷ܊ངࢠնbࢌၞ෮൧ӆؓᅏಊࡎ֥۬ؿགྷन܊ངб২Ֆႆ.39%֞.9%%,नູ.8968%;ၿྛࡗ൧ӆؓࡎ۬ؿགྷ֥܊ངб২Ֆ.0ၛ%֞.3961%,नູ.10ٕ%bၹՎ,ૌॖၛಪູࢌၞ෮൧ӆؓࡎ۬ؿགྷఏሢथקቔႨb္ࣼ൞ඪ,ࢌၞ෮൧ӆބၿྛࡗ൧ӆᅏಊࡎ֥۬थקބэ߄ᇶေ൳֞টሱࢌၞ෮൧ӆྐ༏֥႕ཙ,ࢌၞ෮൧ӆؓྐ༏ّ֥ႋॹႿၿྛࡗ൧ӆؓྐ༏ّ֥ႋbࢌၞ෮ᅏಊ൧ӆᄝყҩ০ੱэٚ૫ሙಒྟ۷ۚ,ၹطෙಖࢌၞ෮ᅏಊ൧ӆܿଆཬ,൞ିܔູᅏಊ൧ӆקࡎิ܂ᇶေ֥ҕॉbݕ9ྐ༏ٺحଆܙ࠹ࢲݔࡎ۬ඨ:ࡎ۬ඨ:ࢌၞ෮၂ၿྛࡗၿྛࡗ၂ࢌၞ෮ࡎ۬ؿགྷनᆴӫࢌၞ෮ၿྛࡗࢌၞ෮ၿྛࡗࢌၞ෮ၿྛࡗ൧ӆ൧ӆ൧ӆ൧ӆ൧ӆ൧ӆ.....96ݓᅏ609150֥8509230ࡆ.7709190(X)ݓᅏ.....40969100309096220037809657003439ݓᅏ.50ળ.960၎Xᆔ.09%..0(ମળ%0၎ᄇો......02ݓᅏ1509257007430920400796092300077003ݓᅏ....010ႆ87039130599104(Xູ.0ႆ3903961(ඹ)ჰၹٳ༅ބᆟҦݣၬܱႿࢌၞ෮൧ӆᄝࡎ۬ؿགྷٚ૫ंႿᇶֹ໊֥֝ჰၹ,ૌಪູႵၛ༯ࠫׄ:.1ࢌၞࠏᇅ֥ҵၳbࢌၞ෮൧ӆ൞၂۱ሰլކ֥ກֆ౺൧ӆ,طၿྛࡗ൧ӆ൞၂۱࠻ऎႵቓ൧അ൧ӆ֥หׄ,ႻႵࢌၞഅᆭࡗ๙ݖ࿘ࡎٚൔղӮࢌၞ֥൧ӆ֥หׄbቓ൧അ൧ӆ൞၂ᇕׅ֥Бࡎ౺ࠏᇅbᄝᆃᇕᇅ؇༯,ᆣಊ൧ӆഈ၂ུऎႵൌ৯ބྐუ֥ᆣಊࣜႏࠏܒ,҂؎ཟሧᆀБԛหקᆣಊ֥ઙೆࡎބછԛࡎ,ЌᆣࠣൈӮࢌ,ሧᆀॖၛᄝቓ൧അ෮Б֥ࡎ໊ഈཟቓ൧അઙࣉࠇછԛᆣಊbБࡎ౺ࢌၞᇅ؇ᄝؿղᆣಊ൧ӆၘႵࢠݺ֥൧ӆࠎԤ,Фྸ؟Ӯඃᆣಊ൧ӆܼٗҐႨbචшБࡎ֥ቓ൧അିЌᆣ܄ᇙᄝሱ࠭෮Бࡎ໊ഈ֥ઙછᆷ҂߶Фऋध,ሧᆀ҂сքྏીႵࢌၞؓ൭,Ֆطູ൧ӆิ܂ਔࢠ֥ۚੀྟb൞,ଢభݓၿྛࡗᅏಊ൧ӆ֥චшБࡎቓ൧അᇅ؇ഉໃປ,ᇶေุགྷᄝ:၂൞Ⴕൌ৯֥Бࡎഅޓഒ,Бࡎഅؓઙછࡎҵ֥Ϝି৯҂ቀ;ؽ൞Бࡎಊᇕݖഒ,ીႵսіྟ,БࡎഅؓႿ၂ུੀྟҵ֥ᅏಊ҂ିิ܂Бࡎ,ᄯӮޓ؟ᅏಊؿྛު༷ࣼႵӮࢌࡀ;൞Бࡎಌكӻ࿃ྟ;ඹ൞ᇶܵ҆ؓචшБࡎഅࡓܵ҂,БࡎഅીႵӵքႋႵ֥ၬༀ֩bၹՎ,ၿྛࡗ൧ӆაః၂ࠩؿྛ൧ӆ֥ஔնܿଆཌྷб,Ӯࢌ҂ࠃᄁbࢲݔࢌၞ෮൧ӆ֥ሧᆀؓྐ༏ّ֥ႋбၿྛࡗ൧ӆॹੀྟၹb۴ऌؓൈᄝਆ۱൧ӆࢌၞ֥ᅏಊ֥ࢌၞਈٳ༅ॖၛुԛ,࣐ܵࢌၞ෮൧ӆ֥Ӯࢌਈбၿྛࡗ൧ӆཬ,൞ࢌၞ෮൧ӆႵࢌၞ֥฿ඔေჹჹնႿၿྛࡗ൧ӆႵࢌၞ֥฿ඔ,ᆃіૼࢌၞ෮൧ӆ֥ࢌၞཌྷؓࠃᄁ,ߐ൭ੱۚ,ࢌၞ۷َ,ؓྐ༏ّ֥ႋ۷ࡆਲૹbޓ؟ࢌၞರ൞ࢌၞ෮൧
,52ཬϲѳሹֻ330௹ӆႵࢌၞطၿྛࡗ൧ӆࢌၞ,෮ၛࢌၞ෮۷ಸၞࡼ႕ཙᅏಊࡎ֥۬ྐ༏ّႋ֞ࡎ۬ᇏ൧ӆҕაᆀၹbࢌၞ෮൧ӆ֥ሧᇶุ൞ᆣಊ܄ඳaࠎࣁ܄ඳ֩ᇏཬࠏܒሧᆀބ௴๙֥۱ದሧᆀ,ఃሧଢ֥൞ູਔࠆ֤؋௹֥ሧ൬ၭ,ӻႵൈࡗ؋,ࢌၞࠃᄁ;طၿྛࡗ൧ӆᅝधؓႪ൝֥ሧᇶุ൞അြၿྛބЌག܄ඳ,หљ൞അြၿྛӻႵ֥ݓᅏٺحᅝ֞60%ၛഈ(ဗࡹૼ,,(2(XႻ))ఃሧଢ֥۷؟֥൞ູਔࣉྛሧӁ֥ᇂ,ӻႵൈࡗӉ,ࢌၞ҂ࠃᄁbႮႿਆ۱൧ӆሧᇶุ֥ҵၳ,֝ᇁਆ۱൧ӆ֥ሧྛ္ູ҂,ཌྷႋ֥ؓྐ༏ّ֥ႋ္҂bૌ֥࣮ऎႵᇗေ֥ᆟҦݣၬbࡹ৫၂۱ིۚੱ֮ӮЧऎႵۚ؇ੀྟ֥ᅏಊ൧ӆ൞ݓࣁವ൧ӆڿ۪֥ᇗေቆӮ҆ٳ,္൞ൌགྷݓࠊлᆟҦԮ֥֝ᇗေᄛุbଢభၿྛࡗ൧ӆંᄝؿྛܿଆߎ൞ࢌၞᇕഈննӑݖਔࢌၞ෮൧ӆ,ၘࣜӮູݓᅏؿྛބࢌၞ֥ᇶေӆ෮b൞০Ⴈൈᄝࢌၞ෮൧ӆބၿྛࡗ൧ӆࢌၞ֥၂ᅏಊ֥ඔऌૌؿགྷၿྛࡗ൧ӆ֥ࡎ۬ؿགྷۿିઋުႿࢌၞ෮൧ӆbᆃඪૼ,ູਔؿߨᅏಊ൧ӆᄝနྛࠊлᆟҦᇏ֥ቔႨ,หљ൞ၿྛࡗᅏಊ൧ӆᄝᇏနၿྛಒקࠎԤ০ੱᇏ֥ᇗေҕॉቔႨ,ࡆ఼ၿྛࡗᅏಊ൧ӆ֥ࡎ۬ؿགྷۿିӮູᇗေ֥ༀbૌ֥ൌᆣ࣮ࢲݔᆦӻᆃ၂ࢲંbູਔิۚၿྛࡗ൧ӆ֥ࡎ۬ؿགྷۿି,ླေՖࢌၞᇅ؇aࢌၞᇕa൧ӆҕაᆀ֥؟ဢྟ֩؟ٚ૫ದ൭bሹᆭ,ࡹ৫၂۱၂֥ᅏಊ൧ӆ,ঔնਆ۱൧ӆҕაᆀ,ᄹࡆᄝਆ۱൧ӆൈܫஇࢌၞ֥ᅏಊඔਈ,ิۚሇກིܵੱ,ࢆ֮ࢌၞӮЧऎႵᇗေ֥ၩၬ,ᆃࡼିܔิശ൧ӆིੱބࡎ۬ؿགྷ֥ۿିbੂaࢲંЧ໓࿊ᄴൈᄝࢌၞ෮൧ӆބၿྛࡗ൧ӆࢌၞ֥5ᆦᅏಊ,ٳљ০ႨvARଆაHasbmuck(195)ྐ༏ٺحଆ,ൌᆣ࣮ਔࢌၞ෮ᅏಊ൧ӆބၿྛࡗᅏಊ൧ӆᄝࡎ۬ؿགྷᇏ֥ቔႨbVARଆіૼ,ࢌၞ෮൧ӆᄝᅏಊࡎ۬ؿགྷᇏఏ༵֝ቔႨ;ྐ༏ٺحଆіૼ,෮Ⴕݓᅏࢌၞ൞ࢌၞ෮൧ӆ֥ࡎ۬ؿགྷ܊ངࢠնbࢌၞ෮൧ӆؓᅏಊࡎ֥۬ؿགྷ֥न܊ངб২नູ.8968%;ၿྛࡗ൧ӆؓࡎ۬ؿགྷ֥܊ངб২नູ.roٕ%bၹՎ,ૌॖၛಪູ,ࢌၞ෮൧ӆؓࡎ۬ؿགྷఏሢथקቔႨ,ࢌၞ෮൧ӆؓྐ༏ّ֥ႋॹ,ၿྛࡗ൧ӆؓྐ༏ّ֥ႋᇌުႿࢌၞ෮൧ӆbູਔؿߨᅏಊ൧ӆ,หљ൞ၿྛࡗ൧ӆᄝᇏနၿྛࠊлᆟҦᇏ֥ቔႨ,ླေ࿃ࡆ఼ބڿࣉၿྛࡗ൧ӆ֥ࡎ۬ؿགྷۿିbҕॉ໓ངtlrဏaң࣋໓,oᇏݓݓᅏ൧ӆ֥ੀྟ࣮p,(ᇏݓࣁವ࿐,၂)ZIXo୍ֻ2௹,ֻ226248်b}2rຯaਟਞaᅦဗ,uࢌၞ෮აၿྛࡗݓᅏ൧ӆקࡎбࢠv,2(X)5:ഈᆣ৳ކ࣮࠹߃ज़ีБۡbq3]ဗࡹૼ,u܄षྐ༏აݓᅏ൧ӆࡎ֥۬ࡎ۬ؿགྷݖӱ၂ࠎႿᇏݓ֥ࣜဒൌᆣٳ༅,)2၎୍ഈݚ௹ࠊࢌၞ෮Ѱൖު۽ቔᅟ۽ቔં໓b..[4]BacidoՎ,JM.,bdG,o6a2noࡆ,2uބidityprovisionandsྑiྏsttmdinginNYsE၂listჾnon၂.u55୬ksp,Jo1~ofFᆸnoncৌࠣb,,63133၂.158q...5]Both,GG,RW~,So,1ળ,o9IhaeediscovౡintheGermanૼp,tyinde:dৡvativesmaరetsJoᆸ~ofEྏonࣹႨณ,19619၂.643[6]Chᇹ,K.,lᓾ,o2Aᄍper,ଢysisofthel၂eadؕؽlationೂpbetweentheeashnlaరetandsփkindexfotuᅳക-,ketࠫࠧࢌ᪒of҂܄ླྀৌStჾೂ,51၂23152q7rChu.,QC.,W..GHs,iebૼ,,o1999Pricedi~ྑontheS&P50indexInarkets:Anoჳysioofspotib-.,dexinexdfu,turesandspDRsp,െo१ࠫሱيྏච࠻၀᪒ofFinanCෲ1Analrsiss,21၂.,C.,5ૼod5sabherw܄,,203C.~ඳerUmn,andౠ,Ⴎୂ২ౡ:Evidencb၂stჾCanഀ-anatocksp,ູԫҀၛofFiழb,58549၂.575},o91G.Ⴎଢe,K,.D,ಞбr,1979Doطntandிlitemࠧໃet.:AstUdyofcdualvࡆdeduriെp,-e8,Re~ofEconoҧႲ१בُၛሱӋb,61455၂ᄅെ]GโႮade,K..D,andW..LSi~,ober,1983గeemovementsandprieedi,ovݾinfutuۃழdcashmჾࠌetರo-,Re
2(X)7୍ֻ12௹ࢌၞ෮ބၿྛࡗ൧ӆᅏಊࢌၞࡎ۬ؿགྷൌᆣ࣮153~~ndsனሱmೂ,65289၂29q.,11]CraZnm,,ழӹ,,o2(X)5Inteam6onalyes၂olistedstockpെcesdunrigoverlᓽpingࡆdingho:urspricediscoveryandexchangeIateeഫtsn,,Joonଚ1ofEn్ᄉӮၛᄅழᅲ,12139၂.164[12]Hasbؽ,J,,o195Onesecurity,manymearkts:deteରningtheeontributionstopricedimoveInyp,JoomၛofF-inaڟ.,501175၂1201}13xHau,H,,o201lທationmatters:anexaminationofೂdingprO6tsp,JOonეᆸofFೂၛb,,561959၂.1983}14]Hu..pperets,,andA..JMenkvel,,od2(X)2Intradסᇹalysisofmearktintegࣸtion:DutehblueehipstradedinAmsteඳ,amodNewYporkJoᆸ~ofFinancݱMarkeo.,5၂5782q၂5x.,,21ᇝ,oೆeeDiscoveעinHangSengIndexMearkts:Index,FutUres,andTؽkingFunp,d२ቇඳofᅺ~ࡆӮၛ,,2487၂ળ.,},o16rJohansen.,,51988StaisticalAnalysisOfCofnteyationVectp,orJoora֗naa~ndcoൈର,,12231၂254Abഘrad:BasedonVARmoedlandHasbe,rouk(195)informৡonsharemodltheauthooselect5treasllעࡆndsࡆdedbothonExchangemarke*ழdInter၂bankmearktsimulstaneouly,andeᔐirieallystudytheroleoftwomarketsintheprieediseovൈ.VARmeodlresultsshowthatExchaenઅmartkplaysaleadingrolein༆eediscoveע.Iann֗tfoionshிmоelresultsalsofindthattheprieediseoverymai࠺yestakplearExehanઅѾerefore,thepapereoneludesthattheExchanઅmearktplaysadeterministieroleinTreasݾӋn-dmarkerᇝeediseovଧ.Keywrods:Treasuryn,bodExehangemeart,kinter၂,bankmaxketpricediseoveע.(หჿщဢ:ᆅ)(ؓ:LN)
