ଲ ष ࣜ ࠶ ࣮ 2008年 第1期 NANKAI ECONOMIC 2008 ࠎႿᇶӮٳܒᄯॿࡏ༯֥ݓൌ࠽߸ੱ नޙࠏᇅ࣮ * ޡ ࡹૼ ᅋ ေğҐႨᇶӮٳمđࡼંഈؓൌ࠽߸ੱऎႵ႕ཙ֥8۱ൌ࠽ࣜ࠶эਈࣉྛਔඔऌ୩෪đՖᇏԎ౼ԛ۱ᇶӮٳđࣉطၛૌቔູࢳэਈđࡹ৫༂ҵྩᆞଆၛҩਈݓ֥नޙൌ࠽߸ੱbЧ໓ҩԛ֥ݓൌ࠽नޙ߸ੱ൞၂۱թᄝ൝ཛބ၍ཛ֥൝໗ݖӱbൌ࠽नޙ߸ੱ֥൝ྟіૼđದлनޙࡎᆴᄝܴҩ௹ଽթᄝӻ࿃ъᆴ֥൝bᆃඪૼᄝൌീסᇾૅჭ֥߸ੱᇅ؇ބཋᇅሧЧੀ֥ᆟҦߌ༯đݓൌ࠽߸ੱթᄝሢห֥नޙࠏᇅđᆃᇕनޙࠏᇅၛົӻۚࣜ࠶ᄹӉੱູଢѓđၛ҂؎ঔնԛ१ླູ৯đൈေದл֥नޙࡎᆴ҂؎ࢆ֮b ܱՍğᇶӮٳٳ༅Ġ༂ҵྩᆞଆĠनޙൌ࠽߸ੱĠ߸ੱᇅ؇ ၂aႄ ୍࣍টđෛሢݓࣜӈཛଢԛགྷӻ࿃ඨҵđದл߸ੱ໙ี൳֞ਔটሱݓଽຓ࿐ᆀᄀটᄀܼ֥ܱٗᇿbݓଽຓ࿐ᆀؓದл൞ڎթᄝФ֮ܙ֥གྷའቔਔնਈൌᆣ࣮b؎ದл൞ڎФ֮ܙ֥ٚم൞ॉҳದлൌ࠽߸ੱაఃनޙඣ֥ொҵbᄝҐႨᆰࢤčࡗࢤĎѓࡎم֥౦ঃ༯đದлൌ࠽߸ੱۚႿč֮ႿĎनޙඣᄵіൕದлФ֮ܙbၹՎđҩ؇ದл֥नޙൌ࠽߸ੱčreal equilibrium exchange rate——REERĎьӮູ࣮ᆃ၂໙ี֥ܱb ሹุটඪđбࢠऎႵ႕ཙ৯ൌ࠽नޙ߸ੱҩ؇ଆᇶေႵğCasselč1922Ď֥ܓઙ৯ࡎંčPurchase power ParityĎaSwanč1963Ď֥ޡܴࣜ࠶नޙٳ༅ٚم֥नޙ߸ੱଆaWilliamsonč1983Ď֥ࠎЧၹनޙ߸ੱଆčFEERĎaEdwardsč1989Ď֥नޙൌ࠽߸ੱଆčERERĎaClarkč1999Ď֩ದ֥ྛູनޙ߸ੱଆčBEERĎaSteinč1994Ď֥ሱಖनޙ߸ੱଆčNATREXĎၛࠣMischal Rubaszekč2004Ď֥ݓ࠽൬ᆦनޙ߸ੱଆčBPEERĎbݓຓ࿐ᆀRomain Duvalč2002Ďބݓଽ࿐ᆀࡻѯक़č2006Ď֩ؓഈඍଆቓݖབྷ࣐֥ࢺകބധೆ֥бࢠٳ༅b ҩਈൌ࠽नޙ߸ੱ֥҂ંଆႵሢ҂֥ࡌק่ࡱđؓ“नޙ”֥קၬ္Ⴕ෮҂bSwan֥ޡܴࣜ࠶नޙٳ༅ٚم֥नޙ߸ੱଆࡼ“नޙ”קၬູࣜ࠶ԩႿԉٳࣼြሑđݓ࠽൬ᆦЌӻޙbFEERଆބBEERଆؓ“नޙ”֥קၬߎॉ੮ਔ * ޡđ฿ࣃҍࣜն࿐ࣜ࠶࿐ჽčႯщğ300222ĎđE-mail:lihong 0936@ࡹૼđ฿ࣃҍࣜն࿐ݓ࠽ࣜ࠶સၞ༢čႯщğ300222ĎđE-mail:lujianming 0309@ 31
ޡaࡹૼğࠎႿᇶӮٳܒᄯॿࡏ༯֥ݓൌ࠽߸ੱनޙࠏᇅ࣮ ၬэਈ֥႕ཙđଽ҆नޙሑԢਔൌགྷԉٳࣼြᆭຓđߎေЌӻࢠ֥֮๙ࠊளᅮੱĠطຓ҆नޙᄵФקၬູЌӻ၂۱ॖӻ࿃֥ࣜӈཛଢჅحđᆃൌ࠽ഈၩሢ၂۱ࢠູ໗ק֥aކၩ֥ݓ࠽࣪ሧЧੀđ္ࣼ൞ඪđຓ҆नޙ֥ݣၬൌ࠽ഈ൞ࣜӈཛଢჅحაሧЧཛଢჅحޙbBPEERଆაഈඍ۱ଆቋն֥҂ᄝႿ෮ҐႨ֥ൌ࠽߸ੱ൞ࣜၬ߸ੱטᆜ֥ݓଽຓસၞ֥ࡎ۬бđط҂൞ሹࡎ۬ඣᆭбđࣉطࡼ“नޙ”קၬູݓ࠽൬ᆦޚ֩ൔ֥Ӯ৫đ္ࣼ൞ඪđPEERંקၬ֥नޙൌ࠽ഈࣇᆷຓ҆नޙbNATREX ଆؓ“नޙ”֥קၬ൞ၛष٢ࣜ࠶ݓ൬ೆᅬޚ֩ൔčS-I=CAĎູࠎԤ֥đھંϜनޙൌ࠽߸ੱקၬູӁ൧ӆनޙބሧӁቆކनޙൈൌགྷ֥౦ঃ༯ݓ࠽൬ᆦൌགྷޙ֥ൌ࠽߸ੱඣbERERଆؓ“नޙ”֥קၬᄵ۷ࡆ۬đھંᄝᇙ؟ࡌഡ่ࡱ༯ܒᄯਔЇওሧӁथקaླ҆a܂۳҆aᆟک҆ބຓ҆҆֩۱֥҆16۱ٚӱđ֒٤સၞ൧ӆԛౢaຓ҆҆ൌགྷनޙčࠧݓ࠽ԥСэaࣜӈᅬჅحaࠊлթਈэन֩Ⴟ0ĎaҍᆟᆟҦॖӻ࿃čࠧᆟکᆦԛ֩Ⴟ౷֥ඥ൬൬ೆĎၛࠣሧӁቆކൌགྷनޙᆃඹ۱่ࡱൈӮ৫ൈđࣜ࠶ԩႿ໗קሑđՎൈൌ࠽߸ੱղ֞ਔӉ௹ॖӻ࿃֥नޙሑb ႮႿٳ༅ॿࡏ֥҂đ۲ં෮࿊౼֥ࢳэਈෙಖթᄝ၂קӱ؇֥ᇗןđ္թᄝࢠն֥ҵၳbֹ۬ࢃđ࿊౼҂֥ંଆބؓႋ֥ࢳэਈ෮ҩ؇ԛট֥नޙൌ࠽߸ੱ֥ݣၬ္൞҂֥đૌّ႘ਔ۲ંଆЧദ෮קၬ֥“नޙ”ൌ࠽߸ੱbط۲ંଆ֥ࡌק่ࡱა෮ٳ༅֥ࣜ࠶ุ֥གྷൌ౦ঃᆭࡗ֥ކӱ؇ᄝޓնӱ؇ഈथקਔҩ؇ࢲݔ֥ॖྐྟbFEERaBEERaBPEERaNATREXࠣERER֩ંଆҩෘनޙൌ࠽߸ੱ෮ҐႨ֥ٚم൞ᄝൌ࠽߸ੱაఃࢳэਈᆭࡗթᄝླྀᆜܱ༢֥భิ༯đ๙ݖࡹ৫༂ҵྩᆞଆট࿙ᅳૌᆭࡗ֥Ӊ௹नޙܱ༢đՖطҩԛनޙൌ࠽߸ੱbᆃᇕ࠹ਈٚمЧദ֥ၩၬᄝႿ๙ݖ۲࠹ਈ֥ཁᇷྟဒॉҳഈඍ۲ંଆ൞ڎൡႨႿ෮ٳ༅֥ࣜ࠶ุđࣉط࿊౼ކൡ֥ଆؓھࣜ࠶ุ֥ൌ࠽नޙ߸ੱࣉྛҩෘbᄝൌ࠽ҠቔᇏđႮႿࢳэਈඔଢݖ؟đૌᆭࡗສສթᄝ؟ᇗ܋ཌྟđႮંଆ࿊ק֥ࢳэਈࣜӈၛ๙ݖཁᇷྟဒđՖطླေՖଆᇏัԢbؓંଆ࿊ק֥ࢳэਈ֥ڿэႻ࠹ਈଆၛಒ్ֹ؎ંଆ൞ڎൡႨႿٳ༅ؓའb ݓनޙൌ࠽߸ੱ֥࣮ࠎЧഈ൞ၛഈඍଆູ၇ऌđႋႨ༂ҵྩᆞଆটҩਈनޙൌ࠽߸ੱ֥bбࢠऎႵսіྟ֥Ⴕğᅦཫ௲č1999Ďaᅦᆽӑč2001Ďaޱૼč2001Ďaਟѵ఼č2002Ďaਾঢ়ބضč2002Ďaᅦќč2003Ďaᄶܼč2003Ďaᮠབ഻č2004Ďaᅦᜩč2004Ďaീࡹ߉č2005Ďaົݓč2005Ďaቐഉč2005Ďaᠯč2006Ď֩bႮႿૌ࿊౼֥ંଆaࢳэਈၛࠣဢЧࡗ֥҂đؓൌ࠽नޙ߸ੱࠣൌ࠽߸ੱொҵ֥ҩ؇ࢲݔթᄝሢޓնҵၳbೂਟѵ఼č2002Ďaീࡹ߉č2005Ďaົݓč2005Ďaᠯč2006Ď֩ؓൌ࠽नޙ߸ੱҩਈ֥ቋᇔ࠹ਈଆᇏđऎႵཁᇷྟ֥эਈᇶေႵݓ֥સၞ่ࡱaष٢ӱ؇aࠊл܂۳ਈࠣຓ߸࣪ሧӁ֩đᆃུэਈൌ࠽ഈᇶေّ႘ਔݓࣜ࠶֥ຓ҆ޙ౦ঃđၹՎૌҩਈ32
ଲ ष ࣜ ࠶ ࣮ 2008年 第1期 NANKAI ECONOMIC 2008 ԛ֥ದлൌ࠽नޙ߸ੱ๙ӈّ႘ਔದлनޙࡎᆴऎႵശᆴ൝bطᄶܼč2003Ďaቐഉč2005Ď֩ᄝࡆೆGDPᄹӉੱaসളӁੱࠣ๙ࠊளᅮੱّ֩႘ଽ҆नޙ֥эਈުđҩਈԛ֥ದлൌ࠽नޙ߸ੱ๙ӈّ႘ਔದлनޙࡎᆴऎႵъᆴ൝bՎຓđႮႿ҂ࡗഈ֥ဢЧЇݣਔ҂֥ࣜ࠶ྐ༏đ۲ཛ࣮ᄝ҂ဢЧࡗଽaႋႨ҂ٚمҩਈԛ֥नޙൌ࠽߸ੱ֥ࣜ࠶ଽݤ۷ࡆతҵຣљbᆃུࢲݔႻսіਔఃҐႨ֥࠹ਈଆЧദၩၬഈ֥नޙൌ࠽߸ੱđՖطၛૌ֥Ⴊਜb၌ݭ֥൞đଢభ֥࣮؟ொᇗႿؓఃҩਈԛ֥ൌ࠽߸ੱொҵ֥ٳ༅đطޭਔൌ࠽नޙ߸ੱЧദ෮πݣ֥ࣜ࠶ݣၬb Ч໓ิ܂ਔ၂ᇕࢳथഈඍี֥ٚمđࠧࡼᄝંഈؓൌ࠽߸ੱऎႵ႕ཙ֥ᇙ؟ࣜ࠶эਈቆӮ၂۱эਈቆđҐႨᇶӮٳٳ༅ٚمؓэਈቆࣉྛඔऌ୩෪čData Reduc-tionĎbᄝЌᆣ90 ၛഈࢳି৯่֥ࡱ༯đՖᇏԎ౼ԛۄ۱ᇶӮٳčཬႿൌ࠽эਈ۱ඔĎđಖުᄜႨૌაൌ࠽߸ੱэਈࡹ৫༂ҵྩᆞଆđҩ؇ԛൌ࠽߸ੱ֥Ӊ௹नޙਙb၂ٚ૫đᆃᇕٚمॖၛᄝቋնཋ؇ࡨഒྐ༏ാ֥భิ༯෪ࡨࢳэਈ֥ඔਈđՖطࡥ߄࠹ਈଆđࢳथݓࣜ࠶༮ཬ֥ဢЧࡗ۳ࡹ৫؟эਈ֥༂ҵྩᆞଆջট֥ऍնđൈߎॖၛཨԢэਈࡗ֥؟ᇗ܋ཌྟĠਸ਼၂ٚ૫đᆃᇕٚم෮ҩਈԛ֥ൌ࠽नޙ߸ੱॖၛ۷ࡆᆇൌaಆ૫ֹุགྷቔູٳ༅ؓའ֥ࣜ࠶ุൌ࠽नޙ߸ੱ֥หׄb ႮႿࣜݖඔऌ୩෪ളӮ֥ᇶӮٳࠁކਔൌ࠽ࣜ࠶эਈ෮Їݣ֥ྐ༏đᆃᇕٚمᄹࡆਔࢳൌ࠽ࣜ࠶эਈؓൌ࠽नޙ߸ੱ႕ཙ֥؇bၹՎđЧ໓Ϝᇗׄ٢ᄝ۷ࡆധೆֹٳ༅Ⴈᆃᇕٚمҩਈԛট֥नޙൌ࠽߸ੱЧദ֥หׄഈđѩࣉ၂҄ฐษݓൌ࠽नޙ߸ੱ֥ྙӮࠏᇅb ؽaؓದлൌ࠽नޙ߸ੱ֥ҩෘ č၂Ďэਈ࿊ᄴࠣඔऌඪૼ Ч໓קၬ֥ൌ࠽߸ੱ൞ၛ1994୍ູࠎ௹֥ದлؓૅჭ֥චшൌ࠽߸ੱᆷඔbೂ܄ൔč1Ď෮ൕğ C/UC/UreruERPU/PCERPIUtttttt RERU=== （1） tCUCUreruERPU/PCERPIC00000t ఃᇏRERUູt௹ದлൌ࠽߸ੱᆷඔđູࡥьఏđЧ໓༯૫֥ٳ༅ᇏᆰࢤႨtC/URERUটіൕھэਈĠreruູt௹ದлൌ࠽߸ੱĠERູt௹100ૅჭ֥ၬದttлࡎ۬ĠPCіൕt௹ᇏݓࡎ۬ඣđPUіൕt௹ૅݓࡎ۬ඣĠPIUູt௹ૅݓ֥tttཨٮᆀࡎ۬ᆷඔčၛ1994୍ູࠎ௹ĎĠPICູt௹ᇏݓ֥ཨٮᆀࡎ۬ᆷඔčၛ1994t୍ູࠎ௹Ďbൌ࠽߸ੱᆷඔّ႘֥ൌ࠽߸ੱэ߄֥ൈࡗਫ਼ࣥđط൞၂ᇕཨԢਈ۔֥бੱᆷѓđၹՎ۷Ⴕ০Ⴟૌٳ༅ൌ࠽߸ੱ֥э߄หᆘbႮႿૌҐႨ֥൞ᆰࢤѓࡎ33
ޡaࡹૼğࠎႿᇶӮٳܒᄯॿࡏ༯֥ݓൌ࠽߸ੱनޙࠏᇅ࣮ م֥ၬ߸ੱđၹՎൌ࠽߸ੱᆷඔ֥ഈശսіದлъᆴđ༯ࢆᄵսіದлശᆴb ᄝؓൌ࠽߸ੱэਈ֥קၬഈđႵ֥࿐ᆀđೂീࡹሙč2005Ďaົݓč2005ĎҐႨ֥൞ದл֥ൌ࠽Ⴕི߸ੱčreal effect exchange rateĎđࠧၛݓᇶေસၞࠄϴ֥સၞحᅝݓሹસၞح֥бᇗູಃඔ࠹ෘ֥ൌ࠽߸ੱ֥ࡆಃनᆴູٳ༅ؓའbႮႿݓҐႨ֥൞ףᇾૅჭ֥ֆ၂߸ੱᇅ؇đൌ࠽Ⴕི߸ੱᆷѓّط҂ൡႿؓݓ֥ٳ༅đطᄹࡆਔඔऌ֥گᄖྟđၹՎЧ໓ࣇٳ༅ದлؓૅჭ֥ൌ࠽߸ੱb ၇ऌഈඍࠫᇕൌ࠽नޙ߸ੱંଆđЧ໓ࠢކਔགྷႵؓದлൌ࠽नޙ߸ੱҩෘ໓ངᇏҐႨ֥ࢳэਈđՖᇏ࿊౼ਔ8۱ऎႵսіྟ֥эਈቔູଆ֥ࢳэਈbఃᇏğM2ູݓࠊл܂۳ਈ֥ᄹӉੱĠWGູݓ۽ሧሹحᅝGDP֥бᇗđھᆷѓႨၛّ႘ݓپღေБԏ֥э߄ĠFREFູᇏૅਆݓሹཨٮč۱ದཨٮĐᆟکᆦԛࠇཨٮĎᅝGDP֥бᇗбđّ႘ਆݓཨٮൈࡗொݺ֥э߄ĠTRADEູݓაૅݓԛ१حᅝൗࢸԛ१ሹح֥бᇗбđھᆷѓّ႘ਔൗࢸ൧ӆؓਆݓӁླ֥э߄ĠFORູݓຓ߸ԥСᄹӉੱđႨၛіൕݓຓ߸࣪ሧӁ֥э߄ĠTOTູݓ֥સၞ่ࡱđھᆷѓႨݓ֥ࣉԛ१حб২ูսĠOPENູݓ֥ؓຓष٢؇đႨݓ֥ؓຓસၞ၇թ؇іൕđࠧࣉԛ१ሹحᅝӁԛ֥бᇗĠLNGDPູݓݓଽളӁሹᆴ֥ؓඔᆴb აགྷႵ֥ҩਈݓൌ࠽नޙ߸ੱ֥໓ངཌྷбđഈඍ8۱эਈ۷ࡆಆ૫ֹّ႘ਔ႕ཙൌ࠽߸ੱ֥۲োၹbൈđૌ္൞ཨԢਈ۔֥ඔऌđᆃაൌ࠽߸ੱᆷඔඔऌ֥หׄ൞၂ᇁ֥bଆ֥ဢЧࡗູ1994~2005୍đҐႨ࠱؇ඔऌđඔऌनটჷႿᇏࣜޡܴඔऌ९bູਔཨԢඔऌ֥࠱ࢫྟѩᄹࡆ໗ྟđЧ໓Ⴈ4ࢨ၍नٚمؓഈඍ۲эਈቓਔ߁ԩb čؽĎႋႨᇶӮٳٳ༅ٚمࣉྛඔऌ୩෪ Ч໓ႨSPSS࠹ೈࡱҐႨᇶӮٳٳ༅ٚمؓഈඍ8۱эਈቓਔඔऌ୩෪ԩđSPSSൻԛ֥ࢲݔೂі1෮ൕb і1 SPSSᇶӮٳٳ༅ࢲݔğٚҵࢳ Ԛэਈหᆘᆴ Ԏ౼эਈުหᆘᆴ ᇶӮٳ หᆘᆴ ٚҵ܊ངੱ ࠹ٚҵ܊ངੱหᆘᆴ ٚҵ܊ངੱ ࠹ٚҵ܊ངੱ 1 2 5 6 7 8 Ֆі1ॖၛुԛđՖ8۱ൌ࠽эਈᇏԎ౼ԛ֥۱ᇶӮٳิ܂֥ࠒٚҵᅝሹٚҵ֥ đᆃඪૼᆃ۱ᇶӮٳ෮Їݣ֥ྐ༏ᅝ۱ൌ࠽эਈ෮Їݣ֥ྐ༏֥ bૌࡼᆃ۱ᇶӮٳٳљקၬູF1aF2ބF3bູਔ۷ࡆૼ༉ֹඪૼ۲ൌ࠽34
ଲ ष ࣜ ࠶ ࣮ 2008年 第1期 NANKAI ECONOMIC 2008 эਈᄝݓൌ࠽߸ੱनޙࠏᇅᇏ֥ቔႨđૌႨSPSSೈࡱؓэਈF1aF2aF3ቓਔ100Ցቋնٚҵᆞࢌ࿈ሇčVarimax RotationĎđၛૄ۱ᇶӮٳഈऎႵቋۚᄛހ֥эਈඔղ֞ቋཬđՖطᇶӮٳэਈF1aF2aF3֥ᇶေܒӮӮٳ۷ࡆౢ༉b࿈ሇު֥ᇶӮٳइᆔೂі2෮ൕğ і2 ࿈ሇު֥ᇶӮٳइᆔ эਈ ᇶӮٳ1 ᇶӮٳ2 ᇶӮٳ3 TRADE OPEN M2 ۴ऌі2ཁൕ֥ᇶӮٳइᆔđ8۱ൌ࠽эਈބ۱ᇶӮٳэਈᆭࡗ֥ܱ༢ູğ TR♠ADE ≡−−♠≡ ↔ ≈↔≈ ↔ ≈ ↔ ≈ −− ↔ ≈ F♠1 ≡ ↔ ≈↔ ↔ ≈≈ ≈ F2 ↔ ≈ ↔ ≈M2− ↔ ≈ ↔ ≈F3 ← …− ↔ ≈ ↔ ≈↔≈TOT−−− ↔ ≈ W↔G ≈−←…← … ఃᇏđᇶӮٳF1čcomponent 1Ďഈᄛހधؓᆴӑݖ֥эਈЇওݓაૅݓԛ१حᅝൗࢸԛ१ሹح֥бᇗбčTRADEĎaݓຓસ၇թ؇čOPENĎࠣݓӁԛᄹਈ֥ؓඔᆴčLNGDPĎđඪૼF1ᇶေႮᆃ۱эਈܒӮĠᇶӮٳF2čcomponent 2Ďഈᄛހधؓᆴӑݖ֥эਈЇওݓຓ߸ԥС֥ᄹӉੱčFORĎaݓ֥ࠊл܂۳ਈᄹӉੱčM2Ďࠣݓཨٮ֥ൈࡗொݺčPREFĎđඪૼF2ᇶေႮᆃ۱эਈܒӮĠᇶӮٳF3čcomponent 3Ďഈᄛހधؓᆴӑݖ֥эਈᆺႵݓ֥સၞ่ࡱčTOTĎđఃэਈᄝF3ഈᄛހ֥धؓᆴनᄝቐႷđᆃඪૼF3ᇶေႮэਈTOTܒӮđൈ္་൬ਔఃэਈնჿٳᆭ၂֥ྐ༏bਸ਼ຓđLNGDPᄝᇶӮٳF2ഈ֥ᄛހधؓᆴ္ղ֞đطэਈWGᄝF1ބF2ഈ֥ᄛހधؓᆴٳљູބđၹՎᆃਆ۱эਈؓF1ބF2Ⴕࢠູᇗေ֥႕ཙbF1aF2ބF3ᅼཌೂ1b Ֆ1ᇏॖၛૼཁֹुԛэਈF1aF2ބF3ᆭࡗ҂թᄝ؟ᇗ܋ཌྟbᆃဢđЧ໓๙ݖᇶӮٳٳ༅مᄝЌӻ90 ၛഈэਈྐ༏֥౦ঃ༯ཨԢਔэਈᆭࡗ֥؟ᇗ܋ཌྟđൈ္ࡨഒਔэਈ۱ඔđࡥ߄ਔ࠹ਈଆbؓႿᆃ۱эਈ֥ࣜ࠶ݣၬđгᆀࡼᄝ༯໓ᇏࡼࢲކ࠹ਈଆ֥݂߭ҕඔࠣఃཁᇷྟࡆၛࢳb 35
ޡaࡹૼğࠎႿᇶӮٳܒᄯॿࡏ༯֥ݓൌ࠽߸ੱनޙࠏᇅ࣮ čĎဒބܙ࠹ 1.ֆ໊۴ဒބֆᆜࢨඔ؎ ູਔ؎эਈ֥ֆᆜࢨඔđૌႨEVIEWSؓRERUၛࠣF1aF2aF3֥ൈࡗਙቔਔջႵ൝ཛބ၍ཛ֥ֆ໊۴ဒđADFဒࢲݔೂі3෮ൕb і3 RERUၛࠣF1aF2aF3ਙ֥ADFဒ֥ࢲݔ эਈ ADF ࠹ਈ 5 ਢࢸᆴ эਈ ADF ࠹ਈ 5 ਢࢸᆴ F1 DčF1Ď F2 DčF1Ď F3 DčF1Ď RERU DčRERUĎ F1aF2aF3ਙ֥ADF࠹ਈनնႿဒඣູ5 ֥ਢࢸᆴđඪૼ۱эਈթᄝֆ໊۴đູ٤໗ਙbൈđ F1aF2aF3֥၂ࢨҵٳਙ֥ADF࠹ਈनཬႿဒඣູ5 ֥ਢࢸᆴđඪૼF1aF2aF3֥၂ࢨҵٳਙ҂թᄝֆ໊۴đູ໗ਙbᆃඪૼэਈF1aF2aF3൞၂ࢨֆᆜ[Ič1Ď]ݖӱbэਈRERUࠣఃҵٳэਈ֥ADF࠹ਈཬႿ5 ਢࢸᆴđඪૼэਈRERU൞၂۱ݣႵ൝ཛބ၍ཛ֥໗ݖӱ[Ič0Ďݖӱ]bႮႿ؟۱Ič1Ďݖӱ֥ཌྟቆކॖି൞၂۱Ič0ĎݖӱđၹՎэਈRERUބэਈF1aF2aF3ॖିթᄝླྀᆜܱ༢đᆃູު࿃֥ٳ༅ิ܂ਔਅݺ֥ࠎԤb 2. ླྀᆜٳ༅ࠣཟਈ༂ҵྩᆞčVECĎଆ æ ൮༵ؓଆ֥ቋႪᇌު௹࿊ᄴࣉྛဒđૌ֤ԛਔEVIEWSᇌު௹؎֥ࢲݔđLR࠹ਈaFinal prediction error࠹ਈaބԅӽčAICĎྐ༏ሙᄵaീຐՇčSCĎሙᄵࠣHannan-Quinn informationčHQĎሙᄵཁൕቋࡄ֥ᇌު௹ູk=1đࠧૌႋھࡹ৫ᇌު1௹֥VECଆbၹՎđᄝࡹ৫VECଆᆭభđ༵ؓэਈRERUၛࠣF1aF2aF3ࣉྛᇌު௹ູ1௹aᄍྸླྀᆜཟਈթᄝ၍ཛބ൝ཛ֥ླྀᆜဒbૌႨEVIEWS۳ԛ֥JohansenླྀᆜဒࢲݔđࠞնหᆘᆴčMax-EigenĎ࠹ਈᄝ1 ֥ཁ ① 如有对本文各项检验结果有兴趣者，可向作者询问，本文省略。 36
ଲ ष ࣜ ࠶ ࣮ 2008年 第1期 NANKAI ECONOMIC 2008 ᇷඣഈऋधਔ҂թᄝླྀᆜཟਈčr=0Ď֥ჰࡌഡđൈીႵऋधቋ؟թᄝ၂۱ླྀᆜཟਈčr≤1Ď֥ჰࡌഡđၛՎ؎ླྀᆜཟਈ֥ඔਈູ1۱bၹՎđJohansenླྀᆜဒࢲݔඪૼᄝ1 ֥ཁᇷඣഈđэਈRERUၛࠣF1aF2aF3ࡗթᄝླྀᆜܱ༢đླྀᆜཟਈ۱ඔູ1۱b ᄝэਈࡗթᄝླྀᆜܱ༢֥ࠎԤഈđॖၛࡹ৫RERUၛࠣF1aF2aF3֥VECଆbଆ֥ᇌުࢨඔູ1đླྀᆜٚӱඔਈູ1đᄍྸླྀᆜཟਈݣႵ၍ཛބཌྟ൝b ૌႨEviews۳ԛਔVECଆ֥ܙ࠹ࢲݔđܙ࠹ٚӱູğ ∆RERU=+∆RERU−∆F1+ tt-1t-1t-1čĎ čĎ čĎ ∆F2− ∆F3−+v t-1t-1tčĎ čĎ čĎ 22 R= a-R= F= T=44 č2Ď ఃᇏླྀᆜٚӱčCointEq1Ď෮ཁൕ֥эਈࡗӉ௹ܱ༢ೂ܄ൔč3Ď෮ൕğ RERU=−++ ttttčĎ čĎ čĎ č3Ď ࠧэਈCointEq1֥౼ᆴູğ CointEq1=RERU−+−− ttttt22 ଆ֥Rᆴaטᆜު֥RᆴࠣF࠹ਈཁൕଆऎႵਅݺ֥ᆜุཁᇷྟđؓଆҗҵ֥ሱཌྷܱྟဒཁൕ۲ᇌު௹֥LM࠹ਈऋधਔҗҵਙթᄝሱཌྷܱ֥ჰࡌഡđіૼଆ҂թᄝሱཌྷܱb čĎ࠹ਈଆ֥ࣜ࠶ݣၬ ଆ༂ҵྩᆞཛč܄ൔ2ᇏ֥CointEq1Ď֥༢ඔູđᆃඪૼэਈᆭࡗթt-1ᄝ༂ҵྩᆞࠏᇅb༂ҵྩᆞཛၛ֒௹ൌ࠽߸ੱაఃӉ௹नޙᆴᆭࡗ༂ҵ ֥б২ّཟྩᆞ༯၂௹ൌ࠽߸ੱđൌ࠽߸ੱᇯ҄ཟఃӉ௹नޙᆴौb ༂ҵྩᆞٚӱč܄ൔ2Ďᇏ۲эਈ֥ҵٳཛّ႘ਔэਈᆭࡗ֥؋௹טᆜܱ༢bఃᇏӈඔཛބRERU֥၂ࢨᇌުҵٳཛč∆RERUĎ֥T࠹ਈѩીႵ๙ݖཁᇷྟt-1ဒđඪૼૌؓൌ࠽߸ੱэ߄֥႕ཙѩ҂ૼཁbбࢠэਈF1aF2aF3၂ࢨᇌުҵٳཛč∆F1a∆F2ބ∆F3Ď֥T࠹ਈđF3֥ཁᇷྟቋۚđF1ՑᆭđF2҂ཁᇷbᆃඪt-1t-1t-1ૼэਈF3ؓൌ࠽߸ੱ؋௹ѯ֥႕ཙቋູཁᇷđF1ՑᆭđF2ቋཬb ླྀᆜٚӱč܄ൔ3Ďّ႘ਔэਈᆭࡗ֥Ӊ௹नޙܱ༢bఃᇏэਈF3֥T࠹ਈཁᇷྟቋđ༢ඔ֥धؓᆴ္ቋཬĠཁᇷྟބ༢ඔधؓᆴቋ֥ۚэਈ൞F2đF1ՑᆭbᆃඪૼэਈF2ؓൌ࠽नޙ߸ੱ֥Ӊ௹नޙᆴ႕ཙቋնቋູཁᇷđF1ՑᆭđF3ቋཬb ؓଆ۲эਈܙ࠹ҕඔ֥бࢠॖၛϺᇹૌ؎ᇶӮٳэਈF1aF2ބF3֥ࠎЧࣜ࠶ݤၬbఃᇏؓൌ࠽߸ੱӉ௹नޙᆴऎႵཁᇷ႕ཙ֥эਈF1aF2ॖၛקၬູൌ࠽߸ੱ֥ᇏӉ௹႕ཙၹđൌ࠽߸ੱ֥Ӊ௹नޙᆴᇶေႮૌथקbэਈF3ؓൌ࠽߸ੱӉ௹नޙᆴ֥႕ཙಌكཁᇷྟđؓൌ࠽߸ੱ؋௹э߄֥႕ཙቋູཁᇷđၹՎॖၛಪ37
ޡaࡹૼğࠎႿᇶӮٳܒᄯॿࡏ༯֥ݓൌ࠽߸ੱनޙࠏᇅ࣮ ູF3൞႕ཙൌ࠽߸ੱѯ֥؋௹ၹb ࣉ၂҄ॖၛϜі2ᇏ۲ൌ࠽эਈ༢ඔ֥ژݼაଆླྀᆜٚӱč܄ൔ3Ďᇏ۲ᇶӮٳэਈ༢ඔژݼࢲކఏটđՖطק۲ൌ࠽эਈؓൌ࠽नޙ߸ੱ֥႕ཙٚൔđೂі4෮ൕbі4ᇏֻ֥2ਙູൔč3Ďᇏ۲ᇶӮٳэਈაൌ࠽नޙ߸ੱčRERULĎᆭࡗ֥ژݼܱ༢đֻ4ਙູі2ᇏ۲ൌ࠽эਈაᇶӮٳэਈᆭࡗ֥ژݼܱ༢đֻ5ਙູ۲ൌ࠽эਈაൌ࠽߸ੱᆭࡗ֥ژݼܱ༢b Ֆі4ᇏॖၛुԛđᄝF1ᇶေܒӮэਈTRADEaOPENࠣLNGDPაൌ࠽नޙ߸ੱनӯٚཟэ߄čэਈOPENބэਈTRADEٳљսіݓ֥સၞܿଆބݓაૅݓ֥ཌྷؓસၞܿଆđLNGDPսіӁԛ֥ᄹਈĎđᆃඪૼસၞܿଆ֥ঔնބӁԛᄹਈ֥ᄹࡆ߶֝ᇁൌ࠽नޙ߸ੱഈശčದлъᆴĎb і4 ۲ൌ࠽эਈэ߄აൌ࠽߸ੱэ߄֥ܱ༢ ᇶӮٳ ݂߭ҕඔژݼ ൌ࠽эਈაᇶӮٳ֥ژݼܱ༢აRERUL֥ژݼܱ༢ OPEN + + F1 + TRADE ++LNGDP ++FOR + F2 M2 + PREF + F3 + TOT F2֥ᇶေܒӮэਈᇏđݓཨٮൈࡗொݺčPREFĎაൌ࠽नޙ߸ੱӯٚཟэ߄bᆃაࣜ࠶ં֥ٳ༅൞၂ᇁ֥đၹູ֒భཨٮ֥ഈശ߶ᄹࡆࣉ१ླđՖطᄹࡆຓлླđЧлनޙࡎᆴ༯ࢆčࠧൌ࠽߸ੱ֥नޙඣഈശĎbݓຓ߸ԥС֥ᄹӉੱčFORĎބݓ֥ࠊл܂۳ਈ֤ᄹӉੱčM2Ďᄵაൌ࠽नޙ߸ੱӯّٚཟэ߄đࠧࠊл܂۳ਈބຓ߸ԥС֥ᄹࡆ߶ႄఏൌ࠽नޙ߸ੱ༯ࢆčದлശᆴĎbᆃරެაંѩ҂၂ᇁđၹູࠊл܂۳ਈ֥ᄹࡆ๙ӈ߶֝ᇁЧлъᆴđՖط՜ࣉԛ१đᄹࡆຓ߸ԥСbൌ࠽ഈđݓൌ࠽߸ੱᄝॉҳ௹֥ն҆ٳൈࡗଽ֮ႿनޙඣčЧлФۚܙĎđೂ2෮ൕbᄝЧлФۚܙ֥౦ঃ༯đൌ࠽नޙ߸ੱ֥ࢆ֮čದлनޙࡎᆴഈ 38
ଲ ष ࣜ ࠶ ࣮ 2008年 第1期 NANKAI ECONOMIC 2008 ശĎ߶ЧлФۚܙ֥ӱ؇ࢆ֮đՖط՜ࣉຓ߸ԥС֥ᄹࡆđຓ߸ԥС֥ᄹࡆࣉطႻ՜ࠊл܂۳ਈഈശbၹՎđݓຓ߸ԥСᄹࡆੱࠣࠊл܂۳ਈᄹࡆੱაൌ࠽߸ੱӯٚཟэ߄൞ॖၛ֤֞ކ֥ࢳ֥b ݓ֥સၞ่ࡱčTOTĎ൞ᇶӮٳF3֥ᇶေܒӮэਈđھэਈაൌ࠽नޙ߸ੱᆭࡗӯّٚཟэ߄đࠧસၞ่ࡱ֥ذ߄߶ൌ࠽नޙ߸ੱഈശčದлनޙࡎᆴ༯ࢆĎbᆃაݓ֥གྷൌ౦ঃ൞ཌྷژ֥b aݓनޙൌ࠽߸ੱൈࡗਙหׄ ࡼэਈF1aF2ބF3սೆ܄ൔč3Ďđॖၛ֤ԛݓൌ࠽नޙ߸ੱ֥ܙ࠹ᆴčRERULĎđູࠧğ RERUL=−++ tttt ھਙ֥ᅼཌೂ3෮ൕb 3ᇏđݓൌ࠽नޙ߸ੱਙčRERULĎӯགྷԛૼཁ֥ൈࡗ൝đջႵӈඔཛbਙ֥ֆ໊۴ဒࢲݔčі5ĎཁൕđRERUL൞၂۱Ič1ĎݖӱđՖਙ֥ሱཌྷܱބொሱཌྷܱ؎ఃሱཌྷܱ֥ࢨඔႋھູ1b і5 эਈRERUL֥ADFဒࢲݔ эਈ ADF࠹ਈ1 ਢࢸᆴ эਈ ADF࠹ਈ 1 ਢࢸᆴ RERUL DčRERULĎ ۴ऌᆃུหׄđૌࡹ৫၂۱RERUL֥ջႵӈඔཛބ൝ཛ֥၂ࢨሱ݂߭ൈࡗਙଆট૭ඍൌ࠽नޙ߸ੱਙ֥หᆘbEVIEWS۳ԛਔ݂߭ࢲݔđ݂߭ٚӱೂൔč4Ď෮ൕğ RERUL=+*（@TREND）+[AR（1）=]+v（4） tt ࣜᆜުđ֤ԛݓൌ࠽नޙ߸ੱਙ֥ARč1Ďଆູğ RERUL=+*（@TREND）+ RERUL+vtt-1t čĎ čĎ čĎ 39
ޡaࡹૼğࠎႿᇶӮٳܒᄯॿࡏ༯֥ݓൌ࠽߸ੱनޙࠏᇅ࣮ 22 R= a-R= F= DW= JB= T=46 （5） ݂߭ࢲݔᇏ۲࠹ਈ๙ݖਔཁᇷྟဒđଆ֥DW࠹ਈູđඪૼଆ2҂թᄝ၂ࢨሱཌྷܱĠJB࠹ਈູč<χ=ĎđඪૼҗҵࠎЧڛՖᆞٳ(4)҃Ġؓଆҗҵ؟ࢨሱཌྷܱྟ֥Qဒ္ཁൕҗҵ҂թᄝ؟ࢨሱཌྷܱb ଆᇏ၂ࢨሱ݂߭ཛ֥݂߭༢ඔčĎཬႿ1đіૼൌ࠽नޙ߸ੱ൞၂۱൝໗ݖӱđࠧัԢಒק֥൝ྟၹᆭުđൌ࠽नޙ߸ੱ൞၂۱໗֥ARč1ĎݖӱbၹՎđᆃ၂௹ࡗଽൌ࠽नޙ߸ੱ֥э൞Ⴕሢಒקྟܿੰ֥bದлؓૅჭ֥ൌ࠽߸ੱაఃཌྷܱ႕ཙၹࡗ֥Ӊ௹໗קܱ༢ऎႵൌ࠽߸ੱ҂؎ഈശ֥หׄđ္ࣼ൞ඪದлनޙࡎᆴթᄝӻ࿃ъᆴ֥൝bପહ൞હჰၹथקਔݓ۲ࣜ࠶эਈᆭࡗ֥नޙࠏᇅေದ҂؎ъᆴđ༯૫ૌࡼࣉ၂҄ฐษᆃ۱໙ีb ඹaݓൌ࠽߸ੱनޙࠏᇅٳ༅ ൌ࠽नޙ߸ੱ֥ҩਈ൞۴ऌࣜ࠶эਈࡗթᄝ֥ଽᄝनޙࠏᇅđႋႨ࠹ਈࣜ࠶࿐ٚمđՖૌ֥ླྀᆜܱ༢ᇏ֤ԛൌ࠽߸ੱა۲ཌྷܱэਈᆭࡗ֥໗קܱ༢đϜႮᆃᇕ໗קܱ༢थק֥ൌ࠽߸ੱ֥ܙ࠹ᆴ൪ູൌ࠽नޙ߸ੱbطᆃᇕ໗קܱ༢ൌ࠽ഈ൞Ⴎࣜ࠶ุ༢Чദ֥หק෮थק֥đ҂֥ࣜ࠶ุॖିၛ҂֥ٚൔસၞӁള౷đ౷֥ӱ؇္Ⴕ෮҂b၂ٚ૫đ۲ࣜ࠶эਈაൌ࠽߸ੱᆭࡗ֥໗קܱ༢ᆞ൞ᄝᆃུ҂ྙൔބӱ؇֥౷༯ྙӮ֥Ġਸ਼၂ٚ૫đ০Ⴈ࠹ਈࣜ࠶࿐ٚمҩਈԛট֥ൌ࠽नޙ߸ੱ෮սі֥໗קܱ༢္ିܔّ႘ࣜ࠶ุؓસၞ౷֥ٚൔބӱ؇bၹՎđݓൌ࠽नޙ߸ੱऎႵъᆴ൝֥หׄ൞ᄝݓหק֥ࣜ࠶ߌ༯đႮݓൌ࠽߸ੱหקनޙࠏᇅ෮थק֥b ᄝ1994୍֞2005୍௹ࡗđݓҐႨ֥ࠎЧ൞ףᇾૅჭ֥ܥק߸ੱᇅ؇b1994୍ݓൌീ߸ੱᇅ؇ڿ۪ၛটđದлၬ߸ੱՖ1993୍֥1ૅჭؑߐჭದлቐႷ֥ඣטᆜᇀ၂ૅჭؑߐჿჭದлđᄝࣜݖ1994ބ1995୍֥ӻ࿃ശᆴᆭުđၬ߸ੱᇯࡶטᆜູ၂ૅჭؑߐჿჭದлđሱ1998୍ఏđၬ߸ੱ၂ᆰົӻᄝ၂ૅჭؑߐჿჭದлቐႷ֥ඣđᆰᇀ2005୍đದлၬ߸ੱҌᄜՑؿളࢠնږ؇֥ڜđശᆴᇀ၂ૅჭؑߐჿჭದлbᄝҐႨףᇾૅჭ֥ܥק߸ੱᇅ؇֥ൈđݓؓݓ࠽ሧЧੀ၂ᆰЌӻሢࢠູ֥۬॥ᇅđᆃဢьЌӻਔݓࠊлᆟҦބҍᆟᆟҦ֥৫ྟđࡆ఼ਔݓᆟکؓࣜ࠶ᄎྛ֥॥ᇅ৯ބ႕ཙ৯bᆃ൞ٳ༅ݓൌ࠽߸ੱनޙࠏᇅ֥۴Чభิb ᄝᆃ၂௹ࡗଽđሔࢠ֥ۚࣜ࠶ᄹӉੱ၂ᆰ൞ݓᆟکࣜ࠶ᆟҦ֥൮ေଢѓbᄝᆃ၂ଢѓ֥౺༯đݓᆟکൌ࠽ഈದֹູದлൌ࠽ࡎ۬ӻ࿃ъᆴđၛ՜ࣉԛ१ླ֥ᄹࡆđՖطঘࣜ࠶ᄹӉbᆃ؍௹ࡗଽđࣜӈཛଢԛགྷਔӻ࿃֥ඨҵđຓ߸ԥС҂؎ᄹࡆbაՎൈđݓؓસၞ၇թ؇္҂؎ഈശđݓࣜ࠶ؓԛ१ླ֥၇ঠӱ؇ᄀটᄀۚb 40
ଲ ष ࣜ ࠶ ࣮ 2008年 第1期 NANKAI ECONOMIC 2008 ೂݔᄍྸၬ߸ੱሱႮڜࠇ౼ཨؓݓ࠽ሧЧੀ֥ཋᇅđ֒ࣜӈཛଢԛགྷӻ࿃ඨҵ֥ൈީđؓЧлླ֥ᄹࡆ߶ЧлശᆴđՖطࣜӈཛଢႿޙbႮႿݓ֥ܥק߸ੱᇅ؇ބؓሧЧݓ࠽ੀ֥ཋᇅđ֤ࣜ࠶ॖၛᄝӻ࿃સၞඨҵ֥ߌ༯ᄎྛb۲ࣜ࠶эਈᆭࡗ္ᇯࡶᄝᆃᇕᄎྛଆൔ༯ྙӮਔหႵ֥໗קܱ༢đᆃᇕหႵ֥໗קܱ༢္ࣼ൞ݓ֥ൌ࠽߸ੱनޙࠏᇅb ᆃᇕनޙࠏᇅ൞ၛົӻࢠ֥ۚࣜ࠶ᄹӉ؇ູଢѓđၛঔն࣪ԛ१ቔູࣜ࠶ᄹӉ֥ᇶေ৯bᆃᇕनޙࠏᇅᄝൌགྷࣜ࠶ᄹӉଢѓ֥ൈđ္Ӂളਔࣜӈཛଢ֥ӻ࿃ඨҵބؓݓଽളӁေࡎ֥۬౷b۴ऌေጋڮંđસၞ֥ঔնࡼิۚЧݓऎႵбࢠႪ൝Ӂ֥ࡎ۬đՖطิۚཌྷؓپღေ֥ࡎ۬bՖݓ֥ൌ࠽౦ঃഈुđ1994୍֞1995୍௹ࡗđݓ֥સၞ၇թ؇Ֆ40 ቐႷิۚ֞60 ၛഈđસၞܿଆնږ؇ঔնđطՖြದჴБԏᅝGDP֥бᇗّطՖ14 ༯ࢆ֞11 đᆃඪૼေ֥ࡎ۬ؿളਔࢠն֥౷bসေБԏ֥༯ࢆݓଽླ҂؎ຽ෪đᆃࣉ၂҄ิۚਔࣜ࠶ᄹӉؓԛ१ླ֥၇ঠӱ؇bᆃဢđູਔົӻࢠ֥ۚࣜ࠶ᄹӉੱđсྶ࿃Чл֥ൌ࠽ࡎ۬ъᆴၛঔն࣪ԛ१đᆃႻࡆखਔؓေࡎ֥۬౷đসေ֥Бԏࣉ၂҄༯ࢆđଽླࣉ၂҄ຽ෪đࣜ࠶ᄹӉؓ࣪ԛ१֥၇ঠӱ؇္ࣉ၂҄ิۚbᆞ൞ᆃᇕཌྷቔႨđݓൌ࠽नޙ߸ੱਙԛགྷਔّ႘ದлӻ࿃ъᆴ֥Ӊ௹൝b 4൞ݓຓ߸ԥСჅحᄹӉੱaݓસၞ၇թ؇ၛࠣݓՖြದჴБԏᅝӁԛ֥бᇗ۱эਈ֥ൈࡗਙᅼཌğ 41
ޡaࡹૼğࠎႿᇶӮٳܒᄯॿࡏ༯֥ݓൌ࠽߸ੱनޙࠏᇅ࣮ Ֆ4ᇏॖၛुԛຓ߸ԥСჅحᄹӉੱაݓસၞ၇թ؇֥э߄ࠫެ၂ᇁđᆃඪૼᄝഈඍ֥ࣜ࠶नޙଆൔ༯đસၞܿଆაຓ߸ԥСჅحᄹӉੱᆭࡗթᄝሢ఼֥ࠞཌྷܱྟbбࢠ4ᇏݓՖြದჴБԏᅝӁԛ֥бᇗა3ᇏൌ࠽नޙ߸ੱ֥ൈࡗਙđ္ॖၛؿགྷनޙದлࡎ۬ඣაՖြದჴБԏᅝӁԛбᇗթᄝሢ֥༯ࢆ൝bᆃაૌ֥ٳ༅൞၂ᇁ֥b aࢲં Ч໓ؓݓनޙൌ࠽߸ੱ֥ܙෘଆЇݣਔ8۱ࣜ࠶эਈ֥ྐ༏đննӑݖਔః࣮࠹ਈଆᇏ֥ྐ༏ݣਈđၹՎఃࢲݔିܔ۷ࡆಆ૫ֹّ႘ݓൌ࠽नޙ߸ੱ֥э߄หᆘbൈđႮႿҐႨᇶӮٳٳ༅مؓᆃ8۱эਈࣉྛਔඔऌ୩෪đ࠹ਈଆᇏࢳэਈ֥ඔਈࢆ֮֞ਔ3۱đࡆᆭଆҐႨ࠱؇ඔऌđঔնਔဢЧॢࡗđቋࡄᇌުࢨඔ္ᆺႵ၂ࢨđၹՎଆ֥ॖौྟ္֤֞ਔቋնཋ؇֥Ќᆣbቋᇔҩਈࢲݔіૼđದлൌ࠽नޙ߸ੱթᄝӻ࿃ъᆴ֥൝bᆃᇕъᆴ൝ࢣൕਔᄝܴҩ௹ଽݓห֥ൌ࠽߸ੱनޙࠏᇅđࡥطᆭđ൞ᄝݓൌീףᇾૅჭ֥ܥק߸ੱᇅ؇ބؓݓ࠽ሧЧੀൌീ۬॥ᇅ֥ᆟҦߌ༯ྙӮ֥aၛӻ࿃ۚࣜ࠶ᄹӉູଢ֥aၛঔնԛ१ླູ৯aᄝದл҂؎ъᆴ่ࡱ༯۲ࣜ࠶эਈᆭࡗ֥၂ᇕ໗ק֥नޙܱ༢b ݓ֥ᆃᇕൌ࠽߸ੱनޙࠏᇅࡼᄀؿၛӻ࿃༯ಀbݓݓࣜ࠶֥གྷൌ౦ঃіૼđᄝᆃᇕᄎྛଆൔ༯đӻ࿃ۚᄹӉੱ֥ࣜ࠶ଢѓ֥ಒൌགྷ֤ࢠݺđᆃᇕࣜ࠶ᄎྛଆൔ֥ڵ૫႕ཙ္ᇯ҄གྷb୍࣍টݓસၞଉ҈҂؎ᄹࡆaসေБԏӻ࿃༯ࢆѩႄఏਔഠ߶ٳ҂܄֥ࡆखđᆃུ۳ݓࣜ࠶֥ࣉ၂҄ؿᅚջটਔӦᇗ֥ڵքbՎຓđࣜӈཛଢӻ࿃ඨҵྙӮ֥aၛૅჭሧӁູᇶุ֥ऍحຓ߸ԥС္թᄝሢܵa൬ၭੱݖ֮֩໙ีĠაՎൈđݓߎթᄝሧЧཛଢ֥ऍնඨҵđӮູFDI֥ቋնੀೆݓbࣜӈཛଢބሧЧཛଢ֥චඨҵၐّ႘ਔݓࣜ࠶ሧჷႨིੱ֥֮༯bݓࣜ࠶թᄝ֥ᆃུ໙ีေݓᆟکؓଢభ֥ࣜ࠶ᄎྛଆൔࣉྛטᆜđൌ࠽߸ੱनޙࠏᇅ္сࡼؿളᇗն֥э߄b Ч໓ߎູٳ༅ದлശᆴ৯ิ܂ਔ၂ᇕྍ֥൪࢘bაൌ࠽नޙ߸ੱཌྷбđݓൌ࠽߸ੱᄝն҆ٳൈ௹൞֮Ⴟఃनޙඣ֥đᆃඪૼೂݔၛൌ࠽नޙ߸ੱொҵູ؎ѓሙđದл҂ીႵФ֮ܙđطᄝն҆ٳൈࡗଽ൞Фۚܙ֥bᆃაದлթᄝശᆴ৯གྷൌ౦ঃ൞҂ژ֥bದлनޙࡎᆴЧദࠧթᄝሢӻ࿃ъᆴ֥൝đაᆃᇕ൝ཌྷбđൌ࠽߸ੱ֥ொҵᆺ൞Ցေၹđᆃᇕъᆴ൝Ҍ൞ದлթᄝശᆴ৯֥۴ЧჰၹbၹՎđՖᆃ۱ၩၬഈࢃđᆺႵյགྷႵ֥ದл߸ੱनޙࠏᇅđҌିՖ۴Чഈߏࢳದл֥ശᆴ৯b2005୍7ᄅđݓൌീ֥ದл߸ੱᇅ؇ڿ۪ᆞ൞յჰႵ߸ੱनޙࠏᇅ֥ऎุծീb 42
ଲ ष ࣜ ࠶ ࣮ 2008年 第1期 NANKAI ECONOMIC 2008 ҕॉ໓ང ŀ1ł ࡻѯक़. नޙ߸ੱંބᆟҦ֥ྍॿࡏ[J]. ᇏݓഠ߶॓࿐đ2006đč1Ď. ŀ2ł ࡻѯक़. नޙ߸ੱંაᆟҦྍॿࡏ֥ฐ෬——ࠎႿሱಖሧჷ࢘؇֥ٳ༅[J]. ݓ࠽ࣁವ࣮đ2007đč1Ď. ŀ3ł ࡻѯक़đ߈ק. नޙ߸ੱં໓ངඍ[J]. ֒սҍࣜđ2006đč2Ď. ŀ4ł ᠯ. ದлनޙൌ࠽߸ੱંଆൌᆣٳ༅[J]. ฐ෬đ2006đč1Ď. ŀ5ł ᄶܼ. ၬ߸ੱაनޙ߸ੱ֥ொࠣఃטᆜ[J]. ଲषࣜ࠶࣮đ2003,č11Ď. ŀ6ł ਟѵ఼. ದлनޙൌ࠽߸ੱ֥ܙ࠹აൌ࠽߸ੱհ໊֥ҩෘ[J]. ࣜ࠶࣮đ2002đč12Ď. ŀ7ł ീࡹ߉đჅݚپ. ದлनޙ߸ੱა߸ੱാטğ1991—2004[J]. ࣜ࠶࣮đ2005đč4Ď. ŀ8ł ົݓđߛຣဝ. ದлनޙൌ࠽߸ੱ࣮[J]. ඔਈࣜ࠶ඌࣜ࠶࣮đ2005,č4Ď. ŀ9ł ᅦ ќ. ದлनޙ߸ੱ[J]. ൗࢸࣜ࠶đ2003đč11Ď. ŀ10ł ᅦཫ௲. नޙაാטğ1978j1999ದл߸ੱކྟܙ[J]. ࣁವ࣮đ2000đč8Ď. ŀ11ł ᅦ ᜩđᛛӣ. ದлनޙ߸ੱğॴൈ௹नޙଆ[J]. ൗࢸࣜ࠶đ2004,č8Ď. ŀ12ł ቐഉđܡڂ. ದлनޙ߸ੱ֥ൌᆣ࣮[J]. ଲषࣜ࠶࣮đ2005đč6Ď. ŀ13ł Allenđ. The Economic and Policy Implications of the NATREX Approach[C]// Ġčeds.Ď. Fundamental Determination of Exchange RatesđClarendon PressđOxford. 1995. ŀ14ł BaffesđJ.ĠA. ElbadawiĠ’Connell. Single-equation Estimation of the Equilibrium Real Ex-change Rate[C]// Ġ. Exchange Rate MisalignmentđConcepts and Measure-ment for Developing CountriesđA World Bank Research PublicationđOxford University Pressđ1999. ŀ15ł Cordenđ Rate Policies for Developing Countries[J]. The Economic Journalđ1993đ1003ğ198i207. ŀ16ł Doroodian KĠChulho JungĠ Yucel Ahmet. Estimating the Equilibrium Real Exchange Rateğthe Case of Turkey[J]. Applied Economicsđ2002đ34ğč14Ďğ1807—12. ŀ17ł DuvalđR. What Do We Know About Long-run Equilibrium Real Exchange Rates?PPPs vs Macro-economic Approaches[J]. Australian Economic Papersđ2002đ41(4)ğ382—403. ŀ18ł Edwards Sebastian. TariffsđCapital Controlsđand Equilibrium Real Exchange Rates[J]. Canadian Journal of Economics, 1989đ22č1Ďğ79i92. ŀ19ł EdwardsđS. Real and Monetary Determinants of Real Exchange Rate Behavior[J]. Journal of De-velopment Economicsđ1998, 29ğ311—41. ŀ20ł Hinkle and . Exchange Rate MisalignmentđConcepts and Measurement for Developing Countriesđ A World Bank Research PublicationđOxford University Press, 1999. ŀ21ł Jamal BouoiyourđSerge Rey. Exchange Rate RegimeđReal Exchange RateđTrade Flows and Foreign Direct InvestmentsğThe Case of Morocco[J]. African Development Bankđ2005 ŀ22ł MacDonald RonaldđRicci Luca Antonio. Estimation of the Equilibrium Real Exchange Rate for South Africa[J]. South African Journal of Economicsđ2004đ72ğ282—304. 43
ޡaࡹૼğࠎႿᇶӮٳܒᄯॿࡏ༯֥ݓൌ࠽߸ੱनޙࠏᇅ࣮ ŀ23ł Montielđ. Determinants of the Long-run Equilibrium Real Exchange RateğAn Analytical Model[C]// ĠđExchange Rate MisalignmentđConcepts and Measurement for Developing CountriesđA World Bank Research PublicationđOxford University Press. 1999. ŀ24ł Neary Peter. Determinants of the Equilibrium Real Exchange Rate[J]. American Economic Review. 1988đ78č1Ďğ210i15. ŀ25ł SteinđJ.; čeds.Ď. Fundamental Determinants of Exchange Rates. Clarendon PressđOxford, 1995. Study on China′s Real Exchange Rate Equilibrium Mechanism Under a Main Component Analysis Framework Li Hong Lu Jianming čSchool of Economics, Tianjin University of Finance and Economics, Tianjin, 300222, ChinaĎ AbstractğA new method on estimating the real equilibrium exchange ratečREERĎof China is developed. The major property of this new method is using ¤Main component analysis¤ to ex-tract 3 main components from 8 economic variables. This data reduction process can greatly sim-plify the following VEC model when estimating real equilibrium exchange rate without losing information contained in the formal 8 variables. The time series model of REER indicates that China′s real equilibrium exchange rate is a unstable ARč1Ďprocess with trend and intercept. That is to sayđthe real equilibrium value of RMB has a devaluation trend. The devaluation trend of RMB reveals a unique real exchange rate equilibrium mechanism of China. This mechanism is allowed for the high rate of economic growthđand by which the economical variables continu-ously forming a stable interdependent relation under China’s fixed exchange rate regime and strict restriction of international capital flowđand at the same time requires RMB keep devaluating. KeywordsğMain Component AnalysisĠVEC ModelĠReal Equilibrium Exchange RateĠExchange Rate Regime JEL ClassificationğN55 Q15 Q18 44
