最終報告書.PDF
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- かおり すわ
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1 12 7
2 Covered Ineres Rae Pariy: CIP20 Uncovered Ineres Rae Pariy: UIP
3 VAR
4
5 EG VAR
6
7 II-1 5 II-2 9 II-3 10 II-4 11 II-5 GDP 12 II-6 73:199:2 15 II-7 73:199:2 15 II-8 73:199:2 16 II-9 73:199:2 17 II II II II II II III-1 33 III-2 34 III-3 35 III-4 36
8 III-5 37 III-6 38 III-7 39 III-8 ISLM 40 III-9 43 III III III III III III-15F 50 III-16F 51 IV-1 65 IV-2 65 IV-3 mˆ > mˆ 68 IV-4 69 IV-5 69 IV-6 70 IV-7 gˆ > gˆ 71 IV-8 71 IV-9 73 IV-10 mˆ > mˆ 75 IV IV IV IV-14 gˆ > gˆ 77 IV IV V-1 y = y 0 + a + u 81 V-2 y = y 0 + ε i 82 i= 1 V-3 84 V-4 96 V-5 97 V-6 LPPIJU 98 V-7 100
9 V-8LYDOL 100 V V V V-12 LYDOL 103 V VI VI VI VI VI-5F 116 VI-6F 116 VI VI-8VAR 118 VII VII VII VII VII VII VII VII VII VII VII VII VII VII VII VII VII VII VII VII VII VII
10 VII VII VII VII VII VII VII VII VIII VIII VIII VIII VIII VIII VIII VIII VIII-9 177
11 bilaeral exchange rae effecive exchange rae EER = n i= 1 w i BER i n w i i= 1 = 1 EER = n i= 1 BER w i n w i i= 1 = 1 EER : w : i i BER i : i 1 2
12
13
14
15 = IS-LM
16 2 i P = S i = 1,, n * i P i * P i i S Pi i * i S Pi i i i P i
17 Purchasing Power Pariy n * = S P P i= 1 P * * wi Pi P wi Pi n i= 1 * * n * i wi = 1, wi = 1 i= 1 n i= 1 P S = * P 3 i i i i * P / P * * = ( S / S ) ( P / ) 0 0 P * 0 *
18 0 p ˆ + * * = sˆ pˆ s ˆ = pˆ pˆ ŝ pˆ ˆp * SPP * ŝ 100 II-2 80 RE RE = S P P * reˆ = sˆ + pˆ * pˆ reˆ reˆ ŝ reˆ
19 IMF, Inernaional Financial Saisics PT P N * P = S p ˆ = sˆ + pˆ * T P T T T P pˆ = αpˆ T + (1 α) pˆ N pˆ * * * * * α pˆ T + (1 α ) pˆ N = pˆ p * T ˆT * * * * sˆ + pˆ pˆ = re ˆ = (1 α )( pˆ pˆ ) (1 α )( pˆ pˆ ) N T N pˆ ˆ T N p T
20 II =100 IMF, Inernaional Financial Saisics Yearbook II-4
21 IMF, Inernaional Financial Saisics Pricing o he Marke 3 4
22 IMF, Inernaional Financial Saisics 1990pp
23 3 M = L( Y, i) m ˆ p ˆ = η y y ˆ + ηi i P M * = * * * L ( Y, i ) * * * * * * * mˆ pˆ =η yˆ y + ηi i P M P Y i ηy η i M M M M d( )/( ) d( ) /( ) η P P P P y =, ηi = dy / Y di * ^ η η * * * * * * sˆ = pˆ pˆ = ( mˆ mˆ ) ( η yˆ η yˆ ) ( η i η i ) Y Y i i * * * sˆ = ( mˆ mˆ ) η ( yˆ yˆ ) η ( i i ) Y i * * * ( mˆ η yˆ) ( mˆ η yˆ ) η y * mˆ mˆ e e * * * sˆ = ( mˆ mˆ ) ( η i η i ) e e i i mˆ mˆ * > 0 e Y e Y Y i Y ˆ
24 * i i i) ii) iii) iv) M1 M 2 M II
25 sˆ = * mˆ mˆ ( 1.351) (1.742) ( 0.565) ( 0.342) ( 1.795) * i * i ( 0.964) (1.653) R 2 * * 0.022* yˆ 1.106* ˆy = S. E. = D. W. = * * * sˆ = *( mˆ mˆ ) *( yˆ ˆy ) ( 1.917) (1.466) ( 0.150) * *( i i ) ( 1.037) R 2 = S. E. = D. W. = 1.506
26 1979 M log( ) = η log Y P Y η i * M log( ) = η * log Y * * i * * Y η i P * log( S) = log( P) log( P ) i log( S ) = log( M ) log( M * ) η Y log Y + η * Y log Y * + η i η i i * i * log S = log M log M* log Y log Y* (4.53) (2.64) (-1.76) (2.88) (0.44) i i* (2.32) (2.65) 2 R = S. E. = D. W. = 0. 22
27 II-9 log S = log (M / M*) 0.65 log (Y/ Y*) (i i*) (35.95) (4.51) (-21.75) (0.85) R 2 = S. E. = 0.13 D. W. = 0.19 * * * log S = α + α log( M / M ) + α log( Y / Y ) + α ( i ) i S M M * Y Y * i 3 * i 3 * log( / M ) log( / (35.95) * * M Y Y ) ( i i ) 0.59 (4.51) (-21.75) (0.85)
28 II log S = (log m - log m* ) (log y - log y*) (18.61) (10.31) (-15.32) (i - i*) (5.02) 2 R = S. E. = 0.08 D. W. = 0.85 log S = log (M / M*) 0.16 log (Y / log y*) (6.77) (-2.03) (-2.70) (i - i*) (4.74) 2 R = S. E. = 0.08 D. W. = 0.63
29 * * * log S = α + α log( M / M ) + α log( Y / Y ) + α ( i ) i * log( / M ) log( / 8.44 (6.77) * * M Y Y ) ( i i ) (-2.03) (-2.70) 0.18 (4.74) * * * log S = α + α log( M / M ) + α log( Y / Y ) + α ( i ) i * log( / M ) (18.61) * * M log( Y / Y ) ( i i ) 1.62 (10.31) (-15.32) 0.03 (5.02)
30 Ineres Pariy i i * S S + 1 I d I + 1 I f 1 + d I = I (1 + i ) f * = ( I / S ) (1 + i ) S+ 1 I d I + 1 I f 1 + ( i + 1 * 1 + ) = (1 + i ) ( S / S ) +1 F, +1
31 ( i, + 1 * * 1+ ) = (1 + i ) ( F / S ) i i + f, +1 s f, +1 s F, +1 S Covered Ineres Rae Pariy: f, +1 s LIBOR IMF, Inernaional Financial Saisics e S 1 +
32 ( i + 1 * e * 1 + ) = (1 + i ) ( S / S ) i i + s e +1 s e s 1 S 1 + e + e Uncovered Ineres Rae Pariy: s +1 s e f, +1 s + 1 rp e f, + 1 s + 1 = rp f, +1= s e + 1 r r e = i p + p ) ( 1 +1 i
33 s e * = s + ( i i ) 1 e * * * e * r = i p + p ) r = i ( p + p ) ( 1 1 s * + p p + e * e e * = ( s+ 1 + p + 1 p 1) ( r r ) 2 re re * re = re ( r r ) s e * = s + 1 ( i i ) rp +
34 * re = re ( r r ) + rp rp * * re = re ( r r ) + φ( B ) * * re re β ( r r ) + γm B = * M m mm B m 1m II-12
35 log RE = (r r*) R 2 = 0.03 S.E. = 0.23 D.W. = 0.07 (-16.20) (-1.96) * log RE = α + α ( r ) 0 1 r RE r 10 1 * r 10 1 r r * (-16.20) (-1.96)
36 II log RE = (r r*) 1.59 rp R 2 = S.E. = 0.13 D.W. = 0.25 (-15.26) (-4.63) (-15.57)
37 * u j u g u e u c log RE = α 0 + α1( r r ) + α 2 ( M 11B + M 12B + M 13B + M 14B ) RE r * r u M ij B, j g e c, B, B B 7 * (-15.26) r r rp (-4.63) (-15.57)
38 log RE = (r r*)) 2.40 (rp) (-19.00) (-7.95) (-20.65) R 2 = S.E. = 0.10 D.W. = 0.45 log RE 1 * = α 0 + α1 ( r r ) λ2 2 s u j u g u e u c + α 2 ( M 11B + M 12B + M 13B + M 14B ) cλ ( a + b) ( a + b) 4ϕs / c λ 2 = < 0 2 a, b a + b = 0.1 ϕ 2 s c 2
39 1 * ( r r ) (-19.00) λ (-7.95) 2 s cλ rp (-20.65) II-15
40 log RE = (r r*)) 1.75 ( rp) (deb j /ny j ) (-19.00) (-7.95) (-20.65) R 2 = S.E. = 0.09 D.W. = 0.50 log RE 1 * = α 0 + α1 ( r r ) λ2 2 s u j u g u e u c + α 2 M11B + M12B + M13B + M 14B ) + α cλ ( 3 j deb ny j ( deb j / ny j ) λ 1 * 2 ( r r (-5.73) ) 2 s cλ rp (-11.31) j deb / ny j
41 ISLM closed economy open economy Y GDPC I G T NX M P P* L i i* r r* e e P ε = e P *
42 6 3 Y = C( Y T) + I( r) + G + NX ( e) M = L( r, Y) P r = r * IS e LM M/P L(r,Y) 7 M P dr L Y LM L r dy = > 0
43 2 * Y = C( Y T) + I ( r ) + G + NX( e) M = L( r *, Y) P Y X XY e LM IS LM LM LM IS Y ISLM
44 e LM IS IS Y
45 e LM LM impor quoa IS * NX ( e) = Y C( Y T) I( r ) G IS Y arbirage opporuniy LM Y,e 1 360
46 1970 EU EMU IS LM e LM LM IS IS Y
47 impor quoa IS LM 1cons. e
48 P M = L( r, Y) P λp + ( 1 λ) P / d f e P d P f λ 0 < λ < 1 (Y,e) LM e P M L Y 9 LM e LM IS Y LM LMd LM LMf dy de > 0
49 LMd ) ( * r r CF CF = IS LMd Y e IS LMf IS LMd Y e IS LMf
50 NX D E D E r CF r Y,r IS r IS ICM 0 ),,,, ( ) ( * = + e G T r Y NX r r CF ) ( ) ( ) ( e NX G r I T C Y Y = ), ( Y r L P M = 0 ),,,, ( ) ( * = + e G T r Y NX r r CF ),,,, ( ),,, ( e G T r Y NX G T r Y E Y D + = 0. 0, 0, 1, 0 < > < < < T E G E r E Y E D D D D ) ( ),,, ( * r r CF G T r Y E Y D = IS ICM) Y r LM IS PCM) IS CLD) r* IS ICM) Y r LM IS PCM) IS CLD) r*
51 Y,r IS PCM ICM CLD IS r* IS IS
52 NFI CF NFI = NFI( r r Y = C( Y T) + I( r) + G + NX ( e) M = L( r, Y) P NX ( e) = NFI( r) Y = C( Y T) + I( r) + G + NFI( r) M = L( r, Y) P IS * )
53 ISLM IS r LM r IS IS NFI(r) Y NFI e NFI NFI NX(e) NX
54 ISLM LM r LM LM r IS NFI(r) Y NFI e NFI NFI NX(e) NX
55 VAR VAR GDP GDP GDP GDP GDP M CD 73/3100 IMF Inernaional Financial Saisics
56
57 -13 GDP F F F GDP 1 F F 3.362
58 F GDP F GDP F GDP GDP
59 F F F GDP F 4.508
60 F
61 TSP
62 j (a) 1 2 ε ε D S d( p2 M 2 )/ p2m 2 d ln( p2m 2) d ln p2 + d ln M 2 ε D = = de / e d ln e d ln e (1) d ( p1 X1) / p1x 1 d ln( p1x 1) d ln p1 + d ln X1 ε S = = de / e d ln e d ln e (2) 1,2 e p X, M η j d ln M d ln M 2 2 η j = (3) d ln( ep2 ) d ln e + d ln p2 ηa d ln X 1 η a (4) d ln p1
63 χ j d ln X d ln X 1 1 χ j = (5) d ln( ep1 ) d ln e + d ln p1 χa χ d ln M 2 a d ln p (6) 2 (3)(6) η χ j a d ln p2 = d ln e + d ln p 2 d ln p 2 η j d ln p 2 = ( ) d ln e (7) η + χ j a (7)(6) d ln M 2 d ln M 2 χaη j = ( ) d ln e (8) η + χ j a (7)(8) ε D ε D η j ( χa + 1) = η + χ j a (9) (5)(4) d ln p 1 χ j d ln p 1 = ( ) d ln e (10) η + χ a j
64 (10)(4) d ln X 1 ηaχ j d ln X 1 = d ln e (11) η + χ a j (10)(11) ε S ε S χ j ( ηa 1) = η + χ a j (12) NX NX = p X p (13) 1 1 2M 2 dnx = d( p1 X1) d( p2m 2) (1),(2) d p X ) = s p X d ln e (1 ) ( 1 1 ε 1 1 ( p2m 2) ε p2 2 d = D M d ln e (2 ) (9),(12) p 1X1 = p2m2 dnx ηjη a( χ j + χa + 1) + χ jχa ( η j + ηa 1) = [ ] p1x1 (15) d ln e ( η + χ )( η + χ ) a j j a dnx / d ln e > 0 η η ( χ j a j + χ ( η a a + 1) + χ + χ j )( η j j χ ( η a + χ a j ) + η a 1) > 0 (16)
65 (16) χ χ +, χ + j χ a 1 0 η η > 1 (17) j + a j 1 a
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74 -1 ( y) y p = π & y GDP y GDP y π = p&
75 p& 45 o p& y y & p y y
76 p& = 0 y ( y = y) r i p& c e + p p i r c e p 1 e
77 y = µ gˆ σr δc mˆ p =αy λi i p& = r ĝ mˆ µ, σ, δ, α, λ ĝ, mˆ µ p, p&, y, i, e, c p p p& = 0 y = y i = r p e r, c y y i r r
78 p e mˆ y = y, i = r = r mˆ p e mˆ > mˆ p i y p p& = π ( α λπ ) p + π ( α λπ ) ( mˆ λπy r ) πy p mˆ, y, r α λπ > 0 p p& = 0 p mˆ, y, r ĝ ĝ p&
79 p p& α λπ > 0 α λπ < 0 p& p& p p α λ, π mˆ p p& α λπ > 0 p& p p mˆ p& p p p p T0 = mˆ p p& > 0 P P p y, i, e, c p m ˆ, gˆ, r, y
80 mˆ y y i e c 0 y 0 y i y e 0 y = y c 0
81 ĝ ĝ p ĝ c y, i e gˆ > gˆ ĝ e c e,c
82 E ( e& ) = e& E(& e) = i i i e& = i i
83 i i e 0 i i e e 0 e % 5.7 p e 2 p e y i y = y( p, e) i = i( p, e) 2
84 ( p, e; gˆ, mˆ, y, i*, p* ) p & = P ( p, e; gˆ, mˆ, y, i*, p *) e & = F 2 p e p& = 0 e& = 0 y = y i = i p e r, c y y i r i p e mˆ y = y, i = r = r mˆ p e
85 mˆ > mˆ e p& < 0 e& > 0 e& = 0 e& < 0 p& > 0 e& > 0 e& < 0 p& > 0 p& < 0 p& = 0 p ( ) p& = 0 e& = 0 p, e ( ) p, e mˆ p& = 0 e& = 0 p e p e
86 &e = 0 &p = 0 &e = 0 &p = 0 45 $ $ $m o
87 y 0 y e 0 y = y c 0 ĝ ĝ p& = 0 e& = 0 p ĝ c y, i e gˆ > gˆ
88 e e& = 0 s s p& = 0 e& = 0 s s p& = 0 p p ĝ ĝ e µ ĝ δ p y i
89 ( ) [ ] ) ( ˆ + = p p e y y i g y δ π σ µ y i + = p y m g p e i y ˆ ˆ δ σπ µ δ δ λ α σ σπ + = p y m g p e i y ˆ ˆ δ σπ µ λ α σ σπ δ δ λ α σ σπ = p y m g p e i y ˆ ˆ αδ ασπ σπ αµ λδ λσπ σ λµ σπ αδ αδ σ δλ δλ y i = i p y m g p e p e ˆ ˆ ) ( λδπ π λσπ σπ λµπ αδ ασπ σπ αµ π σ δλ δλπ σπ αδ αδ & & e p ( ) ( ) [ ] { } δλπ αδ σπ π σ λδ αδ > αδ σπ
90
91 y = y 0 + a + u u i.i.d(0,s 2 ) a u i.i.d(0,s 2 ) u independenly and idenically disribued 10 1 y 0 2 a u deerminisic rend y y = y 0 + a + u u6 u5 u4 u3 u2 u1 y
92 sochasic rend y = y 1 + ε ε i.i.d(0,s 2 ) 0 y 1 ε y1 y1 ε 2 2 y = y 0 + ε i i= y y = y 0 + ε i i= 1 u5 u1 u4 u6 u2 u3 y
93 11 Granger y = θ y 1 + ε ε i.i.d(0,s 2 )? = 1? y V-3? = 1.2? = 0.8? E( X ) = µ var( X ) = γ σ 2 2 cov( X, X s ) = E( X µ )( X s µ ) = s
94 ?? 12? uni roo? = 1.2? = 0.8? = 1? = 1,= 0.1 ε i.i.d(0,1) y = β + θy 1 + ε ( 1 θ L) y = ε ( 1 θl) = 0?
95 y = b + y 1 + ε y i= 1 ε i.i.d(0,s 2 ) = y 0 + b + ε i V-3 ( y y0 a ) = u y y y 1 = y = ε y 1 = y = b + ε b
96 1 d d y I(d) I(0) I(1) 1 y I(2) 2 2y y d y I(0) I(0) y I(0) 1976 Fuller p p Fuller (1976)Dickey and Fuller (1981) y = θ y 1 + ε ε i.i.d(0,s 2 )?? 0 <? 1? H0 :? = 1 H1 :? < 1 H0 H1 y I(0) H0 y
97 ? Dickey and Fuller Dickey-Fuller Tes y = δ 1 + ε y 1 δ =θ H0 : d = 0 H1 : d < 0 H0 :? =1H1 :? < 1 H0 : d = 0? =1 y I(1) y I(0) I(0) I(1) d Fuller(1976) 2 y = µ + δ 1 + ε y y y = µ + α + δ 1 + ε 13 y 2 H0 : d = 0 H1 : d < 0 y I(0) H0 : d = 0 H1 : d < 0 y I(1) y I(0)
98 2 y = δ + ε y 1 H0 : d = 0 H1 : d < 0 H0 : d = 0 H1 : d < 0 y = θ 1 + ε θ =1 + δ y? < 1 y I(0) y I(1) H0 : d = 0 H1 : d < 0 ε i.i.d(0,s 2 ) y p 1 = γ y + γ y + υ = 1 i i i 1 I(1) =1 (-1) = 0 Dickey and Fuller Augmened Dickey-Fuller Tes p y = δ y δ i y i + υ i= 1 Q(p)
99 y = µ + δy 1 + ε ε i.i.d(0,s 2 ) d = 0 = 0 (, d) = (0, 0) Dickey and Fuller (1981) F F F 1 y p 1 µ α δy = = δ y 1 i i i 1 ε ε i.i.d(0,s 2 ) H0 : d = 0 H1 : d < 0 H0 y ( ) = 0 H0 H0 : d = 0 = 0 F H0 d = 0 1 <>0 y = + a + y 1 µ + ε H0 = 0 d = 0 y p 1 µ δy = + + = δ y ε 1 i i i 1 H0 : d = 0 H1 : d < 0 H0 y H0 y <>0 H0 : = 0 d= 0 F H0 d = 0 3 <>0 y
100 H0 = 0, = 0 y p 1 δy = + = δ y ε 1 i i i 1 H0 : d = 0 H1 : d < 0 H0 y H0 (i) (ii) (iii) (i) (ii) (i) (ii)
101 I(1) yi(1) x xy Granger and Newbold (1974) y I(1)x I(1) y = + X + u = 0 R 2 DW H0: = 0 H0 y I(1)xI(1) I(0) 2 2 3
102 x I(d) y I(d) 1y β 2x β + I(d - b) d b > 0 y x d b y, x CI(d, b) ( β, β 1 2 ) I(0) d b = 0 y = α + βx + u u = y α βx y I(d) x I(d) d u I(0) y + u = y = α + β 1 x1 + β 2x2 u α β 1 x1 β2x2 y I(1) x, 1 x2 I(0) y, x, 1 x2 y + u = y = α + β1x1 + β 2x2 + β3x3 u α β1x1 β2x2 β3x3 y I(1) x 1 I(1) x, 2 x3 I(2) y, β 1 x1, β2x2 + β3x3 I(1) u I(0)
103 y = α + β x + β x + Lβ x + u k k β 1, β 2, L, β k ε A p = δε δ i i= 1 ε ε + υ i Ho: = 0 H1: < 0 u I(0) y, x1, x2, L, x k Engle-Granger Tes Augmened EG Tes y = α + β + ε x y, x I(1) y x ε = y α βx I(1) ε E( ε )=0 ε I(0) y x y α βx ε = y α βx Engle and Granger (1987) y x y = δ x γε + u γ > 0 1
104 ECM: Error Correcion Model y, x I(1) ε I(0) y, x, ε 1 I(0) u I(0) ε y α βx > 0 y 1 > α + βx 1 = α βx y y < 0 0 ε < y 1 < α + βx 1 y y 1 y > 0 γ γ y x y x A ( L) y = B( L) δ x γε 1 + θ( L) u L A(0) = y
105 LYDOL α + u = + β 1 LPPIjp1 β2lppius2 LYDOL LPPIjp LPPIus LYDOL LPPIjp LPPIus
106 LYDOL LPPIjp LPPIus
107 LYDOLLPPIjpLPPIus LYDOL 1 I(1) LPPIus LPPIjp LYDOLI(1)LPPIjp, LPPIusI(0) AR(p) R 2 LYDOL LPPIjp LPPIus LYDOL LPPIjp LPPIus β1,β 2 14 LYDOL = α + β log( PPIjp / PPIus ) + u 23 = α + βlppiju + u LPPIju LPPIju
108 AR(p) R I(1) 23 EG 23 LYDOL = LPPIju 24 ( ) ( ) (0.000) (0.000) R 2 = s = DW = ( ) 24 ε ε = ε ε ε ε 3 ( ) ( ) ( ) ( ) (0.005) (0.001) (0.000) (0.002) R 2 = s = DW = ( )
109 24 24 ε = LYDOL βlppiju α 24 LYDOL LYDOL TB LYDOL + DU = α 1 + ( α 2 α1) DU + βlppiju u 25 1 ( > TB ), 0 ( TB ) = DU LYDOL = α 1 + βlppiju + u ( TB ) LYDOL = α 2 + βlppiju + u > T ) ( B
110
111
112 T T Bs Be 25 DU = ( T < T ), 0 ( < T, > T ) 1 Bs Be Bs Be 1 ( TB1 s < TB1 e, > TB2s ), 0( TB1s, TB1 e < TB2s DU = ) AR(p) R Q Q Q486Q Q486Q297Q LYDOL 90
113 90
114 A ( L) δ 1 + θ( L) u LYDOL = B( L) LPPIju γε LYDOL = LPPIju LPPIju LPPIju ( ) ( ) ( ) LYDOL ε 1 ( ) ( ) R 2 = s = DW = ( ) LYDOL = LPPIju LPPIju ε LPPIju ( ) ( ) ( ) ( ) R 2 = s = DW = ( ) γ /γ
115 1995 Sims y = α + α y + α y, + e y y y = β + β y + β y + e , 1 3 2, y y 1 2 = π = π π + π y 1, 1 y 1, 1 + π 13 + π 23 y 2, 1 y 2, 1 + υ 1 + υ 2 VAR()
116 VAR AR(p) p y = v + Θ 1 + υ y y y = 1 y v = π 2 π Θ = π π π π υ υ = υ υ 1 2 y1,,y VAR(p) y = v + Θ1 y1 + Θ2 y Θ p y p + υ VAR E [ υ 1 ] = 0 Cov ( υ ) 1 ω = Ω = ω ω ω V = Cov ( υ ) ( ) 1 Cov υ1, υ 2 ( υ, υ ) V ( υ ) ω 12 ( ) υ υ s s VAR VAR 1 Granger(1969) y 2 y 1 y 1 y 2 VAR
117 π 13 = 0 y 2 y 1 VAR() y1 = π 11 + π12 y1, 1 + π 13y2, 1 + π 14 y1, 2 + π 15y 2, 2 + υ1 π13 = π15 = 0 y 2 y 1 y 2 y 1 y 2 y 1 (, ) y y y = 1 2 ' VAR(p) y y 1 2 v = v π π π 11, 1 12, 1 π 211, 22, 1 y y 1, 1 2, 1 π + + π 11, p 21, p π π 12, p 22, p y y 1, p 2, p υ + υ 1 2 y π = π = π p = 12, 1 12, 2 12, 0 y 2 y 1 π = π = π p = 211, 21, 2 21, 0 y 1 y 2 y 2 y 1 y 2 y 1 y 1 2 y 1 y 2 VAR(p) y 2 y 1 ( ) RSSR USSR / p λ = USSR / ( T 2p 1) λ p,tp p: T: VAR y = ( y,, y )' P 1 M
118 [VAR(p)] y 1 = v + Θ1 y 1 + = Θ p y p + υ ( ) ' v = v v 1,, M Θ i θ = M θ M 11, i 1, i K O L θ θ 1M, i M MM, i ( ) ' υ = υ, L, υ 1 M υ E υ = 0 [ ] [ ], non-singular = E ' υ υυ υ υ s s υ VAR(p) MA y = µ + v + M 1υ 1 +L i= 0 = µ + M υ i i [ = E y ] = ( I Θ1 LΘ p ) 1 µ µ M i kj I j k VAR(p) υ P P υ = I y MA y = µ + M P Pυ = µ + Ψ w i= 0 i 1 i i= 0 i i = M P 1 ( w = w,, ' 1 L w ) Ψ i i M w
119 E ' ' ' [ w w ] = PE[ υ υ ] P I = Ψ i w m y 1 P Ψ i Causal Ordering v δ VAR(p) h MSE ( ) ' h = + M M + L+ M M ' v 1 v 1 h 1 v h ' ' ' ' 1 ' 1 ' 1 ' 1 ' v 1 v 1 L h 1 v h 1 ' ' ' L h 1 h 1 = ( ) + ( ) + + ( ) P P P P M P P P P M M P P P P M = ΨΨ + ΨΨ+ + Ψ Ψ Ψ n Ψ ' n m Ψ n 2 ' ' Ψ Ψ LΨ h Ψ h MSE MSE y m ϕ mj, 0 + ϕ mj, 1+ L + ϕ mj, h 1 Ψ mj, n Ψ n mj MSE
120 VAR VAR LYDOL X IMF Inernaional Financial Saisics Y GDP Z GDP W
121
122 VAR LYDOLXYZW X = δ + ε X 1 X = µ + δ + ε X 1 X = + α + δx 1 µ + ε 2 X
123 LYDOL LYDOL
124
125 3 p H : δ 0 0 = LYDOL W X p LYDOL X W W W = +1 W W + ε = ε + ε 1 + ε
126 VAR 2 VAR F (p, T-2p-1)F p T F F(4,99) F(4,40)F(4,48)
127
128 VAR 5 YD,XX,Y,Z,W VAR VAR YD VAR
129
130
131 VII VII
132
133 % % % VII-3 80
134
135 n.a n.a IMF, Inernaional Financial Saisics
136 n.a n.a.
137 10 10 IMF, Inernaional Financial Saisics (1) (2) (1) (2)
138
139
140 IMF, Inernaional Financial Saisics 97 97
141 99
142 i YDOL = *( PPI *( IRGB *( BPC US J US CPI / NGDP / WPID J / CPI US J *100) ) *( IRGB10 J 4 ) *( BPC J US CPI / NGDP J US / CPI *100) US 4 ) YDOL PPIUS WPIDJ IRGB10 10 CPI US J US IRGB10 10 CPI BPC J J BPCUS NGDPUS J NGDP ii NEEDS NEEDS NEEDS NEEDS 2
143 YDOL = *( KBPC *(( IRGB *( YDOL 1 ) US WPI US J ) / WPI US 4 ) ( RBLAV WPI J / WPI J 4 )) KBPC J IRGB30 US 30 WPIUS RBLAV WPI J YDOL = * ( PE / EXPIS *199) *( BPC * (( RCALL *( YDOL J /1000 / GNP US 1 ) WPI US J 1 ) / WPI US 4 ) ( RCALL J WPI J / WPI J 4 )) PE EXPIS BPC J GNP GNP J RCALL US J RCALL iii YDOL MAVG4 = *( KBPC *(( RMAA J JMAVG4 PGDP / PGDP J ) *( YDOL ) J 4 MAVG4 MAVG4 1 IRGB30 US ) ) MAVG4 RMAAJ PGDP GDP J MAVG4 4
144 i log( YDOL ) log( PPP) = *(( IRGB *(( KBOPCRNT *(( BPC J US PGDP + KDR + DR ) /( NGDP J J US / PGDP J ) /( J US 4 NGDP + NGDP ) ( RBLAV PGDP J US + NGDP US * YDOL )) J * YDOL )) / PGDP J 4 )) YDOL PPP IRGB30US 30 PGDP GDP US RMAA J PGDP GDP J KBPC J KDR J NGDPUS NGDP J BPC J ii [ ]= *[ ] -7.46*[ ]+1.44*[ ] -1.73*[ ]
145
146
147
148
149
150
151 Y X 1 10 X 2 10 X 3 X 4 23
152 ii
153
154 Y X 1 X 2 X 3 X
155 2000
156
157
158
159 21 1 1
160
161
162 99
163 VII-28
164 86 20 The Conference Board s Leading Indicaors Index
165 2
166
167
168
169
170 22
171 PPP
172 GDP GDP TOPIX NY 30 M1 M1M2 M1 M1M2
173 23 EU
174
175
176 1 1
177 FOMC Yes No
178 84-4
179
180 CI Conference Board s Leading Indicaors Index 4 Q M W D -5 Excel -4 Primark Daasream
181
182
183
184
185 2-8 -9
186 * * * log( YDOL) = α 0 + α1 log( M / M ) + α 2 log( Y / Y ) + α3 ( i i ) YDOL M M * Y Y * i 3 * i 3 * log( RE) = α 0 + α1 ( r r ) RE r 10 1 * r 10 1 RE) α + α log( lead jp ) α log( lead ) log( = us 2 RE lead jp CI leadus US Conference Board s Leading Indicaors Index * u j u g u e u log( RE ) = α 0 + α1( r r ) + α 2( M 11B + M 12B + M13B + M 14B c ) RE * r r u M ij j g e c B, B, B, B 7 log( ) α 1 + ( α2 α1) DU + β YDOL = log( PPIjp / PPIus ) + u DU = 1 (81Q4 < 86Q2), 0 ( 81Q 4, > 86Q2) YDOL PPIjp PPIus DU
187
188 G ( )
189 GDP
190 GDP GDP GDP GDP
191 3
192
193
194
195
196 [1994] [1983] [1983] [1979] No.3 [1992] [1994] The Economic Sudies QuarerlyVol.45, No.5 [1996] [1990] [1999] [1994] 13 4, G.S. [1992] [1997] [1992] [1995] Baillie, Richard and Parick McMahon[1989] The Foreign Exchange Marke: Theory and Economeric Evidence, Cambridge Universiy Press. Cuhberson, Keih[1996] Quaniaive Financial Economics: Socks, Bonds and Foreign Exchange, Wiley. De Grauwe, Paul, Hans Dewacher and Mark Embrechs[1993] Exchange Rae Theory: Chaoic Models of Foreign Exchange Markes, Blackwell. Greene, William H.[1993] Economeric Analysis, 2 nd. Ed. Macmillan Grossman, Gene. M. and Kenneh Rogoff [1995] Handbook of Inernaional Economics, Volume 3, Norh-Holland Isard, Peer [1995] Exchange Rae Economics, Cambridge Universiy Press. Jacques J. Polak[1995] Fify Years of Exchange Rae Research and Policy a he Inernaional Moneary Fund, IMF Saff Papers, Vol. 42, 4 MacDonald, Ronald and Mark P. Taylor[1992] Exchange Rae Economics: A Survey, IMF Saff Papers, Vol. 39, 1 Mankiw, N. Gregogry[1994] Macroeconomics, 2 nd. Ed., Worh Publishers
197 Obsfeld, Maurice and Kenneh Rogoff[1996], Foundaions of Inernaional Macroeconomics, MIT Press Romer, David[1996] Advanced Macroeconomics, McGraw-Hill
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