対外開放政策推進下の中国における物価動向に関する研究

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1 Title 対外開放政策推進下の中国における物価動向に関する研究 Author(s) 南川, 高範 Issue Date DOI /doctoral.k11065 Doc URL Type theses (doctoral) File Information Takanori_Minamikawa.pdf Instructions for use Hokkaido University Collection of Scholarly and Aca

2 Study on Price Level and Excess Money under Open Door Policy in China MINAMIKAWA Takanori September 2013

3 ( 1) Growth Rate (%) inflation real GDP growth : GDP :IMF (2012) GDP : Web URL:

4 GDP

5 WTO : : :

6 1: I(2) : I(2) : : 110 4

7 ( ).. 30 ( ).. 31 ( ) ( ).. 32 ( ).. 32 CPI IRFs( ) CPI IRFs( ) ( ) CPI IRFs( )

8 GDP ( ) FDI ( ) FDI FDI FDI ACF PACF CPI IRFs CPI IRFs

9 CPI IRFs( ). 35 FDI (10 ) FDI (10 ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) FDI ( ) ( ) ( ) ( )

10 ( ) ( ) ( ) ( ) FDI ( ) (σ 3 = 0) (σ 3 = 0) (σ 3 = 0) (σ 3 = 0)

11 (,2007) 1980 (,2003) (World Trade Organization: (,2007,2011) (,2007) (,2003) 3 ( ) (2003) 4 (1990)

12 WTO) WTO WTO WTO : 1994 (,2011) (2011) 10

13 30% 60% (,2011) : ( ) 1995 (,2011,2007) 11

14 : (,2007) (2005) (2005) % % % (,2005) 6 12

15 ( 2) (2011) % ( 3) % %( 5) % ( 6) 13

16 Interest Rate (%) Deposit rate Lending Rate : ( ) IMF (2012) % % ( 4 6) % ( 5) % 1994 ( 6) 1.3 WTO WTO 14

17 (,2007) US(17.74%) Oceanic(1.42%) North(1.16%) Latin(2.03%) Europe(15.51%) Asia(60.7%) Africa(1.45%) 3: 1994 WTO (Foreign Direct Investment: FDI) WTO ( 7) WTO ( 8 9) WTO ( 10) WTO (2003) 15

18 US(17.9%) Oceanic(1.31%) North(1.04%) Latin(2.52%) Europe(15.85%) Asia(59.62%) Africa(1.76%) 4: 1997 Oceanic(1.62%) US(21.48%) North(1.33%) Latin(2.91%) Asia(52.32%) Europe(18.19%) Africa(2.14%) 5:

19 US(17.64%) Oceanic(1.81%) North(1.53%) Latin(5.02%) Asia(46.42%) Europe(24%) Africa(3.58%) 6: 2008 Foreign Direct Investment (Billion Dollar) : FDI ( ) 17

20 US(8.22%) Other(5.44%) Europe(6.02%) ASEAN(7%) S.Korea(2.79%) HK(54.97%) Japan(8.56%) 8: 1995 FDI HK ASEAN Other(13.85%) US(10.77%) HK(38.92%) Europe(11.7%) ASEAN(6.97%) S.Korea(3.66%) Japan(7.16%) 9: 2000 FDI 18

21 Other(25.69%) HK(30.75%) US(5.07%) Europe(9.35%) ASEAN(4.87%) S.Korea(8.57%) Japan(10.82%) 10: 2005 FDI (2011) WTO WTO WTO % 6 ( 11) % ( 13) 19

22 %( 14) % % % % 2000 WTO (2011)

23 % (,2003) (,2007) WTO (2002) 21

24 WTO

25 Oceanic(2.52%) US(12.02%) North(1.6%) Latin(1.94%) Europe(21.64%) Asia(59.48%) Africa(0.77%) 11: 1994 North(1.41%) Latin(2.65%) Oceanic(2.58%) US(11.45%) Europe(18.09%) Asia(62.09%) Africa(1.73%) 12:

26 North(1.23%) Latin(2.82%) Oceanic(2.32%) US(9.23%) Europe(18.1%) Africa(1.84%) Asia(64.47%) 13: 2002 Oceanic(3.55%) US(7.18%) North(1.12%) Latin(6.33%) Europe(14.84%) Africa(4.94%) Asia(62.04%) 14:

27 2 2.1 (World Trade Organization: WTO) 1985 Zhang (2009) Andrews and Ploberger (1994) Andrews and Ploberger (1994) Andrews and Ploberger (1994) Andrews and Ploberger (1994) (Impulse Resonse Functions: IRFs) 25

28 Bai and Perron (1998) 1994 Andrews and Ploberger (1994) Zhang (2009) 1994 WTO Bai and Perron (1998) Bai and Perron (1998) 2002 IRFs 2002 IRFs 26

29 2.2 IMF (2012) (Auto-Correlation Function: ACF) (Partial Auto-Correlation Function: PACF) ACF 0 PACF 0 (Auto-Regressive: AR) (Augmented Dickey Fuller: ADF) Elliott et al. (1996) 5% ( 1 8 ) (Akaike Information Criterion: AIC) (Bayesian Information Criterion: BIC) Bai and Perron (1998) 8 ERS Elliott et al. (1996) Level Difference 27

30 Correlation ACF PACF : ACF PACF 1: ADF ERS Level (AIC) Difference (AIC) Level (BIC) Difference (BIC) Bai and Perron (1998) Yao (1988) Liu et al. (1997) Bai and Perron (1998) Yao (1988) Liu et al. (1997) pure structural change Bai and Perron (1998) R strucchange Bai and Perron (1998) 28

31 AR BIC IRFs IRFs AR 1 AR AR IRFs Gospodinov (2004) IRFs Lütkepohl (1990) Pesavento and Rossi (2006) Gospodinov (2004) 29

32 2.3 Bai and Perron (1998) BIC 2 AR Zhang (2009) Zhang (2009) 3 2 2: ( ) 1st 1988(8) 1990(6) 1990(11) 2nd 1993(11) 1994(10) 1995(7) Bai and 9 ( ) 30

33 3: ( ) m= m= m= m= m= m= m= m= Perron (1998) : ( ) m=1 1995(5) m=2 1990(6) 1994(10) m=3 1989(6) 1992(5) 1994(11) m=4 1989(6) 1992(6) 1996(12) 2002(3) m=5 1989(6) 1992(5) 1994(10) 1997(2) 2002(3) m=6 1989(6) 1992(5) 1994(10) 1997(2) 1999(6) 2002(3) m=7 1989(6) 1992(5) 1994(10) 1997(2) 1999(6) 2002(3) 2006(8) Bai and Perron (1998) BIC 2 AR 1 5 WTO 1 2 5% ( 6) 31

34 5: ( ) 1st 2000(5) 2002(3) 2004(11) 6: ( ) m= m= m= m= m= m= m= m= IRFs IRFs IRFs IRFs 7 8 IRFs IRFs ( 9)

35 : CPI IRFs IRFs : CPI IRFs IRFs

36 7: CPI IRFs( ) IRFs : CPI IRFs( ) IRFs IRFs IRFs 34

37 9: ( ) m=1 2002(3) m=2 1996(12) 2002(3) m=3 1996(12) 1999(6) 2002(3) m=4 1996(12) 2002(3) 2004(9) 2007(1) m=5 1996(12) 1999(6) 2002(3) 2004(9) 2007(1) m=6 1996(12) 1999(6) 2002(3) 2003(10) 2005(2) 2006(10) m=7 1996(12) 1999(6) 2001(8) 2002(12) 2004(9) 2006(4) 2007(8) IRFs : CPI IRFs( ) IRFs IRFs 35

38 10: CPI IRFs( ) IRFs (Foreign Direct Investment: FDI) ( 19) (,2003,2011) IRFs Zhang (2009) Zhang (2009) Bai and Perron (1998)

39 Bai and Perron (1998) Bai and Perron (1998) IRFs FDI FDI Zhang (2009)

40 Foreign Direct Investment (Billion Dollar) : FDI (10 ) : Web URL: 1: (Augmented Dickey Fuller: ADF) ADF (,2008) Elliott et al. (1996) ADF Elliott et al. (1996) ADF-GLS 38

41 y t = µz t + u t u t [ = au ] t 1 + ε t [ c0 1 µ = z c t = 1 t ] y t z t 1 t ε t a µ u t y t z t y d y 1 t = 1 t = y t ay t 1 t 2, z 1 t = 1 zd t = z t az t 1 t 2 y d t z d t y t = µ z t + u t y t = µ z t + au t 1 + ε t y t = µ z t + a(y t 1 µ z t 1 ) + ε t y t ay t 1 = µ z t aµ z t 1 + ε t y d t = µ z d t + ε t y d t z d t ˆµ x t = y d t ˆµ z t ADF ADF a ADF-GLS a T GLS c 39

42 T GLS t 1 T GLS d c 2 (B 2 1 (1) 1), T GLS d t 2 (V 2 (1,θ) 1) B2 (s)ds 0 V2 (s,θ)ds V 2 (1,θ) = B(r) r(λb(1) + 3(1 λ) 1 0 sb(s)ds) 1 θ λ = (1 θ + θ 3 )/3 B(r) r θ a ADF- GLS a = 7 a = 13.5 Elliott et al. (1996) 40

43 2: Bai and Perron (1998) Bai and Perron (1998) (Auto-Regressive: AR) AR AR (Bayesian Information Criterion: BIC) l l + 1 l = 0 41

44 l π χ 2 π t 0 T πt F T F T F T (l + 1 l) = RS S US S ˆσ 2 RS S US S l BIC 1 l + 1 l + 1 S T (ˆt i ) ˆt i [ ] ˆt 1 ˆt l 42

45 US S = min τ (S T ( ˆT 1,,τ, ˆT l )) l + 1 τ τ τ < ˆt 1 US S = min τ (S T (τ, ˆT 1,, ˆT l )) τ > ˆT l US S = min τ (S T ( ˆT 1,, ˆT l,τ)) US S l + 1 G q (x) l+1 G q (x) l+1 = (B q(π) πb q (1)) (B q (π) πb q (1)) π(1 π) Bai and Perron (1998) B q (π) π q x G q (x) l π π χ 2 G q (x) l+1 Bai and Perron (1998) 43

46 3: (Impulse Response Functions: IRFs) Gospodinov (2004) (Auto-Regressive: AR) Gospodinov (2004) AR IRFs IRFs AR Gospodinov (2004) IRFs AR IRFs α IRFs 1 α IRFs IRFs AR α IRFs IRFs IRFs AR 44

47 IRFs AR y t = p φ i y t i + ε t i=1 (1 Φ(L))y t = ε t Φ(L) = φ 1 L + φ 2 L φ p L p y t = (1 Θ(L))ε t y t = ε t + θ i ε t i i=1 (1 Φ(L)) 1 = (1 Θ(L)) 10 (1 Φ(L)) 1 = (1 Θ(L)) (1 φ 1 L φ 2 L 2 φ p L p )(1 + θ 1 L + θ 2 L 2 + ) = 1 L θ 1 = φ 1 θ 2 = φ 1 θ 1 + φ 2.. θ s = φ 1 θ s 1 + φ 2 θ s φ p θ s p s IRFs AR IRFs IRFs AR θ s AR φ 2 φ p φ 1 φ 1 = x [ ] [ θ s = θ s φ2 φ p = φ 2 φ p ] θ s θ s = xθ s 1 + φ 2 θ s φ p θ s p = 0 AR IRFs θ 1 = φ 1 (= x) 10 L Lx t = x t 1 45

48 φ 1 AR c AR c (Augmented Dickey-Fuller: ADF) y d t = αy d t 1 + Ψ(L) yd t + e t α = 1 + c T y d Ψ(L) T c 0 c = 0 c AR c 46

49 (Nominal Effective Exchange Rate: NEER) (Foreign Direct Investment: FDI) (,2003,2011) 2000 (2005) (Vector Auto-Regressive: VAR)

50 (,2007) I(2) 2 (Error Correction Model: ECM) ECM NEER ECM Burdekin and Siklos (2008) Mehrotra (2008) Gerlach and Kong (2005) 48

51 (Sriram,2001) ECM 49

52 I(1) ECM p VAR p 1 x t = αβ x t 1 + ψ i x t i + ε t i=1 x t = x t x t 1 ε t α β ψ i I(1) ECM I(2) I(2) I(2) ECM I(2) ECM Johansen (1997) 11 Johansen Mosconi and Paruolo (2011) p 2 2 x t = α(β x t 1 + υ x t 1 ) + (ςβ + ξγ ) x t 1 + Υ 2 x t i + ε t υ γ ς ξ Υ i β γ x t 12 x t i=1 11 Johansen I(2) Georgoutsos and Kouretas (2004) Juselius (2004) Fiess and MacDonald (2001) Rahbek et al. (1999) 12 Mosconi and Paruolo (2011) proportional-control term 50

53 (Juselius,2006) β x t υ x t β x t 1 + υ x t 1 13 k r r + s β υ k r γ k s I(2) Mosconi and Paruolo (2011) υ 3.3 (M) (P) GDP(Y) (RL) NEER(RF) M P RL RF IMF (2012) Y CEIC M Y 13 Mosconi and Paruolo (2011) multi-cointegration 14 CEIC GDP URL ( 51

54 Burdekin and Siklos (2008) NEER NEER NEER Mehrotra (2008) Zhang (2009) 52

55 Guerineau and Guillamont (2005) Koiv (2009) Elliott et al. (1996) ( ERS ) (Augmented Dickey Fuller: ADF) 11 ADF ERS ADF ADF ERS P 12 ADF ERS 1% ERS 53

56 I(2) Nielsen and Rahbek (2007) r = 4, s = 0 β r υ r + s (just identified) r = 4, s = 0 β υ D1 D2 D3 price homogeneity 13 β 11 Georgoutsos and Kouretas (2004) Johansen and Lütkepohl (2005) 15 ECM 15 Rahbek et al. (1999) 54

57 11: ADF P ERS P M P Y RL RF : ADF P ERS P M P Y RL RF : β 1 υ 1 M β 11 0 P β 11 υ 21 Y β 31 0 RL β 41 0 RF β 51 0 D1 0 υ 61 D2 0 υ 71 D3 0 υ 81 4 β 1 υ 1 14 e β x t + υ x t 55

58 14: β 1 υ 1 M P Y RL RF D D D e t = 14.83(M t P t 1.47Y t RL t 1.67RF t P t D1 t D2 t D3 t ) M t = P t Y t 0.08RL t RF t P t D1 t D2 t D3 t e t χ 2 (H N1 ) (H N2 ) (H N3 ) (H N4 ) (H N5 ) (H N6 ) 15 5% 56

59 ( ) ( 16) 16 2 P 2 Y NEER ( 21) NEER 57

60 15: χ 2 P H N1 : (β 31 = β 11 ) H N2 : (β 41 = 0) H N3 : (β 51 = 0) H N4 : (υ 21 = 0) H N5 : (υ 61 = υ 71 ) H N6 : (υ 71 = υ 81 ) : 2 M -3.00E-03 [ 1.15E-03 ] 2 P 2.88E-04 [ 1.84E-05 ] 2 Y 2.00E-04 [ 4.66E-04 ] 2 RL -1.27E-01 [ 2.81E-02 ] 2 RF 1.51E-02 [ 3.33E-03 ] ( 22)

61 Multi Cointegration : Exchange Rate(Jan 1991=100) US CH : IMF (2012) 59

62 Lending Rate (%) : IMF (2012) Import Price Index : IMF (2012) 60

63 3.4 I(2) FDI 24 FDI 2000 ( 16) ( 14) NEER NEER 61

64 Foreign Direct Investment (Billion Dollar) : FDI (10 ) : Web URL: NEER NEER

65 63

66 1: I(2) x t I(2) Nielsen and Rahbek (2007) I(2) β x t + υ x t I(0) β x t I(0) γ x t I(0) I(2) p 2 2 x t = Πx t 1 + Γ x t 1 + Ψ 2 x t i + ε t i=0 Johansen (1997) 2 x t = α(ρ τ x t 1 + ψ x t 1 ) + Ωα (α Ωα ) 1 κ τ x t 1 + ε t ε t N p (0,Ω), t = 1,,T ψ = (α Ω 1 α) 1 α Ω 1 Γ κ = [ α Γ β ξ ] α τ 16 τ τ 16 x t x t = x(x t x) 1 64

67 α α α r α α τ τ ᾱ α ᾱ 2 x t = ωα 2 x t + ρ τ x t 1 + ψ x t 1 + ε 1,t α 2 x t = κ τ x t 1 + ε 2,t ω = ᾱ Ωα (α Ωα ) 1 α α τ ω ψ κ α α ω ψ κ ᾱ τ ᾱ R( 2 x t α x t, x t ) = ρ τ R(x t 1 α 2 x t, x t 1 ) + ε t 17 α 2 x t = κ τ x t 1 + ε 2,t τ Aτ B +Cτ D = E A = ρω 1 1 ρ B = S S (x t 1 α 2 x t, x t 1 ) C = κω 1 2 κ D = T 1 x t 1 x t 1 S P(U t,w t V t ) T 1 18 ρω 1 ᾱ S P( 2 x t, x t 1 α 2 x t, x t 1 ) + κω 1 2 α T 1 2 x t x t 1 T t=1 R(U t V t )R(W t V t ) S S (U t V t ) S P(U t,u t V t ) 17 R(u v) u v 18 Ω i ε i 65

68 Aτ B +Cτ D = E vec(abc) = (C A)vec(B) τ vec(τ) = ((B A) + (D C)) 1 vec(e) τ τ r = 0, s = 0 r = 0, s = 1 CATS in RATS Ox 66

69 2: I(2) I(2) p p 2 2 x t = α(β x t 1 + υ x t 1 ) + (ςβ + ξγ ) x t 1 + Υ 2 x t i + ε t α β υ γ ς ξ Υ i ε t η = [ α ξ ς ] ζ = [ β υ γ ] x t x t Υ i 2 x t 2 x t i 2 y t x t 1 x t 1 2 x t i y t 1 y t 1 i=1 2 y t = α(β ỹ t 1 + υ ỹ t 1 ) + (ςβ + ξγ ) ỹ t 1 + ε t ζ η ζ η η ˆΩ ˆΩ = ε tε t T p T ζ vec(abc) = (C A)vec(B) 67

70 vec( 2 y t ) = vec( [ α ς ξ ] β y t 1 + υ y t 1 β y t 1 γ + ε t) y t 1 vec(αβ y t 1 ) + vec(ςβ y t 1 ) = (y t 1 α + y t 1 ς)vec(β ) vec(αυ y t 1 ) = ( y t 1 α)vec(υ ) vec(ξγ y t 1 ) = ( y t 1 ξ)vec(γ ) ζ 2 y t = Z t vec(ζ) + ε t Z t = [ (y t 1 α + y t 1 ξ) ( y t 1 α) ( y t 1 ς) ] ζ η ˆΩ vec(ζ) = ( T Z t ˆΩ 1 Z t ) 1 t=1 T Z t ˆΩ 1 2 y t t=1 ζ η H k r H k (k r) 1 2 H 1 H 1 =

71 19 vec(ζ) = ( T H Z t ˆΩ 1 Z t H) 1 t=1 T HZ t ˆΩ 1 2 y t I(2) t=

72 4 4 3 I(2) 3 3 McCallum and Nelson (2000) ( MN ) MN MN MN MN 70

73 Burdekin and Siklos (2008) Sun et al. (2012) (2009) IMF (2012) Web 71

74 4.1 MN MN 2000 : { c 1 θ } t max U = β 1 θ + m1 µ 1 µ l1+λ t 1 + λ t=0 s.t. m t + c t = 1 ((1 + i t )b t 1 + m t 1 ) + w t n t 1 + π t c m n π i b w c t = α 1 E t (c t+1 ) + α 2 (i t E t (π t+1 )) α 1 α 2 72

75 : ( P ) max Π t = t ( j) y t ( j) q t im t w t n t ( j) P t s.t. y t ( j) = z t (n t ( j)) (1 δ) im δ t ( j) y t ( j) = yt D( j) Π y( j) im P P ( j) y D ( j) θ p y t = 1 0 y θ p 1 θ p t ( j)d j θ p θ p 1 y( j) ( ) θp Pt ( j) y t ( j) = y t P t π t = σ 1 E t (π t+1 ) + σ 2 (y t ȳ t ) ȳ y ȳ ȳ ȳ t = a t γδ 1 δ q t 73

76 a γ : im t = y t γq t q im im ex t = y f t + γq t ex y f y f t = ρ y f y f t 1 + ε y f,t 1 (Auto-Regressive: AR) 0 < ρ y f < : MN π tar 74

77 i t = π t + µ 1 (π t π tar t ) + µ 2 (y t ȳ t ) 21 (2009) 0 m tar m tar m t m tar t = θ 1 ȳ t + θ 2 π tar m t = (1 φ)m tar t + φm t 1 φ 21 75

78 m D m D = ζ 1 y t ζ 2 s t ζ 3 i t ζ 4 π t y s i π m ex t = m t m D t I(2) π t = E t σ 1 π t+1 + σ 2 (y t ȳ t ) + σ 3 m ex t 4.3 : 76

79 c t = α 1 E t (c t+1 ) + α 2 (i t E t (π t+1 )) y t = β 1 c t + β 2 ex t im t = y t γq t ex t = y f t + γ f q t ȳ t = a t γδ 1 δ q t π t = σe(π t+1 ) + σ 2 (y t ȳ t ) + σ 3 m ex t 1 i t i f t = E(s t+1 ) s t m t = (1 φ)m tar t + φm t 1 m tar t = θ 1 ȳ t + θ 2 π tar m D t = ζ 1 y t ζ 2 s t ζ 3 i t ζ 4 π t σ 3 m tar θ 1 θ 2 φ ζ 1 ζ 4 McCallum and Nelson (2000) θ 1 = 0.1 θ 2 = 0.9 φ σ 3 I(2) : θ 1 θ 2 φ φ = 0.1 φ = s t ζ 3 77

80 c t = α 1 E t (c t+1 ) + α 2 (i t E t (π t+1 )) e c t e c t = ρ c e e t 1 + εc t, 0 < ρ c < 1 e c AR a t ȳ t = a t γδ 1 δ q t a t = ρ a a t 1 + ε a t ε a t < ρ c < 1 78

81 y f t ex t = y f t + γ f q t y f t = ρ y f y f t 1 εy f t ε y f t s t = ρ s s t 1 + ε s t ε s t ρ c ρ a McCallum and Nelson (2000) ρ c = 0.30 ρ a = : α σ θ α σ θ β σ φ β ρ c ζ γ ρ a ζ γ f ρ s ζ δ ρ y f ζ AR

82 4.4 : (Foreign Direct Investment: FDI) :

83 Consumption Growth : ( ) real GDP Growth : ( ) 81

84 Nominal Exhange Rate : ( ) Real Exchange Rate : ( ) 82

85 Import Growth : ( ) Export Growth : ( ) 83

86 CPI Inflation Rate : ( ) Foerign Direct Investment : FDI ( ) 84

87 33: 34 ( 34) ( 43)

88 ( 38) ( 37) 2001 ( 41 42) : ( 38 43) ( 42 41) 2004 :

89 ( 38) ( 41 42) ( 43) ( 36) ( 37) ρ a

90 ( 34) : ( 45 48) σ 3 = 0 88

91 35: 36: 89

92 Consumption Growth : ( ) real GDP Growth : ( ) 90

93 Nominal Exhange Rate : ( ) Real Exchange Rate : ( ) 91

94 Import Growth : ( ) Export Growth : ( ) 92

95 CPI Inflation Rate : ( ) Foerign Direct Investment : FDI ( ) 93

96 45: (σ 3 = 0) 46: (σ 3 = 0) 94

97 47: (σ 3 = 0) 48: (σ 3 = 0) 95

98

99 97

100 : (New Keynesian Phillips Curve: NKPC) NKPC NKPC (2011) (2007) ( P ) Π t = t ( j) y t ( j) q t im t w t n t ( j) P t y t ( j) = a t (n t ( j)) (1 α) im α t ( j) [( P max E t β k η k ] t ( j) )y t+k ( j) q t+k im t+k ( j) w t+k n t+k P t+k k=0 ( ) ψ Pt ( j) y t ( j) = y t P t y t ( j) = a t n 1 α t im α t mc n t ( j) = y t( j) a t im t ( j) = y t( j) a t 98 [ qt (1 α) αw [ t qt (1 α) αw t ] α ] α 1

101 mc tc t = q t im t ( j) + w t n t ( j) [ ] α 1 [ y t ( j) qt (1 α) y t ( j) qt (1 α) = q t + w t a t αw t a t αw [ ] t α w t qt (1 α) = y t ( j) (1 α)a t αw [ t ] α w t qt (1 α) mc t = (1 α)a t αw t tc [( P E t β k η k ) ] t ( j) y t+k ( j) mc t+k y t+k ( j) P t+k k=0 P t ( j) = ψ ψ 1 (βη) k y t+k ( j)mc t+k k=0 k=0 (βη) k y t+k( j) P t+k P t P t 1 η ] α P t = (1 η)p t + ηp t1 P t = ηp t+1 + (1 η)(1 βη)e t (βη) k [P t+k + mc t+k ] k=0 1 βηl 1 NKPC 28 π t = βe t + (1 η)(1 ηβ) mc t η 28 L Lx t = x t 1 99

102 (1 η)(1 ηβ) σ 1 = β σ 2 = McCallum and Nelson (2000) NKPC η m ex P t = ηp t+1 + (1 η)(1 βη)e t k=0 (βη) k [P t+k + mc t+k + µm ex t+k 1 ] m ex NKPC π t = βe t + (1 η)(1 ηβ) mc t + η (1 η)(1 ηβ) µm ex t 1 η 100

103 (World Trade Organization: WTO) WTO WTO

104

105

106 104

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