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

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 2013-09-25 DOI 10.14943/doctoral.k11065 Doc URL http://hdl.handle.net/2115/53795 Type theses (doctoral) File Information Takanori_Minamikawa.pdf Instructions for use Hokkaido University Collection of Scholarly and Aca

Study on Price Level and Excess Money under Open Door Policy in China MINAMIKAWA Takanori 2013 9 September 2013

1990 1998 2002 ( 1) Growth Rate (%) 0 5 10 15 20 25 inflation real GDP growth 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 1: GDP :IMF (2012) GDP : Web URL: http://www.stats.gov.cn/tjsj/ndsj/2011/indexch.htm 1990 1

GDP 1 2 1 2 3 4 3 2

1 9 1.1........................... 10 1.2............................ 13 1.3 WTO.................................. 14 1.4................................ 20 1.5.................................... 21 2 25 2.1................................... 25 2.2.............................. 27 2.3................................ 30 2.4...................................... 37 1:.............. 38 2:............ 41 3:................................ 44 3 47 3.1................................... 47 3.2.................................... 49 3.3.............................. 51 3.4...................................... 61 3

1: I(2)........................... 64 2: I(2)............................ 67 4 70 4.1.................................. 72 4.2........................... 74 4.3...................... 76 4.4............................ 80 4.5...................................... 96 :................. 98 101 109 : 110 4

1 2 3 4.............................. 28 ( 1985 1 2008 12 ).. 30 ( 1985 1 2008 12 ).. 31 ( 1985 1 2008 12 )........................... 31 5 6 7 ( 1995 6 2008 12 ).. 32 ( 1995 6 2008 12 ).. 32 CPI IRFs( 1995 6 2008 12 )........................... 34 8 CPI IRFs( 1995 6 2008 12 )........................... 34 9 ( 1995 6 2008 12 )........................... 35 10 CPI IRFs( 1996 12 2008 12 ).......................... 36 11 12 13 14 15................... 55.................... 55......................... 55......................... 56.............................. 58 5

16 17 18............................. 58.................. 79............................ 110 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 GDP................ 1 (1995-2005)............ 14 1994..................... 15 1997..................... 16 2002..................... 16 2008..................... 17 FDI (1991-2008)........................ 17 1995 FDI......................... 18 2000 FDI......................... 18 2005 FDI......................... 19 1994..................... 23 1997..................... 23 2002..................... 24 2008..................... 24 ACF PACF..................... 28 CPI IRFs............ 33 CPI IRFs............ 33 6

18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 CPI IRFs(1996 12 ). 35 FDI (10 )...................... 38............................ 59.................. 59............................. 60............................... 60 FDI (10 )...................... 62 (1993-1997)...................... 81 (1993-1997)...................... 81 (1993-1997).................. 82 (1993-1997).................. 82 (1993-1997)...................... 83 (1993-1997)...................... 83 (1993-1997)....................... 84 FDI (1993-1997)........................ 84.......... 85.......... 88.......... 89........ 89 (1999-2005)...................... 90 (1999-2005)...................... 90 (1999-2005).................. 91 7

40 41 42 43 44 45 46 47 48 (1999-2005).................. 91 (1999-2005)...................... 92 (1999-2005)...................... 92 (1999-2005)....................... 93 FDI (1999-2005)........................ 93 (σ 3 = 0)..... 94 (σ 3 = 0)..... 94 (σ 3 = 0)..... 95 (σ 3 = 0)... 95 8

1 1 1 1978 2 (,2007) 1980 (,2003) 1989 3 1992 1990 4 1990 (World Trade Organization: 1 1992 1 1992 (,2007,2011) 2 1978 (,2007) (,2003) 3 ( ) (2003) 4 (1990) 1990 1990 1990 9

WTO) WTO 1.1 1990 5 WTO 2001 12 WTO : 1994 (,2011) 5 1993 2003 1990 (2011) 10

30% 60% (,2011) : 1993 1995 ( ) 1995 (,2011,2007) 11

: 1980 1995 6 1998 1980 (,2007) 1990 1985 1 1998 4 (2005) 1995 1997 (2005) 1995 4% 1997 8% 2002 7% 1998 2000 7 (,2005) 6 12

1.2 1997 ( 2) (2011) 1997 1997 59.62% ( 3) 1998 53.43% 2002 52.32%( 5) 2008 46.42% ( 6) 13

Interest Rate (%) 2 4 6 8 10 12 Deposit rate Lending Rate 1995 1997 1999 2001 2003 2005 2: (1995-2005) IMF (2012) 1997 15.85% 2008 24% ( 4 6) 2002 21.48% ( 5) 2008 17.64% 1994 ( 6) 1.3 WTO 2001 12 WTO 14

(,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) 1998 2000 WTO ( 7) WTO ( 8 9) WTO ( 10) WTO (2003) 15

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: 2002 16

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) 20 40 60 80 1991 1993 1995 1997 1999 2001 2003 2005 2007 7: FDI (1991-2008) 17

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

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 1994 59.48% 6 ( 11) 2002 64.47% ( 13) 19

2005 2008 62.04%( 14) 2002 2002 1.84% 2008 4.94% 2002 2.82% 2008 6.33% 2000 WTO (2011) 1.4 1990 1994 1 20

7 1994 30% (,2003) 2005 7 1994 2005 7 (,2007) 1.5 1990 1990 2001 WTO 1995 1997 7 (2002) 21

WTO 1994 1 2005 7 3 3 22

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: 1997 23

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: 2008 24

2 2.1 (World Trade Organization: WTO) 1985 Zhang (2009) Andrews and Ploberger (1994) Andrews and Ploberger (1994) Andrews and Ploberger (1994) 1981 2007 Andrews and Ploberger (1994) 1994 11 (Impulse Resonse Functions: IRFs) 25

1993 1994 2004 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

2.2 IMF (2012) 1985 2008 15 (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

Correlation 0.5 0.0 0.5 1.0 ACF PACF 0 10 20 30 40 50 15: ACF PACF 1: ADF ERS Level (AIC) 0.001 0.001 6 Difference (AIC) 0.000 0.000 10 Level (BIC) 0.011 0.008 2 Difference (BIC) 0.000 0.000 1 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

AR BIC 0 1 1 2 1994 IRFs IRFs AR 1 AR AR IRFs Gospodinov (2004) IRFs Lütkepohl (1990) Pesavento and Rossi (2006) Gospodinov (2004) 29

2.3 Bai and Perron (1998) BIC 2 AR 2 1990 6 1994 10 2 9 Zhang (2009) Zhang (2009) 3 2 2: ( 1985 1 2008 12 ) 1st 1988(8) 1990(6) 1990(11) 2nd 1993(11) 1994(10) 1995(7) 2 1994 4 4 1994 1994 1995 6 Bai and 9 ( ) 30

3: ( 1985 1 2008 12 ) m=0 42.46 15.37 m=1 18.54 17.15 m=2 14.92 17.97 m=3 21.29 18.72 m=4 22.85 19.23 m=5 22.78 19.59 m=6 23.11 19.94 m=7 23.17 20.31 Perron (1998) 1995 6 2 1994 4: ( 1985 1 2008 12 ) 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) 1995 6 Bai and Perron (1998) BIC 2 AR 1 5 WTO 1 2 5% ( 6) 31

5: ( 1995 6 2008 12 ) 1st 2000(5) 2002(3) 2004(11) 6: ( 1995 6 2008 12 ) m=0 15.73 15.37 m=1 19.02 17.15 m=2 12.98 17.97 m=3 13.59 18.72 m=4 17.04 19.23 m=5 18.09 19.59 m=6 20.82 19.94 m=7 16.98 20.31 2002 3 IRFs 16 17 IRFs IRFs IRFs 7 8 IRFs IRFs 1995 6 2 6 2 1996 12 ( 9) 1996 12 32

0.0 0.5 1.0 1.5 0 10 20 30 40 50 16: CPI IRFs IRFs 1995 6 2008 12 0.0 0.5 1.0 1.5 0 10 20 30 40 50 17: CPI IRFs IRFs 1995 6 2008 12 33

7: CPI IRFs( 1995 6 2008 12 ) IRFs 1 1 1 1 2 0.522 0.740 0.959 3 0.636 0.721 0.894 4 0.528 0.662 0.836 5 0.505 0.615 0.785 6 0.456 0.570 0.739 7 0.418 0.528 0.697 8 0.380 0.489 0.658 10 0.314 0.420 0.590 30 0.041 0.092 0.214 50 0.005 0.020 0.080 8: CPI IRFs( 1995 6 2008 12 ) IRFs 1 1 1 1 2 1.001 1.220 1.439 3 0.926 1.212 1.590 4 0.836 1.141 1.610 5 0.737 1.057 1.582 6 0.636 0.974 1.548 7 0.538 0.895 1.519 8 0.447 0.823 1.498 10 0.295 0.695 1.473 30 0.002 0.128 1.461 50 0.000 0.024 1.506 1995 6 1996 12 2002 3 1996 12 2002 3 IRFs IRFs 34

9: ( 1995 6 2008 12 ) 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) 18 17 1995 6 10 8 IRFs 7 0.0 0.5 1.0 1.5 0 10 20 30 40 50 18: CPI IRFs(1996 12 ) IRFs 1996 12 2008 12 IRFs 35

10: CPI IRFs( 1996 12 2008 12 ) IRFs 1 1 1 1 2 0.259 0.499 0.739 3 0.498 0.577 0.690 4 0.287 0.451 0.623 5 0.306 0.414 0.577 6 0.235 0.355 0.533 7 0.200 0.313 0.495 8 0.161 0.272 0.460 10 0.107 0.208 0.399 30 0.002 0.014 0.100 50 0.000 0.001 0.026 2002 3 (Foreign Direct Investment: FDI) ( 19) (,2003,2011) IRFs Zhang (2009) Zhang (2009) 1994 11 Bai and Perron (1998) 2002 3 2002 3 36

2.4 1985 2008 Bai and Perron (1998) 1994 1994 11 Bai and Perron (1998) 2002 3 IRFs FDI FDI Zhang (2009) 1994 2002 37

Foreign Direct Investment (Billion Dollar) 20 40 60 80 1991 1993 1995 1997 1999 2001 2003 2005 2007 19: FDI (10 ) : Web URL: http://www.stats.gov.cn/tjsj/ndsj/2011/indexch.htm 1: (Augmented Dickey Fuller: ADF) ADF (,2008) Elliott et al. (1996) ADF Elliott et al. (1996) ADF-GLS 38

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

T GLS t 1 T GLS d c 2 (B 2 1 (1) 1), T GLS d t 2 (V 2 (1,θ) 1) 2 2 0 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

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

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

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+1 0 1 π π χ 2 G q (x) l+1 Bai and Perron (1998) 43

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

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 2 + + 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 2 + + 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 2 + + φ p θ s p = 0 AR IRFs θ 1 = φ 1 (= x) 10 L Lx t = x t 1 45

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

3 3.1 3 (Nominal Effective Exchange Rate: NEER) (Foreign Direct Investment: FDI) (,2003,2011) 2000 (2005) (Vector Auto-Regressive: VAR) 2000 2000 47

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

(Sriram,2001) 2000 3.2 ECM 49

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

(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 14 1991 1 2008 12 M Y 13 Mosconi and Paruolo (2011) multi-cointegration 14 CEIC GDP URL (http://www.ceicdata.com/ja/countries/china) 51

Burdekin and Siklos (2008) NEER NEER NEER Mehrotra (2008) 1994 11 2001 9 1994 11 Zhang (2009) 52

1994 11 1994 Guerineau and Guillamont (2005) 2001 9 Koiv (2009) 2001 9 2002 3 Elliott et al. (1996) ( ERS ) (Augmented Dickey Fuller: ADF) 11 ADF ERS ADF ADF ERS P 12 ADF ERS 1% ERS 53

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

11: ADF P ERS P M 3 0.222 0.607 P 7 0.012 0.145 Y 4 0.495 0.885 RL 1 0.140 0.215 RF 1 0.016 0.263 12: ADF P ERS P M 2 0.001 0.011 P 8 0.149 0.026 Y 3 0.043 0.063 RL 1 0.000 0.000 RF 1 0.000 0.000 13: 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

14: β 1 υ 1 M 14.83 0 P -14.83 1654.71 Y -21.83 0 RL 1.13 0 RF -24.73 0 D1 0 179.35 D2 0 214.17 D3 0 216.05 e t = 14.83(M t P t 1.47Y t + 0.08RL t 1.67RF t 111.56 P t + 12.09 D1 t + 14.44 D2 t + 14.57 D3 t ) M t = P t + 1.47Y t 0.08RL t + 1.67RF t 111.56 P t 12.09 D1 t 14.44 D2 t 14.57 D3 t + 1 14.83 e t χ 2 (H N1 ) (H N2 ) (H N3 ) (H N4 ) 1994 11 (H N5 ) 2001 9 (H N6 ) 15 5% 56

1994 11 2001 9 ( ) ( 16) 16 2 P 2 Y 20 1994 11 1997 1999 2001 2004 2005 2002 2005 NEER ( 21) NEER 57

15: χ 2 P H N1 : (β 31 = β 11 ) 7.20 0.007 H N2 : (β 41 = 0) 6.09 0.014 H N3 : (β 51 = 0) 14.88 0.000 H N4 : (υ 21 = 0) 8.29 0.004 H N5 : (υ 61 = υ 71 ) 8.29 0.004 H N6 : (υ 71 = υ 81 ) 7.42 0.006 16: 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 ] 2006 2008 2007 1 6 ( 22) 23 2006 2008 58

Multi Cointegration 2 1 0 1 2 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 20: Exchange Rate(Jan 1991=100) 60 80 100 120 US CH 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 21: IMF (2012) 59

Lending Rate (%) 6 7 8 9 10 11 12 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 22: IMF (2012) Import Price Index 80 100 120 140 1991 1993 1995 1997 1999 2001 2003 2005 2007 23: IMF (2012) 60

3.4 I(2) 2000 2000 FDI 24 FDI 2000 ( 16) ( 14) 20 2000 NEER NEER 61

Foreign Direct Investment (Billion Dollar) 20 40 60 80 1991 1993 1995 1997 1999 2001 2003 2005 2007 24: FDI (10 ) : Web URL: http://www.stats.gov.cn/tjsj/ndsj/2011/indexch.htm NEER NEER 2000 2006 2008 2007 6 62

63

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

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

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 http://www.econ.ku.dk/okohn/ Ox 66

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

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 = 1 0 0 1 0 0 0 1 0...... 0 0 1 68

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=1 19 69

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

Burdekin and Siklos (2008) Sun et al. (2012) (2009) 20 1990 2000 2004 2002 2004 2001 9 4 20 IMF (2012) Web 71

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

: ( 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

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 < 1 4.2 : MN π tar 74

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

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

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 0 1 0.5 22 23 σ 3 I(2) 2.88 10 4 : 1995 1997 2000 2004 22 θ 1 θ 2 φ φ = 0.1 φ = 0.9 23 s t ζ 3 77

1995 1997 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 24 2000 2004 2000 2004 2001 9 2002 2002 2005 2000 2000 2004 a t ȳ t = a t γδ 1 δ q t a t = ρ a a t 1 + ε a t ε a t 2001 9 24 0 < ρ c < 1 78

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 2002 2004 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 = 0.95 25 0.95 17 17: α 1 0.800 σ 1 0.330 θ 1 0.100 α 2-1.500 σ 2 0.086 θ 2 0.900 β 1 0.890 σ 3 0.026 φ 0.500 β 2 0.300 ρ c 0.300 ζ 1 1.470 γ 0.333 ρ a 0.950 ζ 2 1.670 γ f 0.333 ρ s 0.950 ζ 3 0.080 δ 0.330 ρ y f 0.300 ζ 4 1.116 25 AR 0.968 1 79

4.4 : 1995 1997 33 1993 1997 25 32 (Foreign Direct Investment: FDI) 1995 1997 : 2000 2004 80

Consumption Growth 8 9 10 11 12 1993 1994 1995 1996 1997 25: (1993-1997) real GDP Growth 10 11 12 13 14 1993 1994 1995 1996 1997 26: (1993-1997) 81

Nominal Exhange Rate 70 80 90 100 110 1993 1994 1995 1996 1997 1998 27: (1993-1997) Real Exchange Rate 90 100 110 120 1993 1994 1995 1996 1997 1998 28: (1993-1997) 82

Import Growth 0 10 20 30 40 50 60 1993 1994 1995 1996 1997 29: (1993-1997) Export Growth 0 20 40 60 80 100 1993 1994 1995 1996 1997 30: (1993-1997) 83

CPI Inflation Rate 0 5 10 15 20 25 1993 1994 1995 1996 1997 1998 31: (1993-1997) Foerign Direct Investment 300 350 400 450 1993 1994 1995 1996 1997 32: FDI (1993-1997) 84

33: 34 ( 34) 2000 2004 2000 2002 ( 43) 2000 85

( 38) 2003 2004 ( 37) 2001 ( 41 42) : 2002 35 35 2002 2004 ( 38 43) ( 42 41) 2004 : 2001 9 86

36 2001 9 ( 38) ( 41 42) 2001 2002 ( 43) ( 36) ( 37) 2000 1995 1997 2000 26 26 ρ a 0.95 87

( 34) 2004 34: ( 45 48) 27 27 σ 3 = 0 88

35: 36: 89

Consumption Growth 5 6 7 8 9 1999 2000 2001 2002 2003 2004 2005 37: (1999-2005) real GDP Growth 8 9 10 11 1999 2000 2001 2002 2003 2004 2005 38: (1999-2005) 90

Nominal Exhange Rate 85 90 95 100 1999 2000 2001 2002 2003 2004 2005 39: (1999-2005) Real Exchange Rate 85 90 95 100 1999 2000 2001 2002 2003 2004 2005 40: (1999-2005) 91

Import Growth 10 15 20 25 30 35 40 1999 2000 2001 2002 2003 2004 2005 41: (1999-2005) Export Growth 5 10 15 20 25 30 35 1999 2000 2001 2002 2003 2004 2005 42: (1999-2005) 92

CPI Inflation Rate 2 0 2 4 1999 2000 2001 2002 2003 2004 2005 43: (1999-2005) Foerign Direct Investment 400 450 500 550 600 1999 2000 2001 2002 2003 2004 2005 44: FDI (1999-2005) 93

45: (σ 3 = 0) 46: (σ 3 = 0) 94

47: (σ 3 = 0) 48: (σ 3 = 0) 95

4.5 2000 2004 96

97

: (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

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

(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

(World Trade Organization: WTO) WTO WTO 2001 101

2002 3 2002 3 102

1995 1997 2000 2004 2002 2004 2001 9 4 2000 103

104

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(2009) (2011) (2007) NTT (2011) (2008) : ( J) 38 1 39-57 (2002) 2002 5 1-41 (2003) 5 (2005) 1-50 (1990) 90-1990 - ( )- - URL: http://d-arch.ide.go.jp/browse/html/1990/104/1990104tpc.html (2007) 108

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: 18: (URL) ( ) 2 3 4 IMF (2012) GDP( ) 4 Web http://www.stats.gov.cn/tjsj/ndsj/ 2011/indexch.htm ( ) 1 IMF (2012) ( ) 1 IMF (2012) ( ) 1 ( ) 1 ( ) 1 FDI ( ) 1 2 3 4 ( ) 3 IMF (2012) GDP( ) 3 CEIC http://www.ceicdata.com/ja/ countries/china ( ) 3 4 IMF (2012) 3 IMF (2012) ( ) 4 Web http://www.stats.gov.cn/tjsj/ndsj/ 2011/indexch.htm ( ) 4 IMF (2012) ( ) 4 Web http://www.stats.gov.cn/tjsj/ndsj/ 2011/indexch.htm ( ) 4 Web http://www.stats.gov.cn/tjsj/ndsj/ 2011/indexch.htm 110