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时间:2019-08-29
《我国货币政策效应实证分析的VAR模型》由会员上传分享,免费在线阅读,更多相关内容在工程资料-天天文库。
1、我国货币政策效应实证分析的VAR模型为了研究货币供应量和利率的变动对经济波动的长期影响和短期影响及其贡献度,采用我国1995年1季度〜2007年4季度的季度数据,并对变量进行了季节调整。设居民消费价格指数为CPI_90(1990年1季度=1)、居民消费价格指数增长率为CPI、实际GDP的对数ln(GDP/CPl_90)为ln(gdp)、实际Ml的对数ln(Ml/CPI_90)为ln(ml)和实际利率rr(一年期存款利率R-CPI)。利用VAR(p)模型对△In(gdp),Aln(ml)和rr,3个变量Z间的关系进行实证研究,其中实际GDP和实际Ml以对数差分的形式出现在模型中,而实际利率没
2、有取对-数。/、/、q(、(、/、Aln(wtl)z—+0Aln(/??1)i+•••+%△ln(ml)_p+工ln(gd/必丿(△ln(gdp)一])jAln(gdp)”宀/)-、建立VAR模型VARSpecificationBasics
3、「VARType0yxu*«strict«dVARVectorErrorCorrectQaytsiVAREstimationSample-nr—1995ql2007q4EndogenousVariables—=—rrdlog伽_P_")LagIntervalsforBxJogenous:-rExogenous.ariables-确定—1匚财图1:VAR
4、模型建模窗口VectorAutoregressionEstimatesDate04/4仍6Time:00:24Sample(adjusted):1995042007Q4Includedobservations49;iRaradjustmentsStandarderrorsin()&^statisticsin(]RRDLOG(M1_P..DLOG(GDP..RR(-1)1.31898C5(0/15223)[866438]・O002187(000246)[O88739]・0005095(0.00174)[293133]RR(-2)■0.307708(011818)t-3.28066]0.003
5、404(O00191)[1.77874J0.004061(O00135)I3.00927]DLOG(MI.P.SAM))-1.508874C101226)(-0.14906]0177944(016389)[1O8572J-0004251(011558)(6、30]-0495347(O16581)[-2.90745]DLOG(GDP_P_SA(-2»17.54573(132650)[132282]・0.001973(021479)[-O00919]■0.033643(0.15148)(-022240]CO170730(0.67778)I025189)O040567(0.01097)[369660]O039280(0.00774)【507540]R-squared0.8496930.1724930.366395Adj.R-squared0.8282200.0542780.275881Sumsq.resids37.266260.0097690.007、4859S.E.equation0.9419620.0152510.010756F-statistic39.571211.4591464.047901Loglikelihood•62.82156139.2200156.3319AkaikeAIC2.849860-5.396737-6.095178SchwarzSC3.120120-5.126477•5.824918Meandependent1.5740820.0339150.024401S.D.dependent2.2727260.0156830.012640Determinant『e引dcovariance(dotadj.)1.55E-08、8Determinantresidcovariance9.75E-09Loglikelihood243.3311Akaikeinformationcriterion-9.074738Schwarzcriterion-8.263958图2:VAR模型冋归结果/、厂0.17、(1.32-1.51・4.0、/、巧-1Aln(ml),—0.04+-0.0020.178-0.404△ln(7nl)i01n(g妙丿,0.039丿r0
6、30]-0495347(O16581)[-2.90745]DLOG(GDP_P_SA(-2»17.54573(132650)[132282]・0.001973(021479)[-O00919]■0.033643(0.15148)(-022240]CO170730(0.67778)I025189)O040567(0.01097)[369660]O039280(0.00774)【507540]R-squared0.8496930.1724930.366395Adj.R-squared0.8282200.0542780.275881Sumsq.resids37.266260.0097690.00
7、4859S.E.equation0.9419620.0152510.010756F-statistic39.571211.4591464.047901Loglikelihood•62.82156139.2200156.3319AkaikeAIC2.849860-5.396737-6.095178SchwarzSC3.120120-5.126477•5.824918Meandependent1.5740820.0339150.024401S.D.dependent2.2727260.0156830.012640Determinant『e引dcovariance(dotadj.)1.55E-0
8、8Determinantresidcovariance9.75E-09Loglikelihood243.3311Akaikeinformationcriterion-9.074738Schwarzcriterion-8.263958图2:VAR模型冋归结果/、厂0.17、(1.32-1.51・4.0、/、巧-1Aln(ml),—0.04+-0.0020.178-0.404△ln(7nl)i01n(g妙丿,0.039丿r0
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