通貨替代與貨幣需求: 台灣的實證研究

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(1),~£. ~. til. ~. ~ ilt ~ I\'U &< ~ ~ ~. 9". PiT. 26 : 4 (1998), 403-440. ~ ~~ ~ w ~ ~~ * :~ _ ~_~ ~~. ~. ]:i {-. , • S,13 /liM*. t~ *~. • ••• •. if. *. j]. i!- 5t fif ~ ~. ~+. •• ~. i~ ~ JY(.~ , VA zt i! ~ 1m ~. ro f#J it '* :7G #. ~. ••• R ~ Joha nsen WJ -* -i;'. ' ~#~M~~ . T' ~ ~k ~ ~ ~. "*" t-t ~ ~ if '!If t; *- WJ :i3 ". ~ VA 31U!~. 1f # '. ~ ~Ht. ~ ffl. 0. JJl.;r- j;%. *. V), M1B ~ M2 fJT. iT ~. • • ~ ~~~ ~ t. ~ .a ;~ ~.~ #. 1!t t-t M 2 11; -'j::. e0 :ij " 11 '1 $! i!-1l(i ;.t '*f li:@ 't •. WJ ~WI_ S* '~~MT~~~n. tt .f\\. ~ M 1B % ;1"(. WJ :# 'fI jE ~ JJi ;if ,. 0. ~ ~~ ~ # ~ . ~ A .~. ~ . ~ ~ AA.A WJ~ .S * ~ . '~A* .;.t ~o. * * ~t. ~ . otT. ~. *- '. -t!:. ~ :fJt ' vA M2 ~~ "tT 60 11' 'If, J{ ¥. ~ ~ ~ e0 tU .:£ -Ii '. it 'lj," .i&. JR ; x. ~ Jl-t VA M2. ~. M2 g. *" 5'1-. ~~. 4- jk. , 19: 44f. PI-j@. ;It. * 1T ~ VA. >tIl If it iYl :it §t. ib ~ e0 e0 1t 'If,- .i&. 1ft # ft.!:iIi l~- >'r I@ til .if. "i l]. M2 ~ f~. 1t M2. 0. I ~~ : ml .~· . * #% · t. ~ *. ~W~M ~~na~*~~~~.~w~±.~~~ ' ~.~~m~W~ A ~*~.~~3 ~~Q .. a~.

(2) ~3l~3t. 404. ~. 1. ~ ~ f1,~. Et-J mUr D. (-t (tt. 1). 26 .4(1 998). , ~-. - M00 tiH~ i1'l ft;t; lID • :E l' ff :tE im .w ti f-t '. ~ IJ ',*, ill tll. ~.M.~~'~.~~$~~~*~ ~ ~* n~~:lL§~ (Fried ma n,. "( , 1f m. 11m ~ ~ il& ~ I¥J f. ~. 11'] lm _ • tE. * iii'] JJr iJT j;..UI!:lIl>J'dR. ~H'H~ f.Yi. •• ~~m·~m-m~aMftm. 1953: M undell, 1963: Johnson, 1972). 0. L:>E:'. ~~grEl9'E. ~:tE~~.~m. '~ - ~~~~~fi#~~.~.' ill .~~*§~~~~ffl .m.* z* maMtt~~~.W ' ~M.~~n.Ma.~~.E.tt~UM. a 'in EI ~ (mone tary targe ts) , ffif Ji r!¥!tJJIlii $ IJj1J JJr ill l' 1fJ 1f!Wi ~ lim 7 ~ ~ ~ =f tl tn ,.®tll~}j, ~MiI&~fiq§± 1i~(t§JltJt¥U ~U~. McKin non, 1982; Che n. IffII& i -OJ t.~ :*: • 6i. ~ :/;!IJg,~~fI¥~. ~ ll!l'w tJ { .W. 1£ 1m 1& • ~. ~A. ~. -. 0. '*. ~\ &' PX ~ M~ ~ ~ ~ ;:I( l'. (M cK innon hypothesis) . Leve ntakis. ;;$: .~ !lll1 ~ ~ 7HlSl. W. *'. :W M1M. *iJ. ~. *. ~ ~~H:1i!i'1fMD~. mJE B~HlH~ ~ jZg ,. W Bri.sim is (1991). I?EJ If( lItf tr R: ~ JE B':J. Itt fi mill ,,~ tlD 7J; ~:F.& '. ( ili 2 ) •. , it l' ffE;gz ~ illHl' D {-~ Itt -. J1f. ~ lIt '. ~ ft;J ~ 5~. R o per, 1981 : Mil s, 1978, 1981 ; C uddington, 1983 : McKinnon. ' 1984) • li1T~illiji.ttErJ. ~. W T.5aur, 1983) McK innon (1982) JE:tf;l !±l '. T ' ~ t-t - WL¥J jlf ~ $. (G irton. (Cben, 1973: Miles , 1978, 1981;. ~. ~~~*¥J:tiJ j;J51gl(:=:~ (G iovannin i W Turtelboom, 1996) ". BI1 jl{ M~ ~ ~ ilf ~ ~ it;. (money-services prod uction appro ach) , ;It lJ ~ Be. JE@j A fii~~:If 'mW ~F j[ ~lli ~ 1¥1K'fi ~, ~ZM ' .W.~&~~m. ~~ JE~D. fi:iJilliWCl1Z ~ ~ ~ .~ ~ 1' fiJ@. •• ffim*L¥J.MMB~~.ft~~~ ffi~ •• ~*. (Miles, 1 78, 19 1) ( ~t 3) • ~=nt 91HIH~HiMrtrf*A{n§~~ FIHI!~' 114*f!J~ ~ ~ )1~ ~ jli M~ A ~ 71'f 00. m1¥J:1C Jt§X 5& ffl i3h lJV( ;L I-~I. - 1~~14' *{2i~t /f flOllffii!tF"IHt:J -0' (-1::ji (Bufman. Khan , 1996). 0. ,. 114 it< f\ ~ tt @j A I¥J IJJ @ ~ ~ It. W. Leiderman, 1992 ; Age nor ~. ~~~Jj I J M!:lL:(fJiiiJUli~ SfZ ~ t~~ ffi~:lL B'J:;$: IitIW 7~ ~)wM ~ >}(. ~J:' :t'tHt?HitR;lUt~~@.~;ftjtfj?BI~~ 1Mf#l1i5(.~a~ J'{M. lil.i?£8'J. ·~~ 1Lj~: Wffi1HmJiI'f.J n;j~JE ftJ (C uddingtoD ,. M iles (1978) j;)(UilAr.Hi;;$:liNJilli~~)1~~imjl{1Y:J. l?!J. ') ' ff~' ~~!§lIl pg)1~. 1983). 0. :eHUtlU~J m:A ' Jj~. CES ~.

(3) ;mit. 405. .~.T~~a~tt~.·.mffl~.XW~M ~ ~~~ ~ ~,w,. 1* ~ "~II illL~. , ID! /f 7~ ffii J!{ H tt fl! ~ t¥.J JiS Jt {!¥i f4'. •• ~tt ,. ~ftm~*. Miles (l9Al) ~ U. ml±! .. •••• K~ m~~ •• ff~~·~n~aM~m~~.a~am·~.~.~. rf m. r;grdJ ~'M~wFtrt6f,~ 1i. l) ~. llJ. B ordo ~ C houdh ri (1982) ;Ig~:tE~m~kil:;~~fo fIJ. $ ~ ~.#~, .~ ~ * ~~ ~ .m~_.·. ffl .~.~~~.~+ ~ ~m~. Miles ( 1990). t£5tt& J::. ?6Z mg 71.'f~ pIT t~w f.IJ-<¥t:I:W~ '.;t"j( ft-J fltfi . Be rgstran d WBUIldt. fNlli Joi nes (1985). JfH~* (t:~~T'. ~ T hom as (1 985). -RIt J:rJ U~:.~~j(l?l. f.t j{'M'*16C-:JIllU. ~n. 11. m. ~1.iy1:E-mWH&. m~Ji'I~Hhl* Z mM!WJffI:\~~B9~~~ IJ::fM-¥.-·. if-.. . :miill JtWd~ i¥J~ ~ ~~~. •• M~~.m~~~m.*k · ~m~*~A&~*~aM~R* · fi~*W ~ ~ ji ~ ~ JJ: ft-J m *~ /f raJ (j{J . f8l J1:t ~ ~ ::f ff -a: )ffi JI{ ~ ft ~ JJl ~ • ffl WJ [fP¥ ~ !l!JJ~ ?~ IlJ j.:J ~ EI:3?~ :&i. :&. Bo rdo. m~ J!€ II ftHl ~. ~ C ho ud hri. *. ~ ~ f.t ;$: ~ jl{ i!W I¥J. fi;;"* . PJT 1,j, f1Q ~E ~. (1982). Bordo. T )';JJilH'} /#1. W M il es (1978 ". ~::fItIl;<:'.~i±tn, Cu d dingto n ~!4 9 ~~iJ!i#~*j'iJT. *.. !illH'~ C uddington ~1t!i~l~*Wt;7f\· l!ill:li:51-ffi1JN.i~!A!~*~itJ:Mi.1'~8J. if( 4). ;$: ~. 1' ~ i>EJ. 91·. :1. W. &~~~~ • • Tl¥J~~.*.~~m·W~*~.M~*ffi~*~@~.R~. *.. illi. .. ~.$~.aM~.~·~nWmB~.R~~~.M.M~.~~tt~m.~. C ho udhri (1 98 2) l¥Jl~lit:a:m~~ 1H~:ii::=1"~(tJ ' Cu ddi ngton (1 983 ). 91. I. (portfolio asset) 1M*(j{Jf}lMIlI*~!lW. C udd ingto n (1983) ~fH'~ tilJ Wgtm -g-.sv: ~m~. !{;. iffl. ~!1J ' MfMf81tt~ ~ M iles ~~liJtu4~~I'0 (* ~~:&mL~~f\~11:@~fffj{J ,. $. 6. 0. •. (ff. * .W4!* FIB! lI;ti1*ffl3tme-5t 1!iJ * . j:.J I\ii fi£. ill. it!! m~rr5J j..j. f lJffl ]f! n1 iii ID:t ~ mP9 9~ :&i ~ n,~ ~ ~ 1< ~ 'l't fit m~. ~rli~~tiii;:n~*~igiHt - rgUg ·. Jtllt, M izen W Pe ntecost. fJT eg H ~ 11 itd~ ~ 1'1 iti ~H'I' . J! j..). .z. fI,,1B''J;lUtHIJ:. (l 9~ 4). mfllltHt ) J 12: fJI ~ ( ~ fIm 5~ ~. (mu tico ll iIlca ri ty) r.,~fm. 0. L cventakis (1')93) j!U~~~q:~)(~!I~'Hm)\fW. (t1J~~,*1Y~ -~iJ: '11Sii:~j1tl1~H~,Z>'~~f'F$' raJ~lQ'!f~ Arango. Daniel. W F ried. ~~. (1983) . R Cu dddingto n (1983) ~ A 3M ~. W N ad iri (1981 ) '. r19 ~ ~ ~ ~ ~ ~. tt ~ ~. m · ffiU/fW~m~~~.*~.mM~~· ~b.~. •• m~:n@·m~~~~~.*~~~1' ~. ·mtia. •• ~~~. ff~ ' ~&~W. ~ ~WM.*~¥~R~~~~~~1'~·N~'~ ~~.~ftmaM~*~~~ · ~.~~a. •• rt~~-~.~. •• ~OO. ( ~5). : ~~.

(4) ~ij!fijJ(fx:. 406. 26 : 4 (1 98). .~~.MM~·K~.*~. ~ ~~~*~~ · ~®.~m~~*~.~.M '*Bj ~W. (Lev ntakis, 1993) 0. m~m (J993) ~m Miles (198 1) ~ C. ~~l51i:!tIJ1i~c*l¥J~tJ~f~H~~~. .. s ~}li~#H9HJH~~jifi m71 :fJT'. W~7t1f!!lt*~~ {-t5iJ!tt. f.!i*. I llffilmi (1993) JjlJ. ~~~~~~*~~~·~m$71~mm~*~~fflM~* (U ~~~$~~Z) ~IJJ !1 ~ ~ 1m. :1<: r'!'J ~ ~.. ~ln~:ttl .4i!1~ ~ fftEilliJl{~~ 1'8 f>i! ff!. !'l IJ ~tEWl.~FtJ.fili* ( l:: ~~T. • lJlfJ{· (1993). . 3iHjlID~ {-t~5!i'!1i (i5"~ . ~~fH;ff\ -EllIlff tE V!~. i¥Ji!i~~ft }}l~· W~~ (1994) ~m R amirez-Rojas (1985) + ~OO1&.V'fIll*dlkJ. .~·tE A ~r~~** ~. * m l'8 .~~.~~.m.l'8~mT · ~~~. EfJ ji'~HlP.Klir~· ~m*7t~WTE~ Z rd!lirnl'ff :t£ m'i~lfHtl'8m~ · !ii:£,t! ~ (1 996) ffl5t~ (divisia) .J'{~. *&: fl* illiJiW~flff~~~ z Fa"l I'8 /f7'G~~ {-\ tt,. ~.~fi~~.*.~~~. 1* D iiH. ~ .~m.~&OO ~ g~ z ~M~*n~~~w·. ~m~i!i.~ ~ ~fftE · .~tJ~.M.*~~~tt~.~'m~ • • *8 ~~. :W 'M' 1ffi ' '( I¥J ~ W9jlj :f mt:if • U L ~ ~~~~ ~~ W~~ ~~Y .· ~mttJ~· Jl{f~7 1987. ~. iF 7. ~ n~ z~· tJ.~.tt:fft. &: fl* :9 ~ ~ 1l ~ I¥.J ff {1:'; ~. 1'8. ( ~_. 6). <>. ~ ~!!!!z B'J IF!i. *'. §5 - :1J OO '. m~~.~~ ~ ~~~*MOO · ~ f&l~ tE r~~:9 1' 1HE 1~ {9tl~IE~ J )'C. zlWi¥JiH4'. ~ Mfi * a'ffiU ® (~) ~I¥J ~ ~M*~.. 15!-Y lit it ~ iID ill ~ 11:'; ~(HfHt:J ~ ;E. ~JiI5~~. ra' ~ 9 J ~ i!f ~ JE rm 1. tl=. (non-stationarity) • ylJ !f,!f .. .. ~ ~ lil1li :m: 00: f~ ff W€. (1994) WJiijl~ ( 1996) :9~' ~~~*~@ iIH~. (stationary) -ti ~. IZ9 ~ ~ m @j m !UJ ~ ~ Eti1 ~ f JE flJ,. ~) l1lHJUt1. m[lP¥ :n ~ ~ fi {is ~t .. (spurious regression) B'Jr",9Jm (Granger W Newbold, 1974) ". ~ 11. Jst ~ I!frr {11.H® W ffl. ' 1J ~f;f Il~nJd!{ ~ 81. ;E. ' ~.~~.~.~~ ~ .~. · ~ ~ ~ * ~~.~§ · ill ~ ~W $. 7~ ~ \' :9 ~ WI f¥ ~ JOJT ~ ~ Z. iii ~t *ti. *' .mFf :§: fl. til ~ jPl~: ~ t1J ~jfjHl ff ft ~ iii. f.~ Dr ~ I~H~ jj::$: ~ !WJ ff ~. .. ~. *.. ~ itt ~ ~ itt ffl\ r~!¥J. ~ ~ til ~G r1 z flij fI'i 110 • If{ i!i ~. ffi~~~r~~~M J M* ·~~ ~DT/f~~m~. ~~ .I¥.J M .·ft *·. m (1993) ~. , ~. Jt. *ft *51 I±H~. (1993)' & ~~m- (1994) ~A*. ll~ :x ~ItJ~ '. ~ j!{ M 1ffi' ' ffJ ~ • {.E!. ~ gt fit ~ I '" i£ ffi] ~ • 1% Xj'f pJT 19'. m:. ••. ®tt @flI5& ffl. * BJ. :9~ 'l\:n=nfE. ~ffla~ •• a~~ ~' ~~~ ~ m~~. ~ ~~~ffl · m ~ ~~ * _~* I'8~ ~ lIi1J. ~ i. U'liG 71 BkJ I!HfIJ .. *. jffi :f13 ~ c::J ~ I±l :9 ~ 'M:f9' BJ ft iI' ltlJ ~. (~ 7). 0.

(5) 407. 5 ~~ •• ~~ aM ~ .~~ tt · ~m. * a ~tt · ~.~. · &~ . ~ ~~. jJ i¥J 11: ~ '1'1: '. *::>z:: i~ 1£ WiI k;H iJ SjZ tti ~ ~ T '. '~~ rnl aJifftF} /J \ ~~1i5I:~il. t~ 1l1illi )5 IJ ::$: m ~ ~. ~ ~ - @) 19 ~ §J. (Cuddington, 1983 ; B ranson. t-t 9~ IiJ ji ~ 5ftJ !1 7~ ;) m ~ 'iiW :sf< i¥J /f Iq). ~.~ ttffi ~~~. * .~tt~ ~ ~ ) ~ i~ fH~ ~H~ "* i¥J ~ 11-. W Henderson,. 1985) .. ( 1}, tiP lil:!i 5-} ~ f:ll! ~. :a z. I1l'I. , *~~ ft m~~ §~~a.ft · U& ~.. Wm WJ rdl ~ iJ tt 9C fJ- (ff Wf ~ ~ IlJ J;). § El3 ~ 1'f y~ Iii t¥:J. 0. PI n: '. 8 J'Hfl!iEl ~ 1996 :i:F 12. i"J jHHi a ;fO ~ [7q 9~. ~ili<e~~~~FJEf@tl ~~~®~5~~*. 1987 ~. . pIT U :$. x ~5t;(T~!E~irH'!IHf! ~fH:E .m. , 'E~~A1'f~~N ' ~U jlrr Johanse n (1 988 ) a~#~ ~ n\fJT. (cointegration analysis). ~ • • *· *::>Z::i¥J.=eM~~.~m~i¥J~ • • • ~1 ~ *-'+)'/'. . :t ~ ~ ~ 1'1' • ill ~ JE . {is gt , W;\lj§ -!;fHt fJT '. 2. 1t<: ~. Branson. W. (M ) ,. 2fi:[ffJ{jf~. (B) •. *W ~ ~fif~l'tJ 9/, ~fjlt~ (B - ) ~[gflJijJ:. Ii.! ), b6 3\'H H~ ~ ~ i¥J fir}. &: ~ BJ ~ jj/ljfiilli:W Z. * ' W2fi: m A. F6~ ~1j ft 'Ii. it". !Btl?] 1m ~. *li.. 0. '. 2fi:m ~~t¥:J ~. El M;i" (W) §f5". 2fi:mJR~:J'911'fi¥J7~IIJt'M. 01 8 ). Q. (M O) • &. Cuddington (1 983 ) ~~.. ~ f.t 91- 11 ~ F -W ~ fHt I¥J t,& 3JU!!: ~ ~ a'J. '. :$. 1l1I~. ' iffi -fi~ WJ &. ~ 00 1l!*~ ~l' ~ ~W:$ a9 f¥ mil 11. .~.~ m aSjZ.m~ ' 3~.B~W. l ·» •• ffi ~.~ ~. ----. ~. ~e~~~ ffi~m. • ~~ti~. He nderson (1985) 8'J ~JE. r : ~ ~ .@jtJ::$:mJ:W~. /. 0. •• * '. ~~~:$~ • • • lli'. 0. ••• M. ' ~ A.~.~* ~ ~.·.m ~ ~~ a'J ~S$ • • ~~. '~j{ ilf$j( ~!1!X~ ;$: ~.'S M ~ B~-~~~ ~. mBit ' pJ *l /J \~ m11i:Ui!i'tf Tft-J. ~~ • • ~m ~ OO ~ ~ ~ ' ~ R~&. ~ M.~M1'f*~~M · *~m~ ·* ~ ~~. . »:9/. ~ fR~ BJ It -f§~~ , B- 5.l U ~;. 1l; L 'I/JB ,. '1jF .. » "p lJ". ~',. + e,e ' 'J "w=rn , (.,jJ L) > 0 , .-If'2,1- < O, ·/,If'3L < O· ,C/l4I.L < 0. ~"iJJ (U' "." /') 2. + e," ej.. w _-. "D[.1/ , I-, ~'.. :. 1. b,. 1fJ,B l. /.B > < 0 , .'f"2. °.,.8 < () , ,If'3. .'f"4 /,B. <0. \.). [y, i, i" + e, e] . 'W = em', "p f- > 0, 1/Jf < O· 1/Jf < 0, 'w i" > 0. (1 ). (2) (3).

(6) 408. ~. 'lP 1 "[ y, I..• , I. 'W = M. ,I,I,-. "J. +. w :!.:'!!J. ~. (il -. *m. + eM. ~I ~ T. = 0. m~ 1. 1= 1 2 3 4. ,.. ~. ' ". 4 ' 5t ~U ~. 5'H~Jf: ~H§tf¥eMl*. 1i ~ M'5! ; m -. - - *mWMff: ~. (4). + B*. + ,,/,. + 1/,8· "1 I-' J. L:it 11 . ~M!~. + ""j ,e . W = ()~ ,. +B. , IJ .}. tJ!t liill)t 26 : 4 (1 99 ). ". 6 - I ~~. -. W b' 5:H3U ~. *. ( _ 7rr ) ; ~ ~ :$ mfiB':} l¥J. ~ fr',: ::$: ~ :g §1. f lJ. '* '. ., , :$: ~ till: ¥J. !nfHIII~~ .,.. ~n r - (- 7r' ) = i • ~ ~ 5'~ Fi?J ftr ~ B~ ~. *) ~ ~ 1H~ fJl ~ I¥J. Rn5'~~:fJ § fil$11JDLfflMIlM~~lttJ~~. ( lEJf.t1i~*~JIfia. jt a~pi: !fJ ~ ~ ff:. 8'J111H'IH} ;. ~mWHo/Jffl~~~~ (1- = i -7r e ) , ~Jtt. #'!ttln*m~~·. Nffl-$ (tEl f:t tr~' ;;$: ~ iHI j!( ~ M! ?&!!K$ ,. ~ ~ ~ , ~ f§ 1t. &*~ I ~~ r · ~~ffif;t~*~.~ , ~ ~*~~~~. ;f'ljr¥ i. ::$: iii '!fj: ~ tEi !:t Yi ~. fl P.f tf:1 (:IJ) ,. !1::$:!fJ. (-i +" ) , & 5H~ll~~ fl3f;t ~ftItI* ("). ¥1Hi!tJ ~ ~ ~ ~ ~:$: iii ffl WI 'jtI) fJ. ~ ~ ~~. liU W~2js:~~EI. I/!. ~1JdJum::g§. -If.~!WJ~. , fiD. 'l( ~ f8t14-i iJlit ~. *. ~ i!! ~ i¥J. "it. + e; ffl1H'H!!JilliJt I¥J ~eJt1$. iO. e Cti. 9) •. *m •• ~~~*mw*~aMi¥JM*~~~~~ ~ * · ~&~.~_I¥J. ~~ - .~ T ' fi~~*~OOW8'Jfflfi~~* m . '~ .~~:$:~M~ ~~ *~'. I§ f1 Jt ~. m*i¥J pj// ~. '* -. =- mil if A"J 1M * flUT. ~. ; ;s 5'H~ fl'i ~ i¥J -f§ tJ v.iHtII! -$ i1i 11[1 , fl iJ lX, ~ It 7f- ~. *.*~ , @tJ~. =- ~ ~n :;>fq~Hlfi ~ rfJ ffl MIE. !:tJH~1igj'l8'J ;.M*Jl U ~/J \. AJirJ. •• ~~ *~ . ~ ; .M* * ~@. ~ ffi~.. m~ * ' fl lJ ~ ~ 1M 'YHflHm J!'I 8~ .~ "* Jiit ~ !@::*: • fEl. ". iiIHss+ ' l!-ff (1) ~ (4) JO' T l;L ]U,*lWt1~~~· PT j;) f~JW (5) ~ (8). );\ :. (5 ).

(7) ••• re~wm~ m : loge em · ) = f30 log (b). + PI log(y) + t12 logei) + p] loge i '. 4(1). + e) + 64(e). * BJ fifT t.fJ. ~ 11 '. * *5!ll 1i '. ii J!t {*~I¥:r0Hffg~ CY I. CY2. > 0,. 0 2. < 0,. ct3. < 0,. &~Hm t:fHHi :JtiHUl1J ~ t~ ~ lim ffl ~H.MI~ ti it 1]' E!, • ;It. i¥J 52. *iti:li. ~. (H. 10). 0. *. ».. EJI$T ii r~ !!fJ. fl lj ~ 1il: 1U§i lID £i ~ f~. (t 4. /H~. 0 3. (5) ~. 0. < 0 , McKinnon rfTWl. EI3 (7) :c.t I¥J r3 f j] (8). ~. =fi ~tfJ fI if ~ ~ iM 31< 8J {r!i tr ~ ~ 7E ,qX (Marquez, L(92) :. log(m) = ¢o + ¢l log(y) + 4>2 log(i). ~ Ij ~~~ * PiT1·1n~ 111?y. (8). (l j+ 8) + ;'j + 5) = 0, j = l ' 2, 3, & 4 ·. ft ~ ,' f ~ %' I¥J flJ ff! !1Hl'Ht 7.js: mj!{ lM 8':7 l'Utf ' I}'J\ ~~ &: fW( ~ ::'1i:if* 'JJ I¥J %t ~ , 0 4 1:ImfL t '. i t ~ jlt ~ 1M. (7). + 52 Iog(i) + 53Iog(i ~ + e) + 54 (€). t:,U~ h ~ J:tBj (* li[I5EUM & 0 '1. (6). = ''io + / 1log( y) + ~t2 1og(i.) + 1] log W + e) + 1'4(e). log( eb*) = 50 + 51 Iog(y). rtr I¥J. #.m.~~R. cPt =. OJ '. + (PJ (i') + ¢4(e). (9). J;H~H;~*:fIJ$srtltl:&. di2 =. jf::$:~IIj 111?y. (}'2 '. cP3 ' {§. q)4 l' ~ f~ ~ 1l: ii ii ji ~ f~ ~ ~ , ffii :m:][ 1ti mi J{ ~ {-t W~ ~ ~ !IIJ BJ ~ #f ~2 * ' ffi~ I.~.~~~.~ ~~ - ~ · ~~ ' 5~S*~~ * ~~ ~ '~ M M. Hi $. *8':7 1'2i. ~ BiJJ. ~- €:-'P ,k fjJ Ji! m1 J:l ~ (~ ~ ~. ~ ~;IE: Cuddington (1983). ,. ~~HE tllH'l% B\] ({7lj ~D '. t D Leventakis (1993). JJB ~ f';, 1994) ,. ~ 1'1& ~ &P!~H~ jPf); 'f§. [VJ ' ~ i® ffl. ~~$~~ ~M~~W ' T ~ ~~ ~ *~1:Iffi B3~ iJt!U':J M2 ji 1St~ 13T 5'PMff~ '. Jl:t '. ~ fI'~ ~. (5),. log(rh ) = 7)(). ( 6). $ Y: f:t M2. (H. ' IYL. (-). t- e) -[ 114(e). + fi; , i = 1,2,3,. ;& 40. iflif.j MIB ~16 ~tmf~ffl (5). J:tilHr. (m2) , 1/1 =. ,. c,t ;. :?t i¥J f~ ~ J3Ui st(z /f :f§ jqJ. m~ ff ; 772 < 0 ~ l2'SJ ~ m '. Tn' ,. ».. (5'). (±). (t-). l¥.J1.tm {~1lt .@ tJ (5') s:ti1HJ~. (5) ~ (5'). ~llJL~~ffi~ M2 8"J 1~H ' ~J. U:. 1 ~ ~J!'Ul I¥J TM~.J(~. 11 ) " l2'SJ Ill'. ~J $(; :IE. 1~ l. + 7)1 Jog(y) + 7)21og(i) . '13 log(i* (+). .L ~,*. fiI!i ~ IS f# '. t!z (5). • ?J I > 0 ~. b =' 1!i E.. ~ t'1 1i: t t ~ ~. IZ9 ~ ;. 1)3. II!. 9Jg Tn'. < 0 ¥!U IZSI tf.;.

(8) il!iJfliiY. 4IO. In '. ' -.&.. b*. m*. -=:1§"1Fli~tf 11:t1~~. ~7t*~~ftII! (134). eJ ~ f:lt J!x:. *-. 5t 11llt,. 7/4 ekJ:f4~~lliJE. '. ~iWUIDJlf.fH~ (0 4). ~~m · ~-~ti~5m~A9~ ' El:J~ T)3. ,. ,.~ ~ ii ji 91H~ I§l;J {jt ~ 8"J \J rt ~. * /33-. Itt ~. *. T)3 ~J1tmJ!~~HWm;u::~m~JPt:>:f$IjJ ~~ · }~1Lt.. feJ ~ ~ 'M JE ~~J -EL ~ 9 ~ mff ~ .. {§. !l;JmWt ]'. th 11. T)3. Yi!. .. {J4. '*. ~. E131r{i-j, (5') ;ctPJTfi!iH I:±J 1¥J7Hf~.I1l!iW¥&!ftI-*m;~ , :Md!~$~. 0. ~ 03. <0. ;$: !iJ ~ ~ Zit m£ r:p • ::$: ~ illi j( fM )iHl lfi'l ~ !¥J tJ M: ~. m~ ~ z ~ ii r:p 15t ff!¥J. f1iJ=tY1J. ;. 20: 4 ( 1998). Ct 3 '. M1B. W ,J]. 7.10 J:.. *. ~ ;;'d 'i/T. W f3J. 03. W. 7J;). ~&~ (1 996) !¥J ~·ti. f;j. (/4. !¥.lOO • . 2& Jt ~. m•• *8~.a~. ~ ~m.~mmff.!¥J ·. if n~Sf1. 3.1. t:J. ~ 1985 ~~):j1HVJflj*1§3 cb( l:; jij:mrmlD~ r flJ *'jgrJIl.f~W1!j. • 1t i'& lf~ 1987. 1f: 7 FJ:* ~llH\1t ~ J ~ I!i '}g i/iU ' 3ltUt ~ ~ rdl ~ ff 5H~ , Ji Ii 'ilil! Jj{ ~ it. L !¥J ~. * 3t. ~ ffl. .~I¥J. 1987 ~ 8 F1:¥: 1996 if: 12. *jiHf ][. i~. /1. t~ lm ~. ~Wf~ · ~ffiJ9j;t*,H'l':J§I¥J~~Tf!$EJJ \ tl *~/JX: f$I:~JE (rank test) ~. *~~~ · ~rm·~.~. :fflillJ(.. fll¥J)=j JU4 Cti 12 ) .. .. lI&*~~.ljJj$1¥J. ••. GDP. ~ GDP ~ FJ. ~ ,*3t~ ~ fflI.~ • • m. ~ ~~~FJ. JU4. cn. 13 ) ·. ~ fi5fITM~ ffl~ ~fHO. T :. l. 1\t lZI a"J 191: ~ ffJ fP{ ~. I*HiS. iii :W 1M f~ K:t (m 1b ~ m2). (!HIE ~ M 2) . ~ #Ht:m 'lo/J ffi1~~. (. ~. B:!=t\l; l!KI !¥J ~ l~nl1lJl ~ ~ §. P l) SjZ~pfTf;}B'J ·. 2. ~1iJB'J.Wffi1~ (y ) -.![!:~ e*!iHMl*&1HJP~~~ i'& trJ~ § m P"J EEfI =B~ SjZ ~ fffi 1~ ~'J. 3 . ft ~ B"J;g §. f lj. 14 ) •. 5.1Jl MI!i ~~ ~HtJJ. *. (i) ~ tJ 3 @l ~ I! t) ~ ~. *. J11j j..j ,. r~ !& ti tli ~. .M :f)] it& -m #:J !¥J r.li ~ ~ ~ f lj. 3. @ FJ. ~ /fft~ ~ 1WJ. * i¥J m11V} .Ii OJ. **. 1-~. y.. WHJHJk m :l$H19ffifj~*~n'{J * 11: * Z. * * ( ~c ). {-t l:!l Z. (~. . ;w.: cp iJ ~Htt ~ X ~ FinWJ ~. •. 1'£ tJJ:.I¥J~~ rF· ml b ' m.2' Y ' i '. ff! I% ~ II}]. . lEf t) C P I. 0. 4.JHI.I B'J:g § tlj * (i- ). * 1* ffHI.H=t. ~~. fi~ t:I:l ~ jt {]I .. 00. i*+ . tlf5E.*l~!M~. ~ . @m~. ~. IZSI Itt ~ 7t fI3 tt ~ 1iIH"* x ~ 19. ~ ~ t.HN IHW.

(9) 411. ~. 13 ~. Ff :~. Ii. t. rm ~ x. IN: ~ j~ ~. ~ Wl1lii 'f1J * SjZ 1fl t& pX. l!$ •. El3M Jjj MIii $\ ~ ilJ& ~ t1i Wl ifllJ~ lit '. tL ,. .1-)~ l!1liJflj *~g-{$fflWltH!i.*~WJ *['r(Jf\l~H1'!1!I (Bo rdo. @ ili. ff X. ~ ~ ~ t'l:!rfffi tlj 1f-SJZ 1jU~ pX TT. ts{-t~~m:. !ZSI. C holldhri , J982) :. ' ffjj J;) ~ ltH~ III ifui ~ (forward prcm ill 111 ) ('I:'. W. (Arango ~ Nadiri, 1981 ; D an iel. ~ ~ 15 ~ I¥.J ~ El3 ~. W. Fried, 1983) · :<$:x.::f~Jl:t~fm. , -15 1m ~ i.% ~ i1f :MdF7¥i :i: fHt ;. ~-15 1m. ' ilt III (tJ ~ Wl fil. *. mw§ - ~m.~~M~ffRa'~~.$~.MIii.~.MM(tJ~M~. · ft )1~ , ~ l~ ~ Ji ~ ~ til. 15) • ~ Itt ' ~ -. 8':1 iff 1#Umam. ' i!U~ ~ 1~ ~ WHHHH!1 ~::f f.¥;ff ft J~,~ 5JZ ffi~ 1ti. m!ill f! 15 ~:fI:l: '. tE ttl f111l'Ut1J SjZ fiR P.X: JL ~ T '. !¥J ~~* (-tl!l!HiWlIli.~.ilJ . (Ramire-R oj as, 1985; Mizen. (tt. t) ~ ~ 1'0/] ~ ~ ~ ~. W Pe ntecost, 1994) ·. ~M~ CM*ff&.Ili. '~ ~~ !¥J ~*.~MMIli.'rm~W~.Bm. ••. ~ ~ ~ ~ , *~m~~ ::f~ 2~a , ~.rr~~.~~El3*~MM~m~Ili*~ ~ mM~. IZSlJlt '. JE'. , ffjj ~ m ~~.~a.~~~. •• f1Ili*~~.~ ••!¥JM. ·. *x. lm~~ Leventakis ( 19 ~3)' Chou d hry (1995 )'. t*JH~Jmi*~lIVJ $3iH\::~fflWJ!ll.!f\~Jj]. ~ ~ 53' ffT. 3.2 . •• (tJ. eli. :&iHt f& (1996). ' ~~fT (5). ]6). W (5'). !¥J~. ~a~~. •. Xi mtti :At ts 7. m~ ~ lJUU!~ i¥J ~~ JE ® t1 'ef ffij ~ pJUIIi1 ® i!m •. M ' ~~~.~M~m~. (tJ '1 11 %. ' 1£ ~ r-r " ill 1Vf ~ .<:.. •• ~~.~~m~Dtt~ · ~W,~~~~~~m~. ~~ 7U ~ lti~~~ ~ ~ (d ata generating process), PJT~)!'iH~~JE~t)T5iU =$i!¥. m~~ ~3fUiIH'J ~. Ie - I. Jtl~H~~~ (1) : ~XI = f1. + M + pX' _ 1 + L. ~; ~Xt -i. + £1. i=1 /,-- 1. ~ fH iW§m:B:. (2) :~Xt= J1. + pX t _ + L 1. E,; ~){t-j. + C(. ;= 1. 1<- 1. ~ fItj.@~~ (3) : ~X~ = pX t -. 1. + L. ~i ~ Xt - '. + Et. i= l. ...t ~ cp ,. ~ ~ ~5H!i ~. ,. It ~ m1 ~ lJi. JE*E .!lIUWi 7!I§~.·fH~J @[m®~. 't. ~ ~ FElj ill ~. om Ho: P = 0 1i. <5 =. . tf ~ ffH.@ ~:rt (J ). 0) ,. i¥J.. ~~~j§~ra~JBWftW.

(10) 412. B'J!ilii;W;WIDl ( ftP Ho:p=O .El. (2). :x:. om. ~11.HJl. Ho : p = 0) ,. I¥JIlIii. 11=0 ) , ijlG ;!I\01d§~!jl!. fE! i@M$:a: (3). ~IJ~ t?i:¥l:~IHj~: 1(1) S1 ~-S-~ * ' ~~5ta ~EtJ ~ · ~. fE! ~;Elm~lItiH~ S~:g- (wh ite noise) i'l'J W~ ' -'§'9i~ ff tEi3 tHIUIl ' ftrJ)jt} I~. Fuller (1976) ffi Dickey ~14- Fulle r (1979). 1~. iU ~.$ffl (nuisance parameter). Dickey. W Fuller (1981) .& Said. ~~ . )( ~ L flJJ~ r ~*EtJJ. 17). 0. ~. i'lj \il,H". EtJ ji.pjf. ~·llHfOE~gi·. ~ JJtLjz~ ':::: ~ ~flH~ ;E iIm~s::·.rm ~ .r:). Dickey (1984) PIT~@'~)!! M k WHlj Jl*",~ ~ !®. (augmented) Dickey-Fuller ~k'. Phillips (1987) ,& Phillips. i¥J wldrr 5tJC:'". W Perron (1988). fiii fllJ ADF. ~IJ :tIl ffl ~ ~ ti. (nonparametric). 1'5 $ ' ~lE)1i~ JJiJ¥ ?JHl3 lJKl m ~FtI;J~~~ (hete roscedasticity) J5!T ~ RX: a<:J~.. :tft. I:fj PP ~ JE. mIT. ~D. If{ k. * Jb1 g 1m. 31 mHt§1 ;@ ,. ~ II PT fig~ N if Jlft-f tE ~. tH131J; ,. Cil. ~JE. 1. ~ P.X ~;E *1t n. mr .. i¥J . llift ~~~~ • • ~ ' mr . ~~ ~ ~. i¥J.JE. w m ; @~ .~ ~ M~~ ~ ~ .,. ~PT n. RX: .~ ft~ a<:J. ~ ·~~ '* ~~ ADF ~;E L ' ~~ ~ ~ *~.. ~ Mm!<'. Mz ffl. Ljung ~~ Box (1978). ft~I3I111 ' ?'~1& 1lJi1Hj~ fN ~5E' ~. i¥J Q. 1 m~ 2. . JE:e~ ~£ 7Jd~m~~ 71 {tB'J*5* <1>3 (Dickey ~ Fuller, 1981). lil,j1U~~lj;\;. m lh. m2. Y i'. ~ .r:)¥ fR i@~A. ' jtr.p F(· ). til 1 :¥ 1iI 12. (1) ~ (3) ~1:H:f ADF. {i; ~.~ i¥J tm fl f~ 5E. 1>2. to. ~:e~~Z 7.l< $ ffHJ~if 7} m i¥J m~1Il. llWlII",;:t (2). ( I). .. TfJ.. 4>,. - 1.19. F(2 ,9G) = 1.72. •. ~!UIIi1~ (3 ). k. L -B. TT. Q' 2. (). 12.62. - 3.24. F(2.07)=4.00. 0 11.08. - 2.63. 4. 3.65. 1 13.79. - 3.25 F(2, 107)=(j.04. I. 13 .22 - 3.J4 ". 2. 5.08. - 0.06. 0. 1) .50 - 4.20 '. 2. 15. 11. -D.SI. 0. (JAY. - 8.32'. D ().52. - tUO". IS.5. - 2.89. 15.5. - 1.94. 15.2D. F(2.I09) =).00. 0. 13.53. -3.24 F(2,101 ) =(J.07. 4. 9.64. 0. 15.27. - 4JJ r. x. 0. () .2K. - 8JJS. IS .s. - 3.45. [\\!Wm:. k L - fJ 7. +x. ff l. 0. *1C ~t :l:. JE {2i IT9iif~ ' ][ ¥H.t ~JJi 1!\li E1. (j.49. f:E. n ~~~).1Hf!9jU~~ '. T. - 2 .00'. 8. 3.36. - l.SO F(2,109)= 136') '. 0. 11.71. 6.50. -1.14 F(2, 102)= 16.31". 4. 8. 67. 5.58 ". : L - J3 {-\';1{ Ljung !Ji! Box (1978) ~ Q (n = 8) ~n. x;, '. k L- B. II;, ~!UEIjiJl}jf 2. 4,71. Q( n). = 1'(7 + 2) L" (T - i) -I.I/,~ ~ .=1. n M~EI!tffilJ,\lf*~ ' T ~.ft * ~". 5% ftJ g~*l\!! ' EI i±fIJU~ 8 ffJ X f:ah 15.5 0 " *., ii: *tE 5% F( . ) ~ W {R · <1>2 &. 1>3 ~~ , ~!(:~ Dickey !Ii:! Fuller (1981) ". g;g:: 7.I<. ifi. T M. ~ .. ~. 2 :. TT' T p '. ~. T. B- ~ IJM:*ffH~jill~~. ~.w-m5t .'illr llJ(EI. Fulle r (1976). (1). ~ J *Xilt (PT - l )/IJp, :tI;: MacKinnon (199 1) ~tJ H i,; :;;t o. '¥. (3) ElIJ ADF. usmJl'Ht!CilHn.

(11) 4/3. ~ 2. l~Hi!'~~ 7t m (f~ ~~ ~Jk* 1( 1) ~5:E~*. • :t!HIHiff ~ (1 ) k: 7. L - JJ. 0. 12.32 9.45 7.06 12.24. 6mJ b 6m2 6y. 3. 6i. 1. + x). 6 (i ' 6:1. TT. 7. 3 3. o - 14.33 ' - 10.29 - 8.32' - >l.80·. ~w {n. 4.5. tt : I. jqj~. I... 3 3 3. .•HR ill! §.It 3t (2) L- B T,l 3.4 1 - 5.70 ' 10.76 -9.598.89 - 14.37 ' 4.98 - 10.17 " 12.24 - 8.31' 14.18 - 8. R4 15.5 - 2. 89. 3 3 3. I. 0.06 0.04. 4. 3. 4.2 4.1. ~. LI. __. ~~~~. __. ~~~~~. 1987.8-1996.12. lIE I. 5.2. 7 (). __ tU~1 Ii!"it (.;) L - JJ T 4.59 - 5.2s" 15.36 - 7.34 6.55 - 11.81 ' 4.98 - 10.21" 12 .24 - 8.41 14.20 - 8.87 ' 15.5 - 1.94. 1·. 4.4. 4. /.;. m 1b B'~]7}c ~m. -::: jPr~\If~w~nll. -0.04. 1987.8 1996.12. m~. III 2 rn lb. ==oJ. I. B"J iUtllUI~. 0 .02 0.01. 5. o. 4.8. -0.0 1. 4.6 4.4 '-. ' W'IIH.f-H VI III 1/ "~~f-¥l-!V-IH. I. --'---'---'--'. -0.02 1987.8-1996.12. 1987.8-19961 2. III 3. 7112. 0.1 5 0.1. 3.7. 0.05. 3.6. o. -0.05. 3.5. -OJ. 3.4. -0.15. 3.3. --;-------==- III. i¥J 7}( ~ U'I J!tI ~ III. 3.8. 4. r-. I. rP~MW~t1PAIUlJLAtilll~ ~I_. _ _. 1J 1tJ * $flm~1i!I. iii 6. 1.2. 0. 3. I. 0.2. 0.8. 0. 1. 0 .6. -===-=-_____ .J 1987.8-1996.12. 1987. 8-1996. 12. ~ 5. '111, 2 HJ ~fHl.:m~ III. Y I¥J ~ 5t f1i ill ~ iii. o L/II.AAIiAI m~1\J1a'lA.'''}lr~ IIAJd. 0 .4 0 .2. -0.1. o. -0.2. IL..-___ _____ _ ---' 1987.8-1 996.12. 1987.8-1996 12. ~ 7. i B37}(~lliJl~1m. 1m 8. i Atj~7tmMl~1ftI.

(12) ti!~iilftJJt 26: 4 (1998 ). 414. 1.2 , - - - - - - - - - -- - - ,. 0.6 ...-- -- - - -- - ----,. 1. 0.4. 0.8. 0.2. 0.6. O H:fW""dftft'Y~/boNlfttVvtttftr11Htf1ftortV'1 -0.2. 0.4 0.2. o. -0.4 -0.6 ' - - - - --. ~~~~~~~~~~. III 9. i·. +X. -. -:---. -----'. 1987.8- 1996.12. 1987.8-1996.12. l¥J*~m.~1il. !II 10. r--------------------.. 6. 4 ~----------------~~. + X i¥J ~ 5:HfHI ~. i". 4. 2. 2. o -2. ~~WVft~~~Mfl~I ,~~t~'~r. -2 -4. ~. L -_ __ __ __ __ _ _ __ __ _ _ _. L -_ _ _ __ _ _ _ _ __ __ _ _ __ _. ~ ~. III 11 EE 3WM:r.'. *. l¥J 7Jd1!!. X. 1 ~ ~ 2 i¥J. T I-' '. '. T. III 12 ~~. ,. x l¥J ~ 7t {Elit; ~ fiI. ht F Ifflr. g- t~nE iiJ Pi ~ m ' m 1b 1§ ~ •. .m. (3) l¥J!illi fWi ®~ ' ilif!\n1H§~IS-¥flHill!N:a: (1) fO (2) l¥J~ ;f!\li 1W~ ' ?~ rm'. EI3 [Ij 1 pJT ~ lJi sj ~ ... m~ ~ 111. TT. ~. 1987.8-1996. 12. 1987.8-1996.12. 83 m2. ~ y. m~ til ' 11:) :p. ~ ftJi IiiJ :Ht ~ Jl1H~ fI(J ill ~H'~ ~ 1$J:]i l¥J rtf. fl'H~. m 1b. l¥J ~ JE ~ *=.& WJ ~ B':J lfi i t ill ~ ( Ill 3 fO iii 5) ' Mi PJ J.:J. 1§ ~ T. ~ :f1Ulm.:a: (2) :& (3). ®~,. P./TJ.:J m2. ~. y. tJj 12 1l"1. 8'] I!fg;f!\li ® m ' {f! ~ ~O! :f!H~ ftl fN5llli ~ J:\ (1) l¥J '- t~. :!$):&Jl1faiHiJ~m~HfjHll",?~~i¥J~F~~ l(l). 1l171J. ( [t. 18 ). u. i $J~JE~!iIHE~,g7 fflm3Wlilt~ (2) B9~~1W~ ' {f!~#H§~~m31Hil:it (1) JSz.. (3) B9ftlmr~~~ PJ rdl~~~1~~lJi l¥J. ' ~~jJ!f:ti ',, *~, f)(fI"ll:t ~yg~J!gEb.m~ tIJ $~fj{'&:J'lf!;¥. 1(1) ti3jU (Johansen W Juselills, 1992). '*~:1t&~11 9 ' e;{:flH~7 ¥m~M:it (1). 0. El3 i ' + .1'. .& (2) i¥Jfill!M,1Nf,ll '. i¥J ~ JE ~. {§~1t::nHIHtl. flH~! M'Et (3) l¥J~mm!lft. '. 1& '. EB x B9 ~ 1tJtl ~ (. 11 ):& ADF tyj JE m ' illHM ~ tt!l1§ ~ {I foJ ID J:t l¥J J'MN ~. f,ll '. ~3!VF. ~1ii*"IiJ *~~JE@ i¥J 1(0). {f!l2Slft m r-JJ!:~JHitt5J. W. Ju se iills, 1992) , Iifft. 19) •. ~~~~:9~rmm~f!u:t~~*~ -~ ~I¥J~~i@*, mi. '~ F :iE~ 1(1). ti3jU,. fj{ 3jlj. 0. B~. .* ~ j)J. rmEl¥ nH~i;ilJmID1ijI¥J:'15. -J!!::iE@IHlj, (Johansen.

(13) 41 5. 3.3. :J:t ~ 3-:5t ~JT Granger (1981) HHl:l , ;s ~f~~ PJE f~~Hftfx~1r~tUll~ rm~~JE ml*5*'. *. •• ~E~ ~ ~3.~~OO~ ~ j1z ..§. *ili rn ~ nC ~ ~ ~ z rJj i¥JtJ[J flSF ~ ,. ffl~~~. ~ OO~ ~ m ~ ~ *M~ ~ ~ ~, m~ ~ ~P JE @. i¥J ~!OJ ~ f- (common factors) ,. !f<t ~ Jtt -. ~. ~ ¥iJ ;iU!i'l. I6J ~ T. §ttl:l A~-3& ti. E ngle W Granger (1987) f lj J~Hf§ ~ jj}: {3 IT ~ ff. 0. (supe rconsistency). Et'J A!WtiSrEJ;!io. ' 13. E ngle ~ G range r B'~rfiN~jj}:{t. ~ B~. ~ ~a ' @ ~m*.JE~~m~~.iSM~ ' ~~~M~~~i¥J~~ffi ~ '~~ . lliB ~ tI:l ~mm.~ ' rm~m = ~i¥J. 1. ..,. j. ;;z. !ZSl~~ ,i~HRBre. ••• JE . ~ ~ m. (limiting distribution) ~1lJI~~Jf(It§ iffi Qt~ ,. DF _JE- o. iffi ..§. -ili ~!\O*~. ~~ ~ r~~~~ joJ 1i~~lli -Et]. fb,Q ' pfT J;! E ngle Jij G ra nger. 1' ~ ilD~ ~~~B9 ~.~iilT~·. !ZSltt , :$:::ZJ»Ult Johan se n (1988) & Johansen W. Juseliu s (1 990). ~. '*. Bj-lUt*lI&{t)1.t '. tl 5t; , 11 -@j)Jt 9[ k Wl i¥J ~. :ilIT~~~Et'J4H~i~dj- tJT. p. *It joJ :il: §. E8 ~~ ~ *5E$ j1z. 0. ~ j® f@. (VAR ). ~~mz ~ ~. + 10 ". = 1, 2 , 000, T. , j1z H~ ZrJ[. i¥: t~ IE (error correction) I¥J ID Jt :. to. Z , =. k- J. I. Ct0. Z t _ i. + rr Zr- , + {I,. \-. 4!DI. t. (10). ;= 1. ~i:f:!. '. Z -H l , " 0 ,. f( ~ ~ )fDA ~~~~. 1:p IL' it. (ce ntered). Zo ~ Ml ~d!'!~~~ JE 1JJMlm ' 7l;&:l]i. n ~ :f§ !q] lU;o J'II¥JF.i'iwr. E8*frJttJ.t1i~m. '. (G aussian) 5j-~ ,. ~1.JD~,~m~. ,. t.: ], ... 0 , cT. YtIj ~ SJZ ~. f.1. ~ ,*, J!llJt. ' D, F.!b. ~ iffi ~~W~.il;jy)5EI¥:J.. TI ,+0 J - TI ,+2 . .- .. 0- TI k' TI = - 1 + TI I + .. 0+ TI k' -i = 1.02 " 000 k - 1 ;s TI 8j 1l{{i~~ 0,. < p ' ~1j t::'EiJ J;j,fJ!lB m,* - 0 = 0(3" J:t cP ex to ,B ~ ~ p X '/' a';; ~ F$ • [!S) ~ p x p 8j TI ~ ~ ~ 91PJLz o~ tx~ F$ IT, 8j E:1!i! 1tX;fl ii ' ~ Jitpff li ~ ltfH§ruJ m.@!, ~ i5J rn TI & ~1±l * ' ?lll: TI 'EiJ M mz~*:)tJH)j~~~ (long-run impact .D. ;Jli;:l • ~JJ I'll.". r ,0=. matrix). Johansen (1 991) f\j,f.fHtl*M {P) $2ijtl:: il¥.ifl~:U::*1E~t 2: !Iifl 8fJF~ 5E (trace. iff. 0. -. 0. test) !AH&*~ 1im ~ JE (maximum eigenvalue test). Crr. 20) , ~lnicJE ?F 5E"EHlff/b'. .~m ~~. z M , ~~~~.oo~m~ rEJ - ·. rnmB~i¥J~~~ B~ $ ' ~ *M* ~~~~w~Rffi!q]~~M~~MB~ ' ~ Jit.* i5J .~~.R:8j~~~. k *. ~ o @ ~ k mR~~*'~~~il.. ;if 9j( 1f OJ ijg ~ iffi ~ fJ1 • N. z '. ;g. k ~ 1~. * , ~. ~ U-OJ ~g #\UiH~ ~ ~ ~ ~ ~. 8 OJ if. 0.

(14) §l~. 41 6. ~llt· ,. I. fI4. :<$:jz: .L:) Lju ng. *:aU], tdJ. Box ( 1978 ). 6 1 9.ij£~ n{7 g. it[J ~~ ~mzme~M~. 'I,. I. x:. 2h : 4 ([ 9'.18 ). f¥J Q K:1t8t '& L A!. :tUE! ruJ~ JE • iilfU!,;:fi A ~ m AlC,. {Ja::if:xHfi~ Joh a nse n. I. ~ Bera (1980). I¥J J -. ~ D - H ~~ • • ~.~ ~. ". ~ ~ J:.Q ~ 1§ Milt t'£. B m:WM- JE Kit~t. ~~~Jim f1'ri * (mlb , y . i, i·+x ,:r ) fO~. j!*~1J[J. Jt FlJ 5H i2. I. ;<$: \T ~iJ. ;& Doornik ~ Ha n 'c n (1994). 1£. ~~w;f* (m2 ,y , i ,i. VAR ~IDrj,. . mlb ;ff]. . L - B (27 ) , L M (1) ,. ;&. + ,cr). m 2 :J,i~. PJT ~ JtZ itro( iiU!f JlIi~; k 7T Jjlj ':§) 5 Wl ~ 4 WI • JIt It¥ . tE 5 % Wi ~ 7}( $. mjfd1']~~~Mt~t. .. A<] ij!~'. ~~. *~ff~~R~~®~g#.~ .. ~;lH~~" ~~ (m isspe cificatio n t s t) ~~.. *. me, :&. PE. W Ju e lius (19(0). lllH! Wl ~ B ~IJ (35 i' 9i L£ r.Q~ ~ 8 ~ if' • 3i ~{, , P) Jarq ue. (L agrange m ult iplie r ) ~JE. as. , i3'. -r . is PPi WJ. Uvl (4 ) . t~J ;/!(lif1dfHrHl~J~1!(~ rf 37ljf a. ~~S.~. · @~ 'D - H ~~~mM:~~MJltm~~.* z ~m~~~g 5t ~~Et!JIii1m~~;. - #!!{R9 J - B. ~mH~JEr-!t. t. . fu ,i17rJlt~~tI. *a~. 'f!I. m~~~~~'~m«§~~.·;&.mcw~~*· 0ffi~7Hm~~~.~h. .®m · .~.$.~*.5t~~~~' ~ ~ ~m*~. ~m~~~~~' ~ ~ l. ~~~:% ' & §jH!Jft 'i ~~~~;~q~l!!ln=tq':E ~~;~U$® (exc ss ko rto ' i ) J!itl!m~ · !1~ ~W ~~f Wlra~::r~~ · fffifY!IWffitrn~~;\';1C*t f!'~. W Ju se liu s,. mt~ (Jo ha nsen. 1 ( 2). ~. mL b "ffJ 7712 jHft.g.M1ffA'j ~i!pJ;r1iHaq~~iIE~HIHi~' {§.~~ G onzalo (1989). ~J tr:!mt7HJT~*' ~~lJI~aij~ iIE1tn~.5t~t1 Johan sen ~~rs5tt1TI¥Jfr'3WillL l'. *. 0. lZSIllt ' j..j, "'f rtf ~ n. i¥J VA R. 177. Ib. W. r112 }!l ~. * a<J #!&. m. ~ -5Hfi. ' IjfHiUfl. k ~ ~ 5 ff1 4. m~ ·. El:r~ ~Jf~m~JE~-E1 t5lilliJEmz7r (d e te r m inistic co mpo ne nt s) , ~~~fi¥iJ ;f!A;~5E~H. '\ (rank te st stat ist ics) rr-'JNiJi j1i5t!C '. ~Jl:t Jo hanse n (1~92a) @:~ii~m. p nt ul a rfjff:~5EJJ;H! 1j (Pa ntula , 1989) , ~ roJ IIi'f~~~f.O!irtf;EJ,-~5t· t'.aJlWJi~:@ ;& Pantula trfl~[ij(~IJ. .. ta~~*5IJ 1£Jjt~ 4, ;tt:cr J..:J, lH*f,;nrt±:\8'J~JJt~;:; r± 95 %. a<Jl~HillilIFsJ"'f ' ml b ~ m2 ;lt:. , .g.IRVr5t 53IJ tJl~ r= l EfHtt~. 3 ':fI r= 2 sj.ftY M. 2 . l)'J\~n rnlb ~m.g.m,*~ VAR ftHt! -§E-][~ t:Em~ (linear trc nd) . m;.a ~ )m ~ ~.ML::r L:f:j ~ 1£ ~ !M A. 1m if- 1! . ffii. m 2 ~ ~ tS- jR!L*. I¥J VAR. ~ ~ J'l IJ ::r :it ~!f l~f I[ ~. ttm~ , iiJl:U~~(11J!fE-jj{f XE px71t±l~t£ ~~ -~~J1*CP · ~-1Jim ' l:8~ m lh. W.

(15) 4 17. ~ 3. ntUI~ffilMlt~. 1Ulttl:. L - 13( 12). 3b5.79(O.06). L - 13(27). 612.3 8(0.35). L 1H(1). VAR ~ ~I¥J~ zr::~~~ ~:€m*. D - H. jf!. 6I.h6(O .OO ) ·. L - 13(ll). L - 13(27 ) 66/l. 45 (O. II ). 20.09(0.74). L lvl(4). L M (I). 24 .74 (OAR). L /'/ (4). 2S.60(O.2S). .0.W + :r ). .0. .". -~@ ----------- -- - -- --4.851 ---- ----Iff< 3.4 8 1 5.2 52 4.496 J6JII. .I\t!t!tHiur t! If< .0.m2.0.y .0. i ~ (i" + .i') .0.., ------ ---- - - - -- - -- ---------&.;.ftf,\\e 3.057 5 .2 16 5.313 4.3n 3.575. 1U.!i$l!. I L77". 3.65. 1UlIf1U!. !il.! II. .0. 711 Ih.0. y. 4. 68. i:,. i. 18.9(j· I LOS-. ~. Bera (1980) ffT1'!H±l~. . U1 1 T. Att1j;:~ ,. m. Ino " 17. 64 ". 0.45. ~ 1 : !JHl!~J):~ 1i!;1!c.l!&",gf9HLIit J - B = [( T - m )/6] · 15k:. H.9!!". + (£112/ 4)J ~ X'( 2). ~8·nl~~1\! § ,. 3.25. , Jtt~ Jarqu e. oo m 5j-lH. Sk. J3.Jt 5% !ii**$fJ'9'~"" f.ll~; ;;:(2) = 5 . C)~ ,. ~~~~~B'J1ji; Doornik W H anse n (1 994) , JlJlt~)EJlI;fJ'9 5% ,I1jlt*i.1Yli1JiffOO~. 1i<t.11U!H/i~iUlrL~f*,~ ' fI!l~'-E ' ~~. 18.3 . & 2: ~~~@ft ffi ~~~.H. L - n ~ LM,~~~M~.~~mM~~.~~~. ~fi~~~ , ~M.~~*1i<t..~~ • • ~~.* ·. *- 4. Pantula. WI rf. ~ :€ *'6. *. ~tl.ili:m p- f. mM. 1. m.ml. 2 !)t~ 3 ~~1W 4. 3 ~~ 4. m~ 5. 1<)4.02' J 03.5 3. 7 1).02". 10()()7-. H)J.5J ~. 68.29. 4. 102.60·. (,3 78·. 47.89·. 00.86'. 56.12 '. 42.0(). 40.37. :1. 51.96'. 32.7 1. 22.09. 34.19. 30.34. I S.fin. 17.33. 2. I 1.('8. IO.IS. 4.49. 16.41. 14.19. 2.()(i. 3.22. 0.60. 3.04. 2.0r,. 4. 78.34'. ()S. 12". 44. 00. 70.33. 3. 27.44. 36. 12. 19 .71. 2. 4.72. 13. 36. 3.7S. 3.64. 0.07. 5. 3.69. 2.36. p- r t~jll 1 m~ 2. m!l'1. 5. 143.20' 11 3.81 " 83.29". 0.7 7 . SM. 112.33 ' 108.4 2 '. 5. ,, - 1. IT 1 : ~ VAR m~~i~ICF;]ix 6 Z,. ;a:. = 2: [, 6Z, _;+ 0..0' Z' _ I+ 0. /' 1+(\'.l. tL~+ oJl l + o._uh l +EI .= 1 f1 = 0. f1. ! + 0...L {l 2 ' Q .L {1;;~ Ct ~ p- r iE~~rtl [ ' t~WJ 1. Wi ' Jtrp 15 = 08 1 +cu ,h ' :IJ! :f'1Il 6=O Jl f.1 = 0 ' ~M 2 fl:f~ 0=0· Il2= 0· .El ltl ;;K'W:[lN\lirJ' m~ 3 ~m J = 0, ..§. IJI ~ f.L2 *~ll!UIJ ' m~ 4 :1lH~ 8, = 0, li 1'1 TIl IJ2 *~mifiJJ ' 1t41'l 5 ~ }~ 0 ~ f.1 is]*~lllUtl · ~OO Joh ansen ~ N ielse n (J993) . 2 :. ]J. Wr. 7t;;] Ht 3!H!~ ~(mJJl1fJ] ;J:I(.w~IcJ;S:ml~· ~rf1.UU"';ttLraJi~~m ,. 5% mi~*~T;i~ ' ®;:WllU~@ Johan sen ~ Nielse n (1993). ".". {-t~1f. 1'!!Jl'!,ui:5Hlc3\{".

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