Professional Documents
Culture Documents
. //
3/23/2013
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I.
................................................................................................................................... 3
II.
......................................................................................................... 6
III.
............................................................................... 11
IV.
, ............................ 14
2.1.
............................................... 15
2.1.1.
............................................................................. 15
2.1.2.
................................................................................................ 17
2.1.3.
...................................................................................... 18
2.1.4.
.................................................................................................... 18
2.2.
........................................ 18
2.2.1.
............................................................................. 19
2.2.2.
................................................................................................ 19
2.2.3.
...................................................................................... 19
2.2.4.
.................................................................................................... 20
....... 21
V.
VI.
................. 24
VII.
............................. 26
7.1.
............................................................................. 26
7.2.
, ............................................... 26
7.3.
................................................................................ 29
7.4.
.................................................................................... 30
VIII.
, .......................................................................................................... 32
........................................................................................................................... 34
-1............................................................................................................................................ 35
-2............................................................................................................................................ 36
1 (2005:XII=100) ..................................................................................................... 11
2 4 ................................................................... 16
3 ............................................................... 17
4 . .................................................... 18
5 - ................................................................................. 25
6 ..................................................................... 26
7 .......................................... 27
8 .................................................................. 28
9 ........................................................................................... 29
10 .......................................................... 30
11 ........................... 31
1 ...................................................................................................................................... 12
2 ...................................................................................................................... 12
3 - ............................................................................................................... 13
4- ....................................................................................................... 21
5 - ....................................................................................................... 22
6 - ................................................................................................................. 22
7 - ............................................................................ 23
8 ............................................................................................. 24
9 - ............................................................................................................ 25
II.
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61
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38
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62
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39
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42
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18
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20
V.
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2005-2011 2-3 , 6-7 , 1-2
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1 3 5 7 9 111315171921232527293133353739414345474951535557 59616365676971
5 -
2006 6 2008 12
. 2007 6 2009 9
, .
-
8.00
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2008 3 2008 11 ,
2010 01 2010 07 .
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2006:05:00
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2007:07:00
2007:09:00
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2009:09:00
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2010:05:00
2010:07:00
2010:09:00
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23
VI.
- ,
.
1- .
.
200
180
160
140
120
100
80
2006
2007
2008
CPI
2009
2010
2011
HPTREND01
1 2006 7
, 2008 8 , 2009 6 , 2010 7 , 2011 7 1
. ARMA(2, 4)
-
1, 4 .
2010 2011 .
24
()
2006:02:00
102.32
2008:01:00
127.49
2009:12:00
158.20
2012:01:00
194.79565
2006:03:00
102.16
2008:02:00
128.76
2010:01:00
159.61
2012:02:00
196.31890
2006:04:00
103.89
2008:03:00
129.09
2010:02:00
161.02
2012:03:00
196.90927
2006:05:00
106.77
2008:04:00
131.31
2010:03:00
161.50
2012:04:00
199.37799
2006:06:00
108.14
2008:05:00
134.83
2010:04:00
163.85
2012:05:00
203.14863
2006:07:00
106.59
2008:06:00
136.40
2010:05:00
167.51
2012:06:00
204.95940
2006:08:00
107.37
2008:07:00
135.19
2010:06:00
169.21
2012:07:00
203.99756
2006:09:00
108.27
2008:08:00
136.50
2010:07:00
168.14
2012:08:00
205.54551
2006:10:00
109.36
2008:09:00
137.81
2010:08:00
169.58
2012:09:00
207.09744
2006:11:00
110.49
2008:10:00
139.13
2010:09:00
171.03
2012:10:00
208.65333
2006:12:00
111.64
2008:11:00
140.45
2010:10:00
172.48
2012:11:00
210.21312
2007:01:00
112.81
2008:12:00
141.78
2010:11:00
173.93
2012:12:00
211.77680
2007:02:00
114.00
2009:01:00
143.12
2010:12:00
175.39
2013:01:00
213.34431
2007:03:00
114.25
2009:02:00
144.46
2011:01:00
176.86
2013:02:00
214.91563
2007:04:00
116.38
2009:03:00
144.88
2011:02:00
178.33
2013:03:00
215.55363
2007:05:00
119.82
2009:04:00
147.17
2011:03:00
178.87
2013:04:00
218.06956
2007:06:00
121.31
2009:05:00
150.76
2011:04:00
181.28
2013:05:00
221.88696
2007:07:00
120.02
2009:06:00
152.40
2011:05:00
185.00
2013:06:00
223.74405
2007:08:00
121.25
2009:07:00
151.26
2011:06:00
186.76
2013:07:00
222.82812
2007:09:00
122.48
2009:08:00
152.64
2011:07:00
185.75
2013:08:00
224.42156
2007:10:00
123.72
2009:09:00
154.02
2011:08:00
187.24
2013:09:00
226.01856
2007:11:00
124.97
2009:10:00
155.41
2011:09:00
188.75
2013:10:00
227.61910
2007:12:00
126.23
2009:11:00
156.81
2011:10:00
190.25
2013:11:00
229.22315
2011:11:00
191.76
2013:12:00
230.83066
2011:12:00
193.28
5 -
.
5 (-9) .
()
240.00000
230.00000
220.00000
210.00000
200.00000
190.00000
180.00000
170.00000
9 -
25
VII.
-
-
. (1)
, (2) ,
, (3) .
7.1.
,
, -
.
. :
( )
(CPI)
0(1)
1 (M1)
0(0)
0(1)
- (GAP)
0(0)
A-92
0(1)
0(1)
0(0)
0(2)
0(1)
0(1)
0(1)
1
,
.
7.2.
,
.
.
26
.
.
Pairwise Granger Causality Tests
Date: 03/22/11 Time: 10:47
Sample: 2001M01 2010M12
Lags: 2
Null Hypothesis:
M1 does not Granger Cause CPI
Obs
F-Statistic
Prob.
118
1.63055
0.1004
7.38550
0.0010
2.95107
0.0563
2.34125
0.1009
0.94110
0.3932
0.55540
0.5754
2.30729
0.1042
6.12609
0.0030
2.15463
0.1207
2.47849
0.0884
0.67953
0.5089
8.59577
0.0003
1.05039
0.3532
1.36002
0.2608
0.36822
0.6928
1.22311
0.2982
5.47806
0.0054
2.67456
0.0733
0.53883
0.5849
0.04225
0.9586
1.21007
0.3020
6.90028
0.0015
118
118
118
118
118
118
118
118
118
118
,
- .
-
. ,
- - .
- 90
.
27
1 , , , - ,
. - .
.
.
Pairwise Granger Causality Tests
Lags: 2
Null Hypothesis:
Lags: 2
Null Hypothesis:
Obs
F-Statistic
Prob.
104
0.38762
0.6797
2.04367
0.135
Obs
F-Statistic
Prob.
5.59162
0.005
5.29408
0.0065
2.63248
0.0769
0.16217
0.8505
0.87964
0.4182
0.33154
0.7186
1.07370
0.3457
4.42036
0.0145
2.45432
0.0911
2.52112
0.0855
104
104
2.66694
0.0745
1.51684
0.2245
104
0.68024
0.0588
1.23611
0.025
0.61618
0.5421
3.96282
0.0221
3.98880
0.0216
2.04487
0.1348
1.93579
0.1497
104
104
104
104
104
104
104
5.65554
0.0047
CPI does not Granger Cause USD
8
, , 1
- .
, , -
.
28
7.3.
t-
89.29088
4.515458
0.0001
2.315815
6.788362
0.0000
CNI(-1)
1.166199
3.898415
0.0004
D(GDP(-1))
-1.10E-05
-1.948956
0.0585
2.3101
2.80546
0.0048
M1
0.000166
5.771374
0.0000
OIL(-1)
0.320001
3.352490
0.0018
TB(-1)
-0.105712
-2.715030
0.0098
USD(-1)
-0.179979
-3.856142
0.0004
WAGE(2)
0.108171
2.218595
0.0324
0.947075
Polrate
0.936218
1.490986
87.23603
-
.
.
. - .
. 2 .
- .
- .
1000 2 . 1
(0.00016)
. - .
.
- .
-
.
.
29
2.8
5.9
16.3
2.1
12.4
18.4
9.2
8.4
10
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.
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80.53 19.47
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30
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0.95
0.9
0.95
0.98
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0.99
0.97
0.77
0.4
0.7
-0.69
0.55
-0.1
0.55
-0.6
-0.2
0.7
0.1
0.27
-0.3
-0.5
-0.5
-0.5
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0.1
0.1
0.31
0.04
0.32
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11
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.
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31
VIII. ,
. 2008
.
, - . -
11 6 3
. 6 11 8
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2011 .
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** 2011
.
.
33
1. (2010), , ,
2. . (2008),
3. ., . (2010),
- ,
4.
5. , -1, 2, 3, 4, 5, 6, 7
6. ., . (2009),
7. . (2005),
8. .- (2006), ,
9. , (2010)
34
-1
-
Dependent Variable: CPI
Method: Least Squares
Date: 03/26/13 Time: 10:50
Sample (adjusted): 2006M02 2011M12
Included observations: 71 after adjustments
Convergence achieved after 38 iterations
MA Backcast: 2005M05 2006M01
Variable
Coefficient
Std. Error
t-Statistic
@TREND
1.982503
0.704482
2.814128
@SEAS(3)
-0.937091
0.498245
-1.880786
@SEAS(5)
2.234870
0.693981
3.220361
@SEAS(6)
2.505766
0.682300
3.672529
AR(1)
1.435168
0.113420
12.65355
AR(2)
-0.440264
0.113156
-3.890769
MA(5)
-0.328262
0.121838
-2.694258
MA(9)
-0.321751
0.136580
-2.355775
R-squared
0.994829
Mean dependent var
Adjusted R-squared
0.994255
S.D. dependent var
S.E. of regression
2.161813
Akaike info criterion
Sum squared resid
294.4263
Schwarz criterion
Log likelihood
-151.2380
Hannan-Quinn criter.
Durbin-Watson stat 1.832902
Inverted AR Roots
.99
.44
Inverted MA Roots
.94
.62-.55i
.62+.55i
.20-.91i
-.47+.71i
-.47-.71i
-.82-.36i
35
Prob.
0.0065
0.0646
0.0020
0.0005
0.0000
0.0002
0.0090
0.0216
143.9313
28.52098
4.485578
4.740528
4.586964
.20+.91i
-.82+.36i
-2
Coefficient
Std. Error
t-Statistic
Prob.
MUCHLOG
0.975285
0.007239
134.7298
0.0000
SHOK
0.992673
0.009289
106.8656
0.0000
ST
1.008741
0.009775
103.1961
0.0000
CPIHP
1.000195
0.000192
5214.330
0.0000
R-squared
0.999948
92.17106
Adjusted R-squared
0.999947
33.41404
S.E. of regression
0.244146
0.041146
9.894794
Schwarz criterion
0.114930
Log likelihood
0.502570
Hannan-Quinn criter.
0.071087
Durbin-Watson stat
1.874576
36