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IV C1

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3/23/2013

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: G17, G20, G21, G28


: ,

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I.

.
.

.
. -
. ,
,
. , ,
.
,
.
.
:
- -
.
:

-
-
- .

:
,
ARMA .
(1) , (2) , (3) - , (4)
, (5) - , (6)
- , (7) - (8)
.
:
-
- 2005 2011 .
, -
8 1. : ,
( , ),
, 1 ,
- 2005 - , ,
.

.
.

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.

.
- -
.

. - - . 2008
-
2
. -
.
.

.
.
- . ,
- - 11 5
, 6 11 .
-
.
-
, 2010 9

.

.

:
(Blejer) (1979), (Leiderman) (1981)
. (Mc Candless), (Weber)
(1995) (Gross section data) ,

1 , , 92 ,
, , .

0.95
.
(Fosu), (Huq) (1988)

.
. 1979
(EMS)-
, , .

.
(Geary), (Hery), (Pratshke) (1970)

- (input output model)- .

.
.
.
. (Romert Barro)
(1995) 100 1960-1990
, , 10
0.2-0.3
.
M.S.Khan A.S.Senhadji (2001)
140 1960-1998
1-3 , 11-12
.
.
. (2005)

. ,
,
.
(output gap),
, , , ,

. M2-
, , ,

(output gap)
.
. (2004) 2004-2005

,
-ARMA, 3
. , ARMA
, 2005 12%, 7%, 4.3%
.

.
. ?
1999, 2001 5, 7%-
.
1%-
0.89 %- ,
.
. (2001)
,
. (Ordinary Least Squares) . 12
- ,
.
. (2002) ,

-
.
Johansen
.
.-, .
ARIMA, VAR
, ,
,

,
.
.- (2005) ,
10%- 4.45%-
.


.
.-, ., . (Tomasz Lyziak)
2008 .

10 . : ,
, IS , LM , ,
,
, .
,
.
, .

.
. (Ph.D) 2008
, 1
, , , , -
,
. :

1 20.6%

29.3%

93 18.3%

7.2%

- 3.4%-, 11.4%-,
.

- 28
72 .
.
. 2004
1990- 2002

.
.
,

.

. ,
.
.
SIMOM
, .

10

III.

2005 2005-2011 73
.
t

2005:12

100.00

26

2008:01

121.13

50

2010:01

153.22

2006:01

100.48

27

2008:02

125.62

51

2010:02

160.02

2006:02

102.25

28

2008:03

128.35

52

2010:03

162.26

2006:03

101.02

29

2008:04

136.92

53

2010:04

167.17

2006:04

104.12

30

2008:05

144.44

54

2010:05

173.40

2006:05

103.96

31

2008:06

147.96

55

2010:06

174.38

2006:06

105.89

32

2008:07

148.92

56

2010:07

166.70

2006:07

104.99

33

2008:08

154.36

57

2010:08

169.95

2006:08

104.62

34

2008:09

153.35

58

2010:09

166.80

10

2006:09

103.72

35

2008:10

150.78

59

2010:10

165.87

11

2006:10

104.04

36

2008:11

147.32

60

2010:11

166.65

12

2006:11

103.79

37

2008:12

147.30

61

2010:12

171.52

13

2006:12

104.77

38

2009:01

146.64

62

2011:01

176.03

14

2007:01

103.66

39

2009:02

147.23

63

2011:02

177.43

15

2007:02

106.51

40

2009:03

150.51

64

2011:03

174.24

16

2007:03

106.39

41

2009:04

154.24

65

2011:04

174.18

17

2007:04

108.30

42

2009:05

155.14

66

2011:05

178.21

18

2007:05

108.86

43

2009:06

154.87

67

2011:06

183.94

19

2007:06

111.73

44

2009:07

153.13

68

2011:07

185.67

20

2007:07

111.79

45

2009:08

152.98

69

2011:08

186.73

21

2007:08

115.46

46

2009:09

150.31

70

2011:09

186.68

22

2007:09

116.37

47

2009:10

149.09

71

2011:10

186.75

23

2007:10

118.52

48

2009:11

148.97

72

2011:11

187.11

24

2007:11

118.26

49

2009:12

150.08

73

2011:12

190.48

1 (2005:XII=100)

11

2005
.

250.00
200.00
150.00
100.00
50.00

2006:01:00
2006:03:00
2006:05:00
2006:07:00
2006:09:00
2006:11:00
2007:01:00
2007:03:00
2007:05:00
2007:07:00
2007:09:00
2007:11:00
2008:01:00
2008:03:00
2008:05:00
2008:07:00
2008:09:00
2008:11:00
2009:01:00
2009:03:00
2009:05:00
2009:07:00
2009:09:00
2009:11:00
2010:01:00
2010:03:00
2010:05:00
2010:07:00
2010:09:00
2010:11:00
2011:01:00
2011:03:00
2011:05:00
2011:07:00
2011:09:00
2011:11:00

0.00

2008 . - .
- 12 34 287 .
, 41 , 16.5

, .

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, ,
Y
3%

Y
4%

Y
2%

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3%

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Y
4%

9%

,
41%

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Y
2%
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4%

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,
Y
14%
,
,
12%

12

,
2%

-
.
9 . ,
. 2008
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2005 12 2010 5 .
.

300.0000
08. ,
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250.0000
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03. , ,

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05. ,

150.0000

06. , , Y
100.0000

07.
09. , , ,
Y

50.0000

10. Y
11. , ,
Y
Dec-05
Feb-06
Apr-06
Jun-06
Aug-06
Oct-06
Dec-06
Feb-07
Apr-07
Jun-07
Aug-07
Oct-07
Dec-07
Feb-08
Apr-08
Jun-08
Aug-08
Oct-08
Dec-08
Feb-09
Apr-09
Jun-09
Aug-09
Oct-09
Dec-09
Feb-10
Apr-10
Jun-10
Aug-10
Oct-10
Dec-10
Feb-11
Apr-11
Jun-11
Aug-11
Oct-11
Dec-11

0.0000
12. , Y

3 -

- 3:
-

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-

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.

- - - .

13

IV.


.
.
.

.
:

.

.
.
.

.
. :
1. (Trend)
2. , (Seasonality)
3. (Cycle)
4. (Shock)

. , ,
.
,

.

.

14

.
.

.
. ,
.
AR, MA, ARMA, ARIMA .
.
.
1.

(4.1)

2.

(4.2)

2.1.

.
(4.3)
. :
2.1.1.

4 2
(moving average ).
.
12 2 .
. (t- ) .
.

15

4 .

II

III

IV

II

III

IV

II

10

III

11

IV

12

13

II

14

III

15

IV

16

II

III

IV

2 4

16

II

III

IV

II

III

IV

k

.
.
i= =

(4.4)

.

.
2.1.2.
Xt=yt-St


Xt=TRt+Ct+It

(4.5)

Xt
.
. , .

17

II

III

IV

II

III

IV

II

10

III

11

IV

12

13

II

14

III

15

IV

16

II

III

IV

4 .

2.1.3.

Zt=Xt-TRt=Ct+It (4.6) .
Zt
. 5- ,
13- .
.

(4.7)

.
2.1.4.
Zt- =It

2.2.


(4.8) . .

18

yt=TRt St Ct It

(4.9) .

:
2.2.1.

4 2
.
. 4 2
. (yt/ ) .
.
. .
4- .
4-
4- .
(4.10)

: 4- 12- .
2.2.2.


(4.11)

Xt
.
( )

(4.12)

( ( )) .
2.2.3.


(4.13)

5-
.

19


2.2.4.



(4.14)


.
(4.15)

20

V.


. -
. -

.
- 6 11
7-8 .
.
3 7-8 .
5 11
, 11-5 .
2005-2011 2-3 , 6-7 , 1-2
, 3-6 , 7-8 .
-
1.04
1.03
1.02
1.01
1
0.99
0.98
0.97
0.96
0.95
1

10

11

12

4-

- 2- .
1990- .

21

-
200
180
160
140
120
100
80
60
40
20
0
1 3 5 7 9 111315171921232527293133353739414345474951535557 59616365676971

5 -

2006 6 2008 12
. 2007 6 2009 9
, .

-
8.00
6.00
4.00
2.00

-2.00
-4.00

2006:06:00
2006:08:00
2006:10:00
2006:12:00
2007:02:00
2007:04:00
2007:06:00
2007:08:00
2007:10:00
2007:12:00
2008:02:00
2008:04:00
2008:06:00
2008:08:00
2008:10:00
2008:12:00
2009:02:00
2009:04:00
2009:06:00
2009:08:00
2009:10:00
2009:12:00
2010:02:00
2010:04:00
2010:06:00
2010:08:00
2010:10:00
2010:12:00
2011:02:00
2011:04:00
2011:06:00

0.00

-6.00
-8.00

6 -

.
2008 3 2008 11 ,
2010 01 2010 07 .
.

22

-
12.00
10.00
8.00
6.00
4.00
2.00

-2.00
-4.00

2006:01:00
2006:03:00
2006:05:00
2006:07:00
2006:09:00
2006:11:00
2007:01:00
2007:03:00
2007:05:00
2007:07:00
2007:09:00
2007:11:00
2008:01:00
2008:03:00
2008:05:00
2008:07:00
2008:09:00
2008:11:00
2009:01:00
2009:03:00
2009:05:00
2009:07:00
2009:09:00
2009:11:00
2010:01:00
2010:03:00
2010:05:00
2010:07:00
2010:09:00
2010:11:00
2011:01:00
2011:03:00
2011:05:00
2011:07:00
2011:09:00
2011:11:00

0.00

-6.00
-8.00

7 -


. 2-3 , 7-8
.

- 1
0.99
. 2- .

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

CPI does not Granger Cause M1


OIL does not Granger Cause CPI

118

CPI does not Granger Cause OIL


RATE does not Granger Cause CPI

118

CPI does not Granger Cause RATE


WAGE does not Granger Cause CPI

118

CPI does not Granger Cause WAGE


TB does not Granger Cause CPI

118

CPI does not Granger Cause TB


CHY does not Granger Cause CPI

118

CPI does not Granger Cause CHY


COPPER does not Granger Cause CPI

118

CPI does not Granger Cause COPPER


FOODS does not Granger Cause CPI

118

CPI does not Granger Cause FOODS


RCPI does not Granger Cause CPI

118

CPI does not Granger Cause RCPI


TBUT does not Granger Cause CPI

118

CPI does not Granger Cause TBUT


USD does not Granger Cause CPI

118

CPI does not Granger Cause USD


7

,
- .
-
. ,
- - .
- 90
.

27

1 , , , - ,
. - .
.

.


Pairwise Granger Causality Tests

Pairwise Granger Causality Tests

Date: 03/22/11 Time: 11:28

Date: 03/22/11 Time: 11:28

Sample: 2001M03 2009M12

Sample: 2001M03 2009M12

Lags: 2
Null Hypothesis:

Lags: 2
Null Hypothesis:

Obs

F-Statistic

Prob.

104

0.38762

0.6797

TB does not Granger


Cause CPI

CPI does not Granger Cause WAGE

2.04367

0.135

WAGE does not Granger


Cause CPI
FOODS does not Granger
Cause CPI

Obs

F-Statistic

Prob.

5.59162

0.005

CPI does not Granger Cause TB

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

RATE does not Granger


Cause CPI

CPI does not Granger Cause FOODS

1.51684

0.2245

CPI does not Granger Cause RATE

M1 does not Granger Cause


CPI

104

0.68024

0.0588

1.23611

0.025

0.61618

0.5421

3.96282

0.0221

3.98880

0.0216

CPI does not Granger Cause RCPI

2.04487

0.1348

USD does not Granger


Cause CPI

1.93579

0.1497

CPI does not Granger Cause M1


CNI does not Granger
Cause CPI

104

CPI does not Granger Cause CNI


RCPI does not Granger
Cause CPI

104

104

PRATE does not Granger


Cause CPI
CPI does not Granger
Cause PRATE
OIL does not Granger
Cause CPI
CPI does not Granger
Cause OIL
COPPER does not
Granger Cause CPI
CPI does not Granger
Cause COPPER

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

-
,
.
.
,
. : ,
,
.
.
80.53 19.47
.
.
-
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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

Dependent Variable: CPI


Method: Least Squares
Date: 03/12/11 Time: 22:28
Sample (adjusted): 1996M06 2010M07
Included observations: 170 after adjustments
Variable

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

Mean dependent var

92.17106

Adjusted R-squared

0.999947

S.D. dependent var

33.41404

S.E. of regression

0.244146

Akaike info criterion

0.041146

Sum squared resid

9.894794

Schwarz criterion

0.114930

Log likelihood

0.502570

Hannan-Quinn criter.

0.071087

Durbin-Watson stat

1.874576

36

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