Sudalgaanii Ajil Tovhimol 7.pdf Sudalgaanii Ajil Tovhimol 7 PDF

- 7
2012

!
,
,
,
.
, .

.

, .
, , , ,
, PhD

.
2012
. ,
, SBVAR , , ,
, ,
,
.

.

. .
,

.
,
,
.

1.
2.
3.

4.
5.
6.
7.

8.
9.

10.
11.
12.
13.
14.
................5
, ..............................18
:
(bvar) ....................................................................34
(MCI)- :
/ ? ...........................................................67
...................................................88
.....................................................................................................112

..............................................................................................125
...................................................................................................159
: ,
...................................175
, ...........................................................211
II ......................................................231
.....................................................................251
............................275
Exchange Rate Pass-Through to Inflation in Mongolia .................................................308

: .-1
doojav_ganochir@mongolbank.mn
2009 2

1998 1 2008 12
.

.
. (i) 1
. (ii) ,
1 - 2
. (iii) 1 10 ,
6-7 0.6 , 10
.
1 , .
,
.
-7
I.
2002 2007

2008 23.2
. ,

.

.
(4-8 )-
,
.

, .

,
. ,
, , ,
, , ,
, .

,
.

,
.

,
.
,
,
,
. , ,
.

1 ,

. . (2005) 1998-2004
1
1 10 5
.- (2008)
( , ,
)- , , , ,
.
,
.
6
.-

,
.
.
3 ,
. 4
.
II.
,
David Hume 1752 Of Money .

1963 ,
.
(Lucas
(1980), (1990), Barro (1993), Rolnick Weber (1997))-
.
-
.
,
. - LeoBonato (2007)-
.
(PPP) (UIP)-
IS-LM .
, ,

.
. PPP UIP

.

. PPP UIP

.
.
:
( )
- , (
);
(M1 )- 1;
1 2 2
. 1
. 1 .
-7
( );
;
;
.
()

, .

. 4-8
.

.
[1]
Johansen- .

.

.
III.
1998 1 2008 12
. ( ), (
),
(
) ( )-
. ( ),
( ) ( )-
. -
- .
-
Census X11 .
.

1- . ,
I(1) ( 1-
).
Johansen (1988)- .

.

.
- SC
8
.-
HQ 2- ( 2- ).
Johansen-
, 1 , , ,

Max-Eigen Trace ( 3-
).
( t ).
- :
- :
, , ,

.
1%-
1 %- , 1%-
1%
4- .
- 1
1- ,
-1 . -
1 1 -1
( 4- ).
(
t ).
- :
- :
- 1
- 2 . ,
1 10 10
10 5
. 5 0.3
, 10
9
-7
3.1 .
0.31
10 3.1
.
(
)-
1 . ,
1 10 10
.
5 0.25 ,
10
, 4.0 .
10 , ,
3.5 .
-
10
.

-
( t ).
- :
- :
dpt - ;
dmt 1 ;
drt ;
dst ;
EC (error correction term);
seas .

( 5- ).

. , 1
1 10 6-7
, 0.5-0.6
. 10 3
10
.-
, 3.7-4.1
. 10
, 0.3-0.5
.
IV. ,
,
1
. , 1 1
, 1
. 1 - 0.5
, 1
. 1
, .
-
.
, 1 6-7
3 ,
.

.
1
. , 1
(print money)-
1 150 6-7
, 8.25
(4-8 ) ,
150 .

.
2008 1 2 650-800
2

.

,
.

,
.
11
-7

Bullard, J.B. (1999), Testing long-run monetary neutrality propositions: Lessons from
the recent research, Federal Reserve Bank of St. Louis Review, 81 (6), 57.77.
Gerald P.Dwyer JR and R.W. Hafer (1999), Are Money Growth and Inflation Still
Related, Federal Reserve Bank of Atlanta, Economic Review, Second quarter of 1999.
Leo Bonato (2007), Money and Inflation in the Islamic Republic of Iran, IMF,
Working Paper, WP/07/119.
Johansen, S. (1988), Statistical Analysis of Cointegration Vectors, Journal of Economic
Dynamics and Control, 12 (2/3), pp.231-254.
Toshitaka Sekine (2001), Modeling and Forecasting Inflation in Japan, IMF, Working
Paper, WP/01/82.
L.Davaajargal (2005), Relationship between Money Growth and Inflation, Bank of
Mongolia, Working Paper, Series # 11.
D.Gan-Ochir (2008), Testing Long-Run Neutrality of Money in the Mongolia,
(unpublished working paper; Bank of Mongolia).
12
.-
13
14
-7
.-
15
16
-7
.-
17
,

: .
1.
,

.
, , , ,

.

.

.

.

.

,
.
2004
. 2009
3- ,
2 , 2011
. -

, ,
.

-
,
.
,

,
.
4 .

.
19
-7
.
.
,
, .
2.
(1967),
(1976),
(King 1997) .

.
. 1990

(forward looking) .
, .
Mahadeva Sterne (2000)
94 .

.
Kokoszczynski Lyziak (2009) 211
. 71%

. 81% ,

/ 2.1-2.2/.
2.2- 81%- , -

.
, -
.
1 , , , , , , , , ,
, , , , , , , , , , ,
20
2.1

2.2

: Kokoszczynski Lyziak (2009)

? 60
. 25% , 15%
/ 2.3/.
2.3
?
2.4
?
2009 1-
2 , , .
2011 1-
, . ,
2
.
21
-7
3.
3.1. 1
(inflation perception and expectation)
.

.

. ,
12
: 12 :
(1) , (2) , (3) , (4) , (5) , (6)
; 12 :
(1) , (2) , (3)
, (4) , (5) , (6)
.

.
Anderson (1952 )
.
(
).

:
(1)
,
-
, -
.
-
.
- 12
,
- 12 ,
- 12

.
- 12
.
Anderson (1952)-

:
(2)
1 Balance statistics
22
,
- 12
.
(Del Giovane), (Sabbatini) 2004

.
.

.

(3)

(3) .

3, 2, 1, 0 -1
. :
(4)

,

. ,
,
.
3.2.
Theil (1952) Carlson Parkin (1975),
Taylor (1988), Seitz (1988) .
,
.

.
.
2 . ,

. ,

.
.
Carlson Parkin (1975)
23
-7
,

. 12
,
, , , ,
. ,
.
12
. ,
(-t;+t) .

, (_0-s;_0+s) .

(Berk, 1997; Lyziak 2003).

.

.
Carlson Parkon (1975)
. :
(5)
(6)
(7)
(8)
(9)
(10)-
(5)-(8)- .

(10)

-
-
.
- .
( )
( ) . (5)-(9)-
:
24
(11)
(12)
(13)
(14)
:

(11)-

.
3.3.
Forsells Kenny (2002)
.

Carlson, Parkin (1975) .
Carlson, Parkin (1975) 12 ( )

(-, +) . ,

12 (
)-
. , 12

.
.
Carlson, Parkin (1975)

.
(15)

(16)
(17)
-
. (18)-
(15)-(17)- .
(18)
25
-7

( ),
(
) .
(
) ( )
(15)-(18)- :
(19)
(20)
:
(19)- ,
-
(scaling factor) . Forsells, Kenny (2002)

(backward unbiasedness)
.

( )-
,
.
:
(21)
(19)- (21)-
:
(22)

- .
(23)
:
(24)

:
(25)

26
. , 12

.

. ,
.
3.4.
Anderson (1952) Pesaran (1984, 1987)
.
( )
.

.

.

.

. Anderson (1952)
.
(26)
- t-

- .

,
.
(27)
(28)

.

(29)
Anderson-
.

Pesaran (1984, 1987) .

27
-7
. Smith McAleer
(1995)

.
1:
Anderson
(1952)
Pesara (1984,

1987)
:
Smith,
McAleer
(1995)
Smith,
McAleer
(1995)-
28
8
.

.
4.
4.1.
2011 2- 12
1
. 3.1- (3)
.
4.1-
. 2010 7- 12

2011 1-
12
. 2010
7-
2.4 2010 1-5
8-23%-
.
4.1

4.2

4.2- .
2011 1 6- 2
12
.
1- 2 ,
1 Balance statistic
29
-7
.
2010 7
12
. 2010 6,
7 ,

.
4.2.
Forsells, Kenny (2002)
(19)- / 4.3/.

2011 9-
6.9%- 5%- .
4.3
4.4

2008 12-
, (
)-
. 4.4-
.

.
-
. 2011 9-
12 7.1% 5.2%-
.
,
.
30
4.3.
2011 9 6 ,

4.5-6- . 2011 9
12.3%- 6-
5.6%- . 2011 9
7.1%-
2.1%- .
4.5

4.6

2011 6-
9
. 9- ,

.
6-
50%-
.
4.4.

.
8
Anderson-
.
31
-7
5.

,
.

.
8
Anderson-
.

. 2011 3-
7.1%- . 2011
3- 2-
.
2011 2-
.
,
.
.

,
.
- ,
.
32

Anderson, O. Jr. (1952), The business test of the IFO-Institute for economic research,
Munich, and its theoretical model, Revue delInstitut International de Statistique, No.
20, pp. 1-17.
Batchelor R. A., Orr A. B. (1988), Inflation expectations revisited, Economica, New
Series, No. 55(219), pp. 317-331.
Berk J. M. (1999), Measuring inflation expectations: a survey data approach, Applied
Economics, No. 31(11), pp. 1467-1480.
Carlson J. A. (1975), Are price expectations normally distributed?, Journal of American
Statistical Association, No. 70(352), pp. 749-754.
Carlson J. A., Parkin M. (1975), Inflation expectations, Economica, No. 42, pp. 123-138.
Cunningham A. (1997), Quantifying survey data, Quarterly Bulletin: August 1997, Bank
of England, pp. 292-300.
ECB (2002), Recent developments in consumers inflation perceptions, Monthly Bulletin,
July, pp. 18-19, European Central Bank.
Forsells M., Kenny G. (2004), Survey expectations, rationality and the dynamics of euro
area inflation, Journal of Business Cycle Measurement and Analysis, No. 1(1), pp. 1342.
Kokoszczyski R., yziak T. (2009), The use of different measures of inflation expectations in
monetary policy making. CCBSNBP survey results, paper presented during the CCBS Chief
Economists Workshop on New challenges in assessing and managing inflation expectations, 1920 May 2009, available on request.
yziak T. (2003), Consumer inflation expectations in Poland, ECB Working Paper, No. 287,
European Central Bank.
yziak T. (2005), Inflation targeting and consumer inflation expectations in Poland. A success
story?, Journal of Business Cycle Measurement and Analysis, No. 2(2), pp. 185-212.
yziak T., Stanisawska E. (2006), Consumer inflation expectations. Survey questions and
quantification methods the case of Poland, NBP Paper, No. 26, National Bank of Poland.
yziak T. (2010), Measuring consumer inflation expectations in Europe and examining their
forward-lookingness, IFC Bulletin No. 33 (IFCs contribution to the 57th ISI Session, Durban,
2009), Irving Fisher Committee ion Central Bank Statistics, Bank for International Settlements, pp.
155-201.
33

:

(BVAR)
.
davaadalai@mongolbank.mn
.-1
avralt_od@mongolbank.mn
.
bumchimeg@mongolbank.mn
2011 11
, .
, .
, , .
- ,
.- .
:
(BVAR)
., .-, .
1.

, ,
.

,
, .
,

(SVAR)-
SVAR ,
, .

4-12 .
( SIMOM, SVAR)
( SARIMA) 2.
,
,
.
VAR3 (BVAR)

. BVAR

.
BVAR BVAR (SBVAR)
, -BVAR (DSGE-BVAR)
.

.
. 1990- BVAR
.
BVAR ,
Cushman Zha (1997), Sims
Zha (1998), Zha (1999), Waggoner Zha (1998) .
VAR (prior information) Litterman- 1980 Littermans prior Minnesota
prior .
2 , .- . (2008),
D.Batnyam, D.Gan-Ochir, L.Tomasz (2008) .-, .,
.- (2009)- .
3 (VAR)
, 1980 . VAR Christopher Sims 2011
.
35
-7
10
, VAR
(BVAR) .-1 2011 .
,
VAR/SVAR Littermanprior- BVAR/SBVAR
. AS-AD
2,
7 .
VAR BVAR -
(MAPE ) 1.5 . SBVAR
SVAR
.

. ,

, .
,
SVAR

. 2- VAR
. 3- BVAR ,
4- BVAR- ,
, -
.
.
2. ,
VAR (BVAR)

3 , . 1950
. 1960, 1970-
. 1970- ,
,
. (Mincer & Zarnowitz (1969), Makridakis & Hibon
(1979), Fair (1979), Fonteneau (1982), Bodkin, Klein & Marwah (1990)).
Lucas (1970), Kydland & Prescott (1977), Sims (1980)
. ,

. 1970-
.
1 2011 1 , .-
(SBVAR)
VAR .
36
:
(BVAR)
., .-, .

, - , VAR
. 1980

(Blesser (1985), McNees (1986), Makridakis (1986), Wallis (1989), Aoki
(1990)). 2

.
3 .

. 1980- Sims
, ,
VAR .
Wold (1938), Box & Jenkins (1980) Tiao & Box (1981)
. VAR Sims (1972 1980)

.
,
, .
VAR
. VAR

.
,
,
.
VAR

.
. VAR
Litterman (1980)
. VAR
-
. Litterman
(Prior information) .

(
).
Prior .
2 (
) prior
.
37
-7
, VAR
.
prior
BVAR . Leamer
(1978)- 2
prior . Prior
prior
prior
.
prior
.
Litterman
(1986)- Minnesota prior- .
VAR 2

(
)- . VAR
, VAR

VAR (SVAR),
VAR (SBVAR) 1.

SVAR/SBVAR

.
, ,
,
.

.
.
.
1 .- (2011) Mo
.
38
:
(BVAR)
., .-, .

,
. ,

, . SVAR
, 1- .
SVAR
.
Minnesota prior- BVAR 2
VAR- Litterman (1986) Minnesota prior- .
g- . VAR
,
.
1- [1]3 g- (
)
( )- (
)
. Litterman (1986) prior
.
[6]

- prior ,
. -
.
g- [2]-
.
[2]
X [2]
.
2 .- (2011)-

.
3 1- .
39
-7
[3]-
likelihood .
[7] .
[5] posterior
.
,
:
, 2
. posterior .
[8]
:
[9.1]
[9.2]
[9.1] [9.2] posterior .

.
,
40
- posterior .
:
(BVAR)
., .-, .
posterior

- .
.
prior posterior
. .
prior ,
-
p
(AR(p)) .

-
.
- prior (
)
( (diffuse) prior- )
- posterior
- -
.
Minnesota prior- BVAR
(VAR- , Minnesota prior -)- . Litterman (1986)
3
prior - .
(i) , (ii)

. (iii)

.
random walk1 .

.
1
;
;
g j g
prior .
Litterman (1986) prior (Minnesota prior )-
-
- . ,
g
prior Letterman (1986)
random walk :
1
. VAR
.
41
-7
[9]
[1] (B)-
prior 1- , prior
random walk prior
:
[10]
g prior ( )-
prior (
)-
.
[11]
j=1,,n
g j l
prior ,
,
g j
,
g j

,
(overall tightness) g
g
(random walk ).
random walk
, [1] 1- .

,
(
) prior (lag decay ) (
).

-
1.
(relative tightness) g g
g j prior- . , g-
-
(
)-
.

-
.
Minnesota prior -
(tight-
1 1- prior
.
42
:
(BVAR)
ness),
., .-, .
.0 (decay), (
,
)- . ,
)-
(weight) ((
[12]

.

-
prior
.
-
.
VAR(p)
BVAR 4 (
, w) - .

. BVAR
-
.
3. ,

.
,
.
.
SVAR
.

(Copper_l),

(FISEXP_SA_L),
2
(M2_sa_l),
-
- (RATE_AD),
(, ,
CPICORE_SA_L).

. 2000
43
-7
1 2011 46
. ( )-

1 (Sims 1980,
Sims, Stock Watson 1990).
SVAR
,
.

.
VAR

Cholesky
.
4. ,
VAR( ) BVAR

-
. SVAR -
(MAPE)-
( 1). MAPE
2 1 3, 4
. 2000 1 2011 2
46
-
2002 3
. 2002 3 2 2009 3
28
(MAPE)-
. MAPE h (1-8 )
.
1 .- .
2 2001 3
2002 3
2002 3 .
44
:
(BVAR)
., .-, .
,
-

- t
. MATLAB 7.11.0 (R2010b) VAR, SVAR, BVAR BVAR
,
LeSage (1999)- , 2010 Applied econometrics
in Matlab (source code)3 - .
BVAR - MAPE
Minnesota prior-
- .
4
. 1-4
( )-
2 4-,
MAPE- 100 800
( 2 4
400, 400
800 ) .

- ( 2).
- 8 MAPE
(
)- .

2 (
)-

,
- 0.1 MAPE- . ,
- 2 BVAR(
), BVAR(
) .
BVAR(
) BVAR(
) - (
)
2- .
2-, 1
2- (
)- 2, 3-
. MAPE
VAR BVAR(2,
0.1, 1, 1) BVAR(2, 0.1, 2, 1) .
3 http://www.spatial-econometrics.com
4 1 2 .
45
-7
1. SVAR
(MAPE)
2.
1 BVAR (MAPE)
46
:
(BVAR)
., .-, .
3.
2 BVAR MAPE
- MAPE
(
) BVAR(1,0.1,1,0.1), BVAR(2,0.1,1,1),
BVAR(3,1,1,1), BVAR(4,0.8,1,1)
( 4). 1-
w=1 .
- MAPE
(
) BVAR(1,0.1,2,0.1), BVAR(2,0.1,2,1),
BVAR(3,0.1,2,1), BVAR(4,1,2,1) .
1- w 1 .
4.
1 2 BVAR
(MAPE)
47
-7
BVAR(2,0.1,1,1)
(MAPE) .
BVAR(2, 0.1, 2, 1)
(
) 4
.
BVAR 2
. 5-
BVAR
. ,
1 2-
BVAR(2, 0.1, 1, 1), BVAR(2, 0.1, 2, 1), BVAR(3, 0.1, 1, 1), BVAR(3,
0.1, 2, 1) VAR
BVAR .
BVAR(2, 0.1, 1, 1), BVAR(2, 0.1, 2, 1)
.
BVAR(2, 0.1, 1, 0.5)
VAR
. BVAR(3, 0.1, 2, 1), BVAR(3, 0.1, 1, 1)
2 VAR
3 .
5. - 1 2
BVAR VAR (MAPE)

2002 3 2009 3
MAPE- BVAR
- BVAR(2, 0.1,
1, 1) .
.
. ,
BVAR(2, 0.1, 1, 1) -
, , 2 (
), , random walk
48
:
(BVAR)
., .-, .
(
) ,
, ,

(g j g
) . VAR
BVAR
.

. ,
BVAR(2, 0.1, 1. 1)
,
,
. BVAR ,

VAR
.
5. ,
,
. ,
,

.

, .

.

, , .
,
(random walk)-
.

. ,
,
( )-
.
,
. 1980-

VAR
, .
,
SVAR
49
-7
. VAR

,
.
VAR
BVAR 2002 -
. BVAR
(MAPE)
.
- 800
Minnesota prior- - BVAR(
)=(2, 0.1, 1, 1)
(MAPE) VAR(2)1 .
1- -
.
.
, -
.
BVAR

(OLS) SVAR
. BVAR
SVAR
.
,
BVAR/SBVAR
, ,
2.
VAR BVAR

.

.
-
( 1-
MAPE 19%, 4- 54%, 8- 90%)
. -

. -

,
, .
1 4 VAR 1-4
VAR(2) .
2 .- .
50
:
(BVAR)
., .-, .

(unanticipated) .

.- (2011)
(SBVAR)
Anderson, Paul A. 1979. Help for the Regional Economic Forecaster: Vector Autoregression. Federal Reserve Bank of Minneapolis Quarterly Review.
Crone, Theodore M. and McLaughlin, Michael P. 1999. A Bayesian VAR Forecasting
Model for the Philadelphia Metropolitan Area. Federal Reserve Bank of Philadelphia
Working Paper No.99-7.
Doan, Thomas, A. 1990. RATS Users Manual. VAR Econometrics, Suite 612, 1800
Sherman Ave., Evanston, IL 60201.
Eberts, Randall W. 1990. Can State Employment Declines Foretell National Business
Cycles?. Federal Reserve Bank of Cleveland Economic Commentary.
Gruben, William C. and Hayes, Donald W. 1991. Forecasting the Louisiana Economy. Federal Reserve Bank of Dallas Economic Review.
Gruben, William C. and Long, William T. 1988. Forecasting the Texas Economy: Applications and Evaluations of a Systematic Multivariate Time Series Model. Federal
Reserve Bank of Dallas Economic Review.
Hamilton, James D. 1994. Time Series Analysis. Princeton University Press, Princeton, New Jersey.
Kinal, Terrence and Ratner, Jonathan. 1986. A VAR Forecasting Model of a Regional
Economy: Its Construction and Comparative Accuracy. International Regional Science Review, vol. 10, no.2, p 113-126.
Litterman, Robert B. 1980. A Bayesian Procedure for Forecasting with Vector Autoregressions. Federal Reserve Bank of Minneapolis.
Litterman, Robert B. 1984a. Forecasting and Policy Analysis with Bayesian Vector
Autoregression Models. Federal Reserve Bank of Minneapolis Quarterly Review.
Litterman, Robert B. 1984b. Specifying Vector Autoregressions for Macroeconomic
Forecasting. Federal Reserve Bank of Minneapolis Staff Report 92.
Otrok, Christopher and Whiteman, Charles. 1998. Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa. International Economic Review,
vol.39, no.4, p997-1014.
Weller, Barry R. 1990. Predicting Small Region Sectoral Responses to Changes in
Aggregate Economic Activity: A Time Series Approach. Journal of Forecasting, vol.9,
p273-281.
West, Carol T. 2003. The Status of Evaluating Accuracy of Regional Forecasts. The
Review of Regional Studies, vol.33, no.1, p 85-103.
51
-7
1. SVAR ,
VAR .

(1)
,

.

. ,
.

.
(1) 2
.
-
(2)
.
] (3)

,
(4)
2
,
(5)

,
. (1)

. , 10 7
VAR (5) .
(
) .
52
:
(BVAR)
., .-, .

(Litterman (1998)). [1]

. [1]

(
)- 1.
VAR
Litterman (1980) .

.

.
. ,
,
.
posterior
. ,

2.
[1]
.

(6)
.
(
) , ( ) .
(6) .
(
likelihood )-
.
,
(7)
prior

e posterior
.
1 Sims (1980)- .
2 Litterman (1980)- .
53
-7
(8)

(
.

(9)
posterior
- (
)-
Gibbs sampling . Minnesota prior- prior
posterior ,
.
prior
posterior
.
.
: 1

-
.
(numerical integration)-
.

.
posterior (
-
.
posterior
-
-
- ,
-
-
- .
.

-
-
-
-
1 .- (2011)-

.
54
:
(BVAR)

-
.
., .-, .

(
) posterior
.
posterior (, )
. ,
- posterior
.
2.
1 2 - MAPE.
55
56
-7
:
(BVAR)
., .-, .
57
58
-7
:
(BVAR)
., .-, .
3. SVAR(3) FIML
The model is just identified
Convergence achieved after 32 iterations
a=
10000
0.2346 1 0 0 0
-0.1606 -0.0004 1 0 0
0.0181 -0.0266 0.0001 1 0
1.5819 -2.1734 11.8156 -23.7291 1
b=
0.0914 0 0 0 0
0 0.0999 0 0 0
0 0 0.0337 0 0
0 0 0 0.0124 0
0 0 0 0 1.7411
a_se =
00000
0.0254 0 0 0 0
0.0088 0.0078 0 0 0
0.0035 0.0029 0.0086 0 0
0.4963 0.4146 1.2031 3.2589 0
b_se =
0.0015 0 0 0 0
59
0
0
0
0
-7
0.0016 0 0 0
0 0.0006 0 0
0 0 0.0002 0
0 0 0 0.0286
4. SBVAR(3,1,1,1) FIML
The model is just identified
Convergence achieved after 32 iterations
a=
10000
0.2539 1 0 0 0
-0.1591 -0.0024 1 0 0
0.0175 -0.0266 -0.0002 1 0
1.3212 -1.9963 11.9378 -24.0774 1
b=
0.0934 0 0 0 0
0 0.1015 0 0 0
0 0 0.0338 0 0
0 0 0 0.0125 0
0 0 0 0 1.7593
a_se =
00000
0.0253 0 0 0 0
0.0086 0.0077 0 0 0
0.0035 0.0029 0.0086 0 0
0.4928 0.4122 1.2110 3.2702 0
b_se =
0.0015 0 0 0 0
0 0.0017 0 0 0
0 0 0.0006 0 0
0 0 0 0.0002 0
0 0 0 0 0.0289
5. SVAR(3)
***** Vector Autoregressive Model *****
Dependent Variable = cpicore_sa_l
R-squared = 0.9973
Rbar-squared = 0.9957
sige = 0.0002
Q-statistic = 0.4922
Nobs, Nvars = 44, 17
******************************************************************
Variable Coefficient t-statistic t-probability
copper_l lag1 0.017477 0.860469 0.397107
copper_l lag2 0.011617 0.482420 0.633396
60
:
(BVAR)
., .-, .
copper_l lag3 -0.022995 -1.223626 0.231665

fis_sa_l lag1 0.012030 0.597308 0.555279
fis_sa_l lag2 0.040841 2.143074 0.041275
fis_sa_l lag3 -0.006595 -0.314883 0.755271
m2_sa_l lag1 -0.073641 -1.085596 0.287256
m2_sa_l lag2 0.145760 1.545887 0.133774
m2_sa_l lag3 -0.030444 -0.413237 0.682697
cpicore_sa_l lag1 0.744655 4.092415 0.000346
cpicore_sa_l lag2 -0.065790 -0.360649 0.721168
cpicore_sa_l lag3 0.132847 1.026622 0.313709
rate_ad lag1 0.001758 1.370770 0.181735
rate_ad lag2 -0.000359 -0.285447 0.777480
rate_ad lag3 0.000505 0.397165 0.694368
trend_l -0.036034 -1.555386 0.131499
constant 0.152495 0.477289 0.636998
****** Granger Causality Tests *******
Variable F-value Probability
copper_l 1.074296 0.376524
fis_sa_l 1.773873 0.175905
m2_sa_l 1.070158 0.378211
cpicore_sa_l 50.737615 0.000000
rate_ad 0.658754 0.584562
Macroeconomic indicators MAPE percentage forecast errors
based on 9 12-step-ahead forecasts
Horizon copper_l fis_sa_l m2_sa_l cpicore_sa_l rate_ad
1-Quarter 2.03 4.23 0.44 0.33 36.37
2-Quarter 2.98 6.19 1.05 0.66 66.52
3-Quarter 4.14 8.60 1.54 1.10 94.25
4-Quarter 6.01 11.83 2.20 1.58 114.72
5-Quarter 9.50 14.21 3.07 2.09 121.23
6-Quarter 13.34 15.32 3.98 2.49 124.97
7-Quarter 15.67 16.84 4.92 2.57 143.15
8-Quarter 17.47 18.51 5.85 2.63 161.69
6. SBVAR(3, 0.1, 1, 0.5)
***** Bayesian Vector Autoregressive Model *****
***** Minnesota type Prior *****
PRIOR hyperparameters
tightness = 0.10
decay = 1.00
Symmetric weights based on 0.50
R-squared = 0.9953
sige = 0.0003
61
-7

******************************************************************
copper_l lag1 0.002738 0.622914 0.536631
copper_l lag2 0.000585 0.247749 0.805508
copper_l lag3 0.000021 0.013204 0.989526
fis_sa_l lag1 0.002934 0.587143 0.560178
fis_sa_l lag2 0.001331 0.506767 0.614907
fis_sa_l lag3 0.000341 0.192748 0.848064
m2_sa_l lag1 0.023982 1.798981 0.079043
m2_sa_l lag2 0.008214 0.978804 0.333152
m2_sa_l lag3 0.003149 0.545296 0.588368
cpicore_sa_l lag1 0.966463 19.184340 0.000000
cpicore_sa_l lag2 -0.025340 -0.636505 0.527821
cpicore_sa_l lag3 -0.001203 -0.043806 0.965262
rate_ad lag1 0.000268 0.858601 0.395322
rate_ad lag2 0.000023 0.138101 0.890805
rate_ad lag3 -0.000002 -0.016707 0.986747
trend_l -0.026734 -2.360931 0.022832
constant -0.164954 -1.520449 0.135718
1-Quarter 1.78 2.54 0.31 0.46 19.08
2-Quarter 3.99 3.57 0.64 0.78 32.04
3-Quarter 4.86 4.46 0.95 1.15 43.43
4-Quarter 6.01 5.51 1.27 1.42 45.25
5-Quarter 7.18 7.78 1.50 1.65 54.34
6-Quarter 8.15 9.59 1.69 1.85 62.18
7-Quarter 8.74 9.53 1.74 2.06 67.03
8-Quarter 9.97 10.27 1.60 2.33 64.27
7. SBVAR(3, 0.1, 1, 1)
tightness = 0.10
decay = 1.00
R-squared = 0.9959
sige = 0.0002
******************************************************************
62
:
(BVAR)
., .-, .
copper_l lag1 0.004463 0.614196 0.542322

copper_l lag2 0.000500 0.117853 0.906733
copper_l lag3 -0.000737 -0.254137 0.800601
fis_sa_l lag1 0.004574 0.558075 0.579688
fis_sa_l lag2 0.003606 0.760761 0.450952
fis_sa_l lag3 0.000711 0.219108 0.827603
m2_sa_l lag1 0.028495 1.377657 0.175437
m2_sa_l lag2 0.014370 0.953027 0.345903
m2_sa_l lag3 0.004367 0.417250 0.678571
cpicore_sa_l lag1 0.927606 18.225003 0.000000
cpicore_sa_l lag2 -0.024508 -0.655469 0.515657
cpicore_sa_l lag3 -0.001346 -0.052070 0.958714
rate_ad lag1 0.000770 1.531739 0.132912
rate_ad lag2 0.000066 0.223576 0.824146
rate_ad lag3 0.000009 0.042651 0.966177
trend_l -0.034716 -2.819130 0.007252
constant -0.160761 -1.213623 0.231516
1-Quarter 1.80 2.37 0.32 0.44 18.31
2-Quarter 4.04 3.23 0.66 0.77 31.89
3-Quarter 4.61 4.02 0.98 1.12 45.59
4-Quarter 5.31 5.39 1.34 1.35 47.48
5-Quarter 6.34 6.76 1.66 1.51 57.82
6-Quarter 7.09 8.50 1.90 1.69 66.04
7-Quarter 8.17 8.89 2.01 1.85 71.86
8-Quarter 9.80 9.69 2.00 1.99 69.98
8. SBVAR(3, 0.1, 1, 1)

***** Gibbs sampling estimates *****
tightness = 0.10
decay = 1.00
Equation 1
R-squared = 0.9431
sige = 0.0036
ndraws,nomit = 1250, 250
time in secs = 0.3440
r-value = 50
*******************************************************************
63
-7
Equation 4
R-squared = 0.9953
sige = 0.0030
r-value = 50
*******************************************************************
variable 1 lag1 0.011296 0.025004 0.980165
variable 1 lag2 -0.005684 -0.023231 0.981571
variable 1 lag3 -0.001741 -0.010065 0.992015
variable 2 lag1 0.006087 0.011715 0.990706
variable 2 lag2 0.013186 0.043740 0.965309
variable 2 lag3 -0.004178 -0.019895 0.984217
variable 3 lag1 -0.002990 -0.002200 0.998255
variable 3 lag2 0.029565 0.031438 0.975062
variable 3 lag3 -0.000500 -0.000739 0.999414
variable 4 lag1 0.859621 0.260573 0.795638
variable 4 lag2 -0.014831 -0.006058 0.995194
variable 4 lag3 0.047586 0.028416 0.977459
variable 5 lag1 0.000224 0.007191 0.994295
variable 5 lag2 0.000367 0.019443 0.984575
variable 5 lag3 0.000180 0.013794 0.989056
dvariable 1 -0.020763 -0.025816 0.979521
constant 0.113057 0.013151 0.989567
9. SBVAR(3, 0.1, 2, 1)
tightness = 0.10
decay = 2.00
R-squared = 0.9957
sige = 0.0003
******************************************************************
copper_l lag1 0.005314 0.733604 0.467172
copper_l lag2 0.000239 0.105354 0.916585
copper_l lag3 -0.000054 -0.053082 0.957913
fis_sa_l lag1 0.005703 0.687881 0.495222
fis_sa_l lag2 0.001020 0.405360 0.687223
64
:
(BVAR)
., .-, .
fis_sa_l lag3 0.000099 0.087929 0.930342

m2_sa_l lag1 0.037820 2.052121 0.046278
m2_sa_l lag2 0.004609 0.558024 0.579722
m2_sa_l lag3 0.000717 0.190807 0.849575
cpicore_sa_l lag1 0.923991 22.538499 0.000000
cpicore_sa_l lag2 -0.007460 -0.357392 0.722546
cpicore_sa_l lag3 -0.000429 -0.045037 0.964286
rate_ad lag1 0.000845 1.665856 0.103012
rate_ad lag2 0.000021 0.134726 0.893457
rate_ad lag3 0.000001 0.017895 0.985805
trend_l -0.033292 -2.754439 0.008583
constant -0.177176 -1.417275 0.163608
1-Quarter 1.78 2.49 0.32 0.45 19.04
2-Quarter 4.00 3.33 0.65 0.78 32.60
3-Quarter 4.56 3.86 0.99 1.12 45.73
4-Quarter 5.26 5.32 1.34 1.36 46.34
5-Quarter 6.26 6.59 1.64 1.53 55.65
6-Quarter 7.02 8.25 1.88 1.73 63.97
7-Quarter 8.11 8.86 1.97 1.86 69.99
8-Quarter 9.74 9.26 1.95 2.01 67.77
10. SBVAR(3, 0.1, 2, 1)

***** Gibbs sampling estimates *****
tightness = 0.10
decay = 2.00
Equation 4
R-squared = 0.9953
sige = 0.0026
r-value = 50
*******************************************************************
variable 1 lag1 -0.001079 -0.002357 0.998130
variable 1 lag2 0.003004 0.022151 0.982427
65
variable 1 lag3 -0.000868 -0.014629 0.988395

variable 2 lag1 0.018572 0.036694 0.970895
variable 2 lag2 0.002797 0.017378 0.986213
variable 2 lag3 -0.001210 -0.017073 0.986455
variable 3 lag1 0.093035 0.078125 0.938083
variable 3 lag2 -0.006819 -0.013522 0.989273
variable 3 lag3 -0.002444 -0.010412 0.991740
variable 4 lag1 0.856954 0.341880 0.734069
variable 4 lag2 0.005388 0.004197 0.996671
variable 4 lag3 -0.013053 -0.021908 0.982621
variable 5 lag1 0.001807 0.054012 0.957170
variable 5 lag2 0.000360 0.037453 0.970293
variable 5 lag3 -0.000076 -0.017211 0.986346
dvariable 1 -0.067764 -0.088186 0.930129
constant -0.363556 -0.046907 0.962800
66
-7

(MCI)- :
/
?
: .- 1
2009 8

( )
(MCI)- .
. (i) 2006 3 2008 2
,
- . (ii) 2001Q1-2005Q4
, 2006Q1-2008Q2 ,
2008Q3-2008Q4 . (iii)
,

2009 2
.

, .
, .
-7
I.
(MCI)1-
.
,

.

,
. , ,

, .
, ,
,
.
.
,
.

( /)
.

.

,

.

( )- MCI . ,
.
IS
.

.
MCI (
)-
.
2.
1 ?, ?
.
2
.
68
(MCI)-
: / ?
.-
,
.
.

.

.

(
)-
.

,
,

MCI- .
MCI , ,
.
. 2-
, . 3-
, ,
(MCI)-
. 4-
, , .
II. ,
(MCI)
(
,

)- .

,
. ,

.
1990- MCI-
, .
MCI-
69
-7

. MCI
.

.

. 1 MCI-
.

MCI- .
MCI .
MCI ( )-
.
( ,
, ). MCI

.
MCI-
( )- .

.
.
MCI
, .
.

[1]
: - (- );
- ;
- ;
.
-
. MCI .

[2]
,
.

0 t . [2]
MCI- MCI (narrow MCI) .
1 , , - .
70
(MCI)-
: / ?
.-
MCI
. , MCI- 2
.
I-
MCI-
. MCI- I
(broad MCI) . Bernanke Gertler (1995)

.

.
. (2007) SIMOM
(2008)-
. MCI-
. I-
.

[1]
, -
. MCI
.

[2]
,
.
,
0 t
. MCI ()
() . [2]- MCI-
t 0 -
.
III. ,
3.1 ,
,

.
2002 1 2009 2
. - . , ,

71
-7
. 1
1- .
-
Census X12-ARIMA -
H-P .
.
ADF
5%-
( 1- ).
Newey-West -
.
3.2 ,
MCI-
. MCI-
- .
-
SIMOM .

MCI- . MCI-
SVAR
SIMOM .
-

.
2.
MCI- 2- [1] [1]
.

1- . ,
3- .

.
ave
ave
: lrqave
wtfc lrt fc + 1 wtfc lrt dc , -
4 , lr=
t
,t = lrt
,
- ,
- ,
- ,
.
2 IS :
IS :
,

,
, - ,
-
.
72
(MCI)-
: / ?
.-
,
. MCI-
.
1- ,
(- )- ,
- ,
.

,
. , 1
- 2 1.0-1.5
, 1
2 - 1.12-1.22
10 2 - 2.9
.
1.
A) MCI- :
s.e (0.02)
(0.30)
(0.46)
(0.75)
(0.01)
(0.05)
(0.10)
: 2002Q2-2009Q2
D-W=1.71
SSE=0.031
B) MCI- :
s.e (0.017)
(0.38)
(0.40)
(0.15)
(0.63)
(0.04)
(0.14)
: 2002Q2-2009Q2,
D-W=1.6
SSE=0.03
: . Newey-West
.
1- ,
,
.
, ,
,
.
,

.

73
-7
.
, 2008
4 2009 2
. 2009
.
( )-

- 1. 1- B-
- 1- .
1. -
:
2007
2 2008 3 ,
, ,
- .
2009 2 -
1-
, -
, - ,
( 1). 2009 1

2009 2
.
2008 ,
, ,
1 - .
74
(MCI)-
: / ?
.-
,

.
3.3 (MCI),
3.2
MCI- .
[3]

[4]
- ,
-
, - .

t 0 1
(- )-
1.3 5.3
. I-
,

. MCI ( (t=0)- 2007
1 )-
2- .
2. MCI
:
75
-7

2002- 2005
.
.
2- 2
. , 2004 3
2005 2 MCI
I . 2008 3
2 ,
,
( 2). 8
,
2- .
2.
MCI-
2002-2004
-2.0
()
-3.9
0.4
1.4
2004-2006
2.6
()
0.4
1.5
0.8
2006-2008
-6.2
()
-9.0
2.0
0.9
2008Q22009Q2
1.8
()
10.0
-9.1
0.9

2000-2001

2004

2007-2008
-

:
MCI- 2006 3 2008 2

76
(MCI)-
: / ?
.-
MCI 2007-2008 .

1 ,
,
100 ,
, ,

,
.
2008 2

,
,

( 2).
,

2009 1

( 3).

CI-
3- .
3. MCI
:
1 ,
, - .

.
77
-7
2009 2
, ,

,
( 3).
,
.
?
.
4- .
4- 2001 2005 4
.
,
(I )
. 2006 1 2008 2
.
,
2008 2 2008
4 .
4.
:
,
2009 2
,

,
.
78
(MCI)-
: / ?
.-
, ,
,

.
1,
- , ,
, ,

.

,

.
2,

.

,
.
, .

(, )
.
,
( ,
)
.
IV. ,
,
. :
2008 ,
,
,

2009
.
MCI- 2006 3 2008 2
1
.
2
.
79
-7

.
1,
,
100 ,
,
.
8
2002-2004 (), 2004-2006 (), 2006-2008 () 2008
2 2009 2 ()
. 2
.
2010 2
.
2009 2

, (
)
. ,

MCI-
.
.
,
MCI- .
2001 1 2005 4
.
2006 1 2008 2
,
.

2008 2 2008 4
.

2009 2

,

.
1 ,
, - .

.
80
(MCI)-
: / ?
.-

.
, ,
,
,
,
.
MCI

. MCI- SIMOM
SVAR
,
2,
.

[1] Alfred V. Guender (2008), Monetary Condition Index, Princeton Encyclopedia of
the World Economy, Department of Economics, University of Canterbury
[2] Bernanke, Ben.S. and Gertler, Mark (1995), Inside the Black Box: The credit
Channel of Monetary Policy Transmission, Journal of Economic Perspectives, Volume
9, Number 4, Fall 1995.
[3] David G.Mayes-Matti Viren (1998), The Exchange Rate and Monetary Conditions
in the Euro Area, Bank of Finland, Discussion Papers, 27/98
[4] G.R. Stevens (1998), Pitfalls in the Use of Monetary Conditions Indexes, Reserve
Bank of Australian Bulletin
[5] N.R.Ericsson, E.S.Jansen, N.A. Kerbeshian and Ragner Nymoen (1997), Understanding A Monetary Conditions Index, Norges Bank
[6] N.R.Ericsson, E.S.Jansen, N.A. Kerbeshian and Ragner Nymoen (2004), Interpreting a Monetary Conditions index in Economic Policy, Norges Bank
[7] Paulo Soares Esteves (2003), Monetary Consitions Index for Portugal, Banco de
Portugal, Economic Bulletin
[8] Wensheng Peng and Frank Leung (2005), A Monetary Conditions Index for mainland China, Hong Kong Monetary Authority Quarterly Bulletin, Feature Article
2 ,
.
81
-7
ADF H 0 : = 0

0.000
I(0)
dq
0.000
I(0)
0.002
I(0)
dl_r
0.015
I(0)
dfex_r
0.000
I(0)
0.000
I(0)
0.000
I(0)
Trend &
intercept
(a0, b0)
None
(b=a=0)
Level ( )
^
Intercept
(a0, b=0)
1. ADF
^ - X = a + btrend + X + k X + U +
t s t
t 1
s =1
.
*- 5%- ;
2.
n
( e )- :
n
[X1]
=
e
USD
(e
USD MNT
wUSD
e RMB MNT
wRMB
RMB
w
w

1 :
[X2]
wUSD + wRMB =
1
[X1]- , [X2]- :
[X3]
log(e n=
) wUSD log(eUSD MNT ) + 1 wUSD log e RMB MNT

,
.
USD MNT
. .
[X4]
82
USD MNT
e=
eUSD RBM e RMB MNT
(MCI)-
: / ?
.-
:
[X5]
log(
=
eUSD MNT ) log(eUSD RMB ) + log(e RMB MNT )
[X5]- [X3]- :
[X6]
log(
=
e n ) log(eUSD MNT ) + wUSD log eUSD MNT
( )
:
[X7]
P - , P* -
- .

:
[X8]
P* = PUSD
) (
wUSD
P RMB
wRBM
3.
X.3.1 MCI-
A)
Dependent Variable: GAP
Method: Least Squares
Date: 07/28/09 Time: 13:07
Sample (adjusted): 2002Q2 2009Q2
Included observations: 29 after adjustments
Newey-West HAC Standard Errors & Covariance (lag truncation=3)
GAP=C(1)+C(2)*(LR_AV_R_Q(-2))+C(3)*D(REER_L(-2))+C(8)*GAP(-1)
+C(4)*D(CHI_G(-2))+0*D(M2P_L(-2))+C(6)*D(FEXP_R(-2))+C(7)
*D(P_COP_L(-2))
C(1)
C(2)
C(3)
C(8)
C(4)
C(6)
C(7)
Coefficient
Std. Error
t-Statistic
Prob.
0.053178
-1.003425
-0.809211
0.160090
1.215923
0.013771
0.055361
0.020932
0.304852
0.463498
0.096854
0.758020
0.010259
0.024856
2.540517
-3.291511
-1.745877
1.652897
1.604077
1.342412
2.227257
0.0186
0.0033
0.0948
0.1126
0.1230
0.1932
0.0365
83
-7
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
0.497504
0.360460
0.031575
0.021933
63.06297
3.630243
Prob(F-statistic)
0.011764
Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.011112
0.039483
-3.866412
-3.536375
-3.763048
1.706363
B) Jarque-Bera
C) LM
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
Obs*R-squared
1.067179 Prob. F(2,20)

2.796395 Prob. Chi-Square(2)
0.3628
0.2470
D) heteroskedastic Breusch-Pagan-Godfrey-
Heteroskedasticity Test: Breusch-Pagan-Godfrey
F-statistic
Obs*R-squared
Scaled explained SS
84
0.742941 Prob. F(12,16)

0.6949
0.5829
0.9696
(MCI)-
: / ?
E)
.-
X.3.2 MCI-
A)
Dependent Variable: GAP
Method: Least Squares
Date: 07/22/09 Time: 11:50
Included observations: 29 after adjustments
Newey-West HAC Standard Errors & Covariance (lag truncation=3)
GAP=C(1)+C(2)*(LR_AV_R_Q(-2))+C(3)*D(REER_L(-2))+C(8)*GAP(-5)
+C(4)*D(CHI_G(-2))+C(5)*D(LP_L(-2))+0*D(FEXP_R(-3))+C(7)
*D(P_COP_L(-4))
85
-7
C(1)
C(2)
C(3)
C(8)
C(4)
C(5)
C(7)
Coefficient
Std. Error
t-Statistic
Prob.
0.042809
-1.515267
-1.115397
0.368661
1.428435
0.286985
0.120639
0.016710
0.378182
0.400194
0.139251
0.629851
0.154634
0.041750
2.561797
-4.006717
-2.787138
2.647455
2.267893
1.855894
2.889541
0.0178
0.0006
0.0107
0.0147
0.0335
0.0769
0.0085
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
0.518940
0.387741
0.030894
0.020998
63.69509
3.955383
Prob(F-statistic)
0.007817
Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.011112
0.039483
-3.910006
-3.579969
-3.806643
1.608600
B) Jarque-Bera
C) LM
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
Obs*R-squared
86
0.817266 Prob. F(2,20)

0.4559
0.3344
(MCI)-
: / ?
.-
D) heteroskedastic Breusch-Pagan-Godfrey-
Heteroskedasticity Test: Breusch-Pagan-Godfrey
F-statistic
Obs*R-squared
Scaled explained SS
1.642284 Prob. F(12,16)

0.1751
0.1910
0.8315
E)
87

- .
2011 12
1.
/,
, /
.

, .
, ,

.
, ,

, ,
.
, ,

2004-2011
, .
2-
, 3- ,
4- 2011
, 5- 2004-2011
, .
2.
.
GDP = C + I+ (X-M) (1)
, GDP- , - , I-
, X-, M- .
(Y) -
(Yf) (Yr ) .
Y = GDP +Yf + Yr (2)
- :
Y =C + I+ (X-M) +Yf + Yr (3)
( )
(CAB) .
89
-7
CAB = Y - (C+I) = (S-I)
(4)

(S), (I)-
:
CAB =(Sp+Sg) - (Ip+Ig) (5)
, p, g .
CAB = (Sp-Ip) + (Sg-Ig) (6)
.

- +

- =
(i) - , (ii)
, (iii)
.

.
1- .
1.

(1) (Sp- Ip) > 0
(Sg- Ig) < 0
|(Sg- Ig)|>|(Sp- Ip)| CAB < 0
(2) (Sp- Ip) < 0
(Sg- Ig) < 0
CAB < 0
(3) (Sp- Ip) < 0
(Sg- Ig) > 0
|(Sp- Ip)| >|(Sg- Ig)| CAB < 0
:
.
.
.
:
.
:
.

.
90
3. ,

. -

.
2- .
2. : -

-
GNDI -C-I=S-I
S I = CAB
(1)

-
(2)

-
(3)

-
(4)

-
S-I=-(FDI+NFB-OINd)+ NFA
(S I) + (FDI + NFB OINd) NFA = 0 (1)
GNDIg Cg Ig= Sgg (2)

Sg Ig= (NFBg+NDCg+ NB OINg) (3)
(Sg Ig) + (NFBg+ NDCg+ NB OINg) = 0
GNDIp Cp Ip= Sp Ip (4)

Sp Ip= (FDIp+ NFBp+NDCp M2 NB
OINp)
(Sp Ip) + FDI + NFBp+ NDCpM2 NB
OINp= 0 (5)
GNDIb Cb Ib= Sb Ib=0

Sb Ib= 0 = (M2 NFA NDC OINb)
M2 NFA NDC OINb= 0 (6)
X + M Yf Trf= CAB
CAB = FDI + NFB + NEO R
(5)
NEO = OINf (7)

CAB (FDI + NFB OINf NFA) = 0 (8)
: GNDI , S-, I- , CAB-

, C , -, - , Yf- , TRf-
, NFB- , NDC- , NB- , FDI
, 2- , NFA- , OIN-
(, ), g- , p- , b- , f- , -
91
-7

, ,

. ,

. 3- .
3.
Yg
Yp
-C
-Cg
-Cp
-I
-Ig
-Ip
-X
-M
Yf
-Yf
Yr
(S-I)
(Sg-Ig)
-Yr
CAB
-NFA
NFA
FDI
-FDI
NFBp
-NFB
(SP-IP)
-NFA
FDI
NFB
NFBg
-M2
M2-M
NDCg
NDCp
-NDC
-OINd
0
NB
-NB
-OINg
0
-OINp
0
0
-OINb
0
-OINf
0
0
0
:

, ,
.
.
/, , ,
. /, / ./ .
92
: -
,
.
: -
.
/ /
.

.
(i) , (j)
. (ij)
( ) i j (+,-)
.

.

.
4.
(2011 O)
,
,
2011 .
c .
4.1.
2011 10.2
83.1%- , 16.9%-
. 13.5 53%
, 47% . 80%
, 20% 1
85%- c, 15%-
/ 4.1/
1 ,
93
-7
4.1. 2011 /
/
(1)
(2)
(3)
(4)

(5)
(6)
-10215.9
1726.4
8489.5
7133.8
-1435.1
-5698.7

()
6332.3
- 923.7
-5408.6
()

6891.7
-6891.7
-9528.1
9528.1
-917.9
917.9
304.1
-304.1
3250.2
-3250.0
-632.4
-2617.8
283.2
2800.4
-2731.9
283.2
2800.4
-3083.6
- 538.8
187.1
4726.3
25.3
4701.0
-4726.3
1642.7
257.9
-1900.6
-1642.7
-351.7
- 538.8
187.1
351.7
- 538.8
187.1
351.7
571.3
568.3
644.1
-1212.4
568.3
2376.4
2944.7
641.1
-1732.3
-108.6
129.3
1603.0
3.0
-3.0
2.6
-2.6
0.4
-0.4
-222.1
0
-823.7
0
94
518.3
0
1564.1
0
-518.3
0
0
0
2011
.

-3250.2
2636.4 , , 917.9

, 304.1 ,

.
-917.9
149.1 ,
, 768.7
. 1.0

.
4.2.
2011 3250.2
2.7 , - 30%-
. -

/ 4.2/.
4.2. , ,
2011

(Sp)
(Ip)
(Sp-Ip)
(Sg)
(I)
(Sg-Ig)
(CAB)
2809.7
5427.5
-2617.8
272.4
904.8
-632.4
-3250.2
(Sp-Ip)<0
(Sg-Ig)>0
CAB<0

-
2 .
,
.
95
-7
- 2.6
- 24.2%- . 11.1
5.7 51.0% ,
5.4 49.0% . 52.6%, 49.9%,
25.8%- / 4.1/.
4.1. , ,
70.7%-, 28.8% ,
. 45.2%-
.
4.2.

86.6%- .
, 2.6 ,
1.9 , 66%-, 35%-
.

.
96

, ,
.
2011 632.4
- 5.8%- .
2.4 1.4 60.8% ,
923.7 39.2% .
- 24.4%-
3 . 24%- ,
.
4.3. , ,
45%- .
55% , 45% ,
.
42.9%-,
32.3%- .
4. 4.
97
-7
,

,
.
4.3.
-
, .

2011 2671.1
283.2 , 2740.1
-351.7
.
4.5. ,
257.9
, 25.3
.
.
4.6. ,
98
2011 4640.4
4724.1 ,
-83.4 .
-445.2
,
.
, 128.1
, 130.9
. 1714.4 ,
, .

1212.4
47% , 53%
.
4.7. ,

. 2011 358.3
, 35.0 .
295.4 , 2.6
.
66.1 ,
-4.7 -117.7

. 0.4
.
2011 2.4
(1799.9
) .
99
-7
4. 8. ,
2011 1.4
1603.0 , , 129.3
.
1.7 , 2.4

641.1
. 3.0
.

,
-
.

.

,
,
.
2011 1212.4
. 571.3
(47%) , 641.1 (53%)
.
100
4. 9. ,
, 1 2011 277.6
-183.9 ,
461.5 .
295.4 100.0
, 195.4 .
4.7 ()
.
4.10. ,
2011 1.6 ,
129.3 .
2.4 .
4 .
(37.0%),
(73%)
-
.
67.6 (4%-) 1.8
(3.9 ) .
1 , .
101
-7

.

,
.
4.11. ,
-351.7 , 3023.3

. 351.7
. 283.2
, 2740.1
.
102

-
. ,
,
.
2011
.
, ,

.

( )
.
.
,
.

,
,
. 2011

.
2011
,
.
,
.
103
-7
5.
(2004-2011 O)
,
,
2004-2011
.
5.1.
- 68% . - 47-63%, 12-15%- . 80
, 20 . 2004

2009 . 2011
- /
5.1/.
5.1. ,
:,
5.2.

- 40%- 83%- , 17%-
. 2009
, 2008-2009
. 2
2011 -
/ 5.2/.
104
5.2. ,
:,
5.3.
2004-2011 - 34.7%-
85.0%- , 15.0%- .
2009-2010

.

. 2010
2011
/ 5.3/.
5.3. ,
:,
105
-7
5.4. -
- 2004-2007
, 2008
.
2005-2007
2008-2009
. 2010

. 2011
, ,
/ 5.4/.
5.4. - ,
:,
5.5.
.
2004
2009 ,
. 2010
2011 .
2010 .
/ 5.5/.
106
5.5. ,
: ,
5.6. ,
,
, 2 /
5.6/.
5.6. ,
: ,
5.7.

. 2010 ,
.

/ 5.7/.
107
-7
5.7. ,
: ,
5.8.

. 2005-2007
2009 . 2010
.
()
/ 5.8/.
5.8. / /,
: ,
108
5.9. ,
, 2005-2007 2008

. 2010 ,
, , -
. 2011
.
,
2010, 2011
/ 5.9/
5.9. , / /,
: ,
5.10. -

/ 5.10/.
5.10. - ,
: ,
109
-7
-
68%, 40%, 34.7%- .
2004 - .

.
80%-, 83%-, 85% . ,
,
.
- 2004-2007
, 2008 . 2008-2009

.
.
2010
.
2010
.
2011
2010 2.7 ,
4.0 .
, .

.

- 2008
2009
- , 2010
-
, 2011
.
2004-2007
2008 . 2010
.
110
6. ,

, ,

.

,
,
.
-
,

.

,

.
111

- .
- .
2012 6

.

.
2000 4- 2011 4-
, (ARDL)

.

,
.
. , ,

,
.

,
, .
1990
. ,
.
,

. 2011 - 60%,
44%,
20%- .

.
.

.

.
,

.
2000 4- 2011 4-
,
(ARDL)-
.
-
.

.
, ,
,
, , ,
.
1- ,
2- , 3-
, .
113
-7
1.

. .

-
-
-

-
-

-
-
-

-
-

.

, ,
.
1.1.
114
.

,
.
.

.

,
,
.

.

. ,
, ,
, .

.
2. ARDL

ARDL .

.

. (ECM)
DickyFuller Wald F- .
I(0) I(1)

H0 .
I(0) I(1)
. Wald
F-
. .
115
-7

- .
.
Johanssen (1995), Phillips Hansen (1990)
I(1)
. Shin, Pesaran, Lee Garratt
(1998)

. Shin
I(0) I(1) .

. Shin Pesaran ARDL(autoregressive distributed
lag) .
.
(1)
(2)
- ,

.

(3)
-
.

.

.

,
.

.

-
. Shin Pesaran (1998)
.
(
)
.
(4)
116
.
(1)- -
R - ARDL
. ARDL (1,1) :

(5)
ARDL (ECM)
.
(6)
(1-b) .

:

(7)

.
(8)
3.
ARDL
,
.
3.1.
2000 4- 2011 4-
.
,
,
, .

.
117
-7
3.1
/
(2005
), ,

- , -
2
/
loan
,
1
rgdp
fdi

smc
5
6
7
8
G
openn
r
cpi
-
,
-
,
-
, ,

, -
, ,
(2005.12=100,
3.2
,

.
ARDL 1:
+
ARDL 2: -
+
ARDL 3: -
118
j-, i- t- ,
3.3.

Bound- 3.2-
.
3.3. -
/
/
/
*

-

: *- 1%- .
(0.0018*)0.2
(0.0003*)0.09
(0.0279*)0.05
0.02
0.9
0.11
1% . ARDL
.
- 1 0.2
.
- 1
0.05 .
- 1
0.09 .
3.4.

/
0.09
0.0530
/
0.05

0.02
0.0498
0.9
0.0629
: *, **, *** 10%, 5%, 1%-
.
119
-7
- 1
- 0.15 .

.
- 1 - 0.7
.
3.5.
0.11
[0.0524]**
0.07
[0.0854]***
-0.2
[0.0120]*
0.36
[0.0627]***
0.18
[0.0052]*
0.42
[0.0501]**
0.19
[0.0677]**
0.05
[0.0938]***
0.09
[0.0917]***
0.11
[0.0017]*
0.10
[0.0028]*
0.28
[0.0277]*
0.12
[0.0535]**
0.06
[0.0040]*
-0.02
[0.0714]***
-0.02
[0.0580]**
-0.5
[0.0845]***
0.5
[0.0249]**
-0.23
[0.0070]*
: *, **, *** 10%, 5%, 1%- . []-

.
.
- 10
1.3 .

.
-
10 1.8
.
- 10
2.6 .
.
,
.
- 10
0.7 .
-
10 0.5
.
120
.
- 10
2.0 .
,
.
- 10
3.6 .
- 10
1.1 .
-
10 0.9
.

.
- 10
1.8 .

- 10 0.3
. ,
,
.
- 10
4.2 .
- 10
0.6 .
-
10 1.0
.

.
-
.
121
-7
5.5.
-
-
0.11
0.09
[0.0524]**
[0.0504]**
0.1
[0.0229]**
0.03
[0.0393]**
0.07
[0.0854]***
0.04
[0.0077]*
-0.2
[0.0120]*
0.36
0.09
[0.0627]*** [0.0084]*
0.18
0.1
0.1
[0.0406]** [0.0682]*** [0.0052]*
0.4
[0.0731]*
0.42
-
[0.0501]**
: *, **, *** 10%, 5%, 1%- .
[]-
- - 10
0.9 ,
1.0 , 0.3 .
-
,
() . -
- .
- 10
1.0 , 1.0
, 0.4 .
- 10
0.9 .
4.

, .

,
.

.
.
, ,
.
122
. 5
10 ,
14
.
, ,
( , , )
.
,
.
,
, .
,

.
,
,
,
.
,
,
,
.

.

.

.

,

.
123
-7

Acemoglu, D., Zilibotti, F.,. ( 1997). Was Prometheus unbending by chance? Risk,
diversification, and growth. J. Polit. Econ. J. Polit. Econ., 105, 709775.
Bencivenga, V., Smith, B. ( 1993). Some consequences of credit rationing in an
endogenous growth model. J. Econ. Dynam.Control , 17, 97122.
Boyd, J. & Prescott, E. (1986). Financial intermediary-coalitions. J. Econ. Theory ,
211232.
Goldsmith, R. W. (1969). Financial Structure and Development. . Yale University Press.
Greenwood, J., Jovanovic, B.,. ( 1990). Financial development, growth and the
distribution of income.. 98,. J. Polit. Econ, 10761107.
Gurley, J.G., Shaw, E.S. (1955). Financial aspects of economic development. Am. Econ.
Rev., 45, 515538.
Husam-Aldin N. Al-Malkawi. (2012). Financial Development and Economic Growth in
the UAE. International Journal of Economics and Finance.
Jordan Shan & Qi Jianhong. (2006). Does Financial Development Lead Economic
Growth? The Case of China. ANNALS OF ECONOMICS AND FINANCE, 197-216.
LEVINE, R. (1993, 1997). Financial Development and Economic Growth: Views and
Agenda. Journal of Economic Literature, 688726.
Levine, R. (1997). Financial development and economic growth: views and agenda. J.
Econ. Lit. 35, 688726.
M. Shabri Abd. Majid. (1997). Does Financial Development and Inflation Spur
Economic. ChulalongkorMn . JSohuarbnrail A obfd E. Mcoanjoidm :i cDs, 161-184.
Ndako, U. B. (2007). STOCK MARKETS, BANKS AND ECONOMIC GROWTH: A
TIME SERIES EVIDENCE FROM SOUTH AFRICA.
Pagano, M. (1993). Financial markets and growth: An overview. Eur. Econ. Rev. 37, ,
613622.
Shittu, Ayodele Ibrahim. (2012). Financial Intermediation and Economic Growth in
Nigeria. British Journal of Arts and Social Sciences, Vol.4 No.2.
.. (2004). .
, .
124

.-1
2009 9
,

. ,
. (i) , , ,
. ,
.
(ii) 6 ,
, ,
, 2 ,
. (iii)
, . (iv)
,
. (v)
,
, .

()- .
, .
. ( - ), . ( - )
. (- )
.
-7
I.

.

,
. , 2
, ,
.
.
, ,
.
,
.
C
,
,
, ,
. 2006-2007
,
.
3
.
( ) ( )
. ,

.
, .

.

,
.
,
,
.

,
, .
Hannan Berger (1989, 1991)- ,

Maudos Guevara (2004) .
3
, 75- 6
2003 1 2009 2
126
.-
. -

.

.
,
.
. 2- ,
. 3-
,
panel
. ,
5- , 6-
, .
II. ,
,
ex-post 1 . , 2002-2009
1- . 7
2 2009 2 18.9 .

,
2008 2 . 2008 4
, .
III .

.
, ,
. ,
.

.
:
- ,
- ,
- ,
. ,
.
1 . (2006),
.
.
.
127
-7
1. ,
: ,

2006

.
,

.
,
, 3 ,
()-

. 3 2009 2
- .
7 18
.
IV .

2007
.

, ,

. ,

.

128
.-

. ,
III .
III.
3.1

Hannan Berger (1989, 1991)- .
,
,

.

Raquel Vecente (2005)
.
.

[1]
t i ,

, u
i
,

i .
t i
j ,
t
, k
,
t
m ,

. . :
(
, .
, .
,
.
.

.
129
-7
.
,
.
.
( , ).

.
.
.

.
.
.
, (

.

.
, ,
.
.
,
.
.
Herfindahl M

.
(CRMD). M

.
.
Herfindahl- (HERF_D).

Herfindahl- .

.
(
.

,
130
.-
.
,
. ,
.
.
.
.
,

. .
. .

. ,

. .

.

.
.
.
M2 . 2008 M2 ,

, .

.
2
. .
.
()
. -
.
-
. . ,
.
( - ).
,
.
.

.
131
-7
(D)

()- ,
, .

.
.
3.2
[1]-
6 7
.
1- .
(cross section SUR ),
(fixed effect)- panel EGLS Eviews 6.1
.
(cross
section)- (6 )-
(fixed effect)- .
(two ways fixed effect)
. (period fixed) . .
(cross section fixed)
(redundant fixed effect) 2- X.2.2- .

.
. ,

,
,

.

(Wooldridge (2002)).

cross section
.
[1]- 1-, 2-
.2.1- .
.
.
132
.-
1.

(
,
-0.23
0.00***
IIP
0.02
0.06*
SIZE_S_D
-0.19
0.00***
SIZE_D
0.02
0.00***
CIR
-0.02
0.01**
-0.12
0.00***
OUT_GAP
-0.18
0.01**
D(INF)
0.09
0.00***
M2_G_Q (-2)
-0.03
0.04**
0.05
0.04**
0.05
0.01**

2 2

1
IBR (-1)
.
D(ER_L)

, -
SM
(D)

Cross section fixed effect test
, (
4
CR4D

(

DEPOSIT_RATE(1)
-0.05
0.78
0.08*
0.00***
0.89
156
2.59
0.03
***, **, * 1%, 5%, 10%-

.
:

,
. ,
, (IIP) 1
0.02 . 2005-2008
8 0.16
.
(SIZE_D)
133
-7
.

.
,

. , (SIZE_S_D)
,
.

.
1
0.2 .
2002-2009 17
0.35 .
,
. , ,
(CIR) 1 0.02
. 2003-2008 CIR 11
0.22 . 2009
2 15 ,

.
,

, .
1 .
,

.

. , 4 (CR4D)
2002-2008 9 1.0
.

.
(output gap)-
.
.
. ,
1 0.18
. ,
1 (CR(m)) m
.
134
.-
.
,
, .

. , (D(INF)) 1
0.1 .

. 2
(M2_G_Q) 1 2
0.03 .
()
.
- . - (IBR)
. - 1 0.05
. 2004 2008
, -
- .
.
. .

.
.
.
. 1 0.05
. . ,
2008 4 2009 1
.

.
3
.

.
. , (SM) 1 0.05
.
.
,

.
1 .
0.8 1%-
.
80 .
135
-7
[1]-

2- . 6

.
2.
:

, ,
- 2002-2005 , 2007-2009
. 2008

,
,
, ,
2 ,
.
136
.-
IV. ,

4.1 ,
,
Ho Saunders (1981)- Dealership , Maudos
Guevara (2004) .
, ,
,

. ,

.
.
[2]
t i , (spread), e

i
,
i
. .
:
t i j
;
t i , k
;
t m
;
t
n ;
,
l .

, ,
, .
,
. :
(
. ,
(OC)- .
137
-7
,
.
.

.

.
.

.
,

.
.

.
McShane Sharpe
(1985) ,
(RISKAVER)- .
,
.
.

.

.
/

.
(SIZE)- .
.
, .
,
(MG)- .

.
.
,
.
138
.-

.

.
. ,
,
. ,
.

.
. Saunders Schumacher (2000)
,
.
, .

.
(IIP1), (IIP2),
(IIP3)- .
,
,
.
. Demirguc-Kunt Huizinga (2000)
(LIQ)- ,
( + )
.
,
.

.
, (
,
.

.
.

.

,
.
. ,
2 ( )
139
-7

. ,
-
.

.
2 . :
m
1 CR(m);
Herfindahl - (HERF)
.
(
.

.

.
,
.

. -
GARCH (SD)- .
.
.
.
,
.
.
, (NPL)- .
. .
GARCH (ERRISK)- .

,
.
,
.
1 .
140
.-
, . , ,
- (GDP),
- (GROWTH), - (GDP_GAP)- . -
- - HP
.
. (INF) ,
,
. Ben Naceur (2003), Casu
et al (2004) Diaz & Olivero (2005)
.
.
-

.
. ,
.
(FD)- -
,
- .
() .

.
.

. -
. ,
(RESER)- .
(IBR).
- .
-
.
(D)

. , ,

.
Drakos (2003), Casu
(2004) .

141
-7
.

.
.
, .
,
, .

.
4.2 ,
[2]- 6 7
.
3.2 .
(cross section fixed)
(redundant fixed effect) 2-,
3- X.3.1.2 X.3.2.2- .
.
panel
.
[2]- 2 2-,
3- .
10 .
.
2 . ,

( )
(+),
RESER
AOC
-0.07
0.56
0.00***
0.30
1.06
0.00***
1.31
0.00***
0.97
0.00***
1.22
0.00***
0.24
0.01***
RISKAVER
0.40
0.00***
IIP
0.11
0.00***
( +),

LIQ
-0.09
SIZE_S
0.40
0.00***
SIZE_L
142
0.07*
0.10
0.00***
-0.11
0.01***
-0.09
0.00***
.-
CIR
0.09
0.00***
, (
Herfindahl-
3
0.00***
HERF_A
0.97
0.05**
CR3A
0.50
0.00***
(
,
0.12
NPL
0.31
0.00***
0.52
0.00***
IRRISK1
0.01
0.00***
ERRISK1
0.0005
0.00***
GDP_G
0.15
INF
0.07
0.05**
D(INF(-2))
0.09
0.01***
-

6

2
0.12
M2_G_Q (-1)
-0.11
0.00***
IBR
0.18
0.01***
0.24
0.00***
,
-
FD
-0.04
SM(-3)
-0.46
,
-
0.10*
0.00***
(D)

-0.01
0.00***
1-
S1
-0.02
0.00***
-0.03
0.94
0.97
(N)
156
156
Cross section fixed effect test (F)
61.1
0.00
61.3
0.00***
0.00
***, **, * 1%, 5%, 10%-

.
:
()-
. - ,
.
(RESER)
, . ,
1 1.1-1.3
. 2007 -
RESER 2007-2009
143
-7
2 ( 1). -
, . 3-
- -
,
.
. ,
(AOC) 1
1.0-1.2 . 2002-2008 AOC
1.1
. 2009
AOC 0.1
.
(RISKAVER) ,
. ,
1
0.25-0.4 . RISKAVER
2002-2005 2 9%- 2005-2008
.
2009 1 2
0.5
. (IIP) ,

. , 2004-2008 8
0.8 .

.
(LIQ) .
20052008 14 1.4
. (SIZE_S)

.
.
6

.
(SIZE_L)
. , ,
.
2005-2008 6 74
6.7 . 2008
2 ,
,
.
.
144
.-
, (CIR) 1
0.1 . 2003-2008 11
1.1 .
,
.
Herfindahl- (HERF_A) 0.1
1 .
3 1 0.5
.
.
(NPL)-
. NPL 1
0.3-0.5 .

2009

.
. -
.
.
(INF)- 1 0.7
. ,
,
.
. 2 ,

. , 2008 17
1.2 .

.

. 2
,
. 2
1 1 0.11
. 2002-2008 2
.
()- .
- , .

- . ,
, -
- .
. - 1
0.18-0.24 . 2002-2007 -
145
-7
2008
.
,
, (FD)-
. ,

. , - 10
0.4 . 2002-2007
53 2.1
.
.
1
.
(networth) .

. ,
, - 1 0.46
. , 1
. 1
.
1
1 .
[2]- B 6
, ,

3- .
1 ., .- (2008), : ,
, .
146
.-
3. ,
:

( ),
, ,
, ,

, ,
,
. 2008 2
( ),
, -
, ,
, , 2

. 2008 3
,
.
, ,
,
.
147
-7
V. ,
5.1

95 .

.

, ,
, ,

.
.
2008 2
( ),
, - , , ,
, ,
2 . ,

.

.
- .
,

.
,
,
. ,
, ,
/, ,
,
1%- . ,
.
1
1 .
, ,
.
,
.
,
, ,

.
2007-2008 - ,
5%-
148
.-
. 2009 2
.
, .
,
.
, .

. ,
.
,
, -
. , ,
. ,
1 0.3
.

. -
. -
. -
. - ,
- . .
,

. 2008 2009
.
,

.
2009 ,

.

,
.
.
,
,
1
.
1 ,
.
149
-7
,

.
4 -
.
.
,

.
,
.
,
,
.
,
.
, ,

, .

, 2 ,
.
,
.
- ,
.
.
,
.
, ,

. ,
, ,

.
5.2
,
,
.
,
.
(interest rate smoothing)-
,
.
150
.-

- ,

. .
-
,
.
,
.
,

, .
.
,
. ,
.

. ,
, .
, .
1998

, .

. ,

.

.
, ,
.
.
,
. ,

. 2
, 5 .
,
, .
,
.
151
-7

[1] Angbazo, L (1997), Commercial bank Interest margins, Default Rsik, InterestRate Risk, and Off- Balance Sheet Banking . In: Journal of Banking and Finance
21.55-87.
[2] Allen, L. (1988), The Determinants of Bank Interest Margins: A Note. In:
Journal of Financial and Quantitative Analysis 23(2).231-235.
[3] Boldbaatar.D (2006), Measurement and Implication of Commercial Banks
Interest Rate Spread in the Selected SEACEN Countries, SEACEN Centre.
[4] Drakos, K. (2002), The efficiency of the banking sector in Central and Eastern
Europe, Russian and East European finance and trade,
[5] Ephraim W.Chirwa & Montfort Mlachila (2004), Financial Reforms and Interest
Rate Spreads in the Commercial Banking System in Malawi, IMF
[6] Gan-Ochir.D (2006), Determinants of the Interest Rate Spread of Commercial
Banks in Mongolia, working paper #11, The Bank of Mongolia.
[7] Ho, T. & Saunders, A. (1981), The determinants of bank interest margins:
theory and empirical evidence. In: Journal of Financial and Quantitative Analysis
16(4).581-600.
[8] Joaquyn Maudos & Juan Fernandez de Guevara (2005) Factors explaining the
interest margin in the banking sectors of the European Union, In: Journal of
Baking and Finance, 28.2259-2281.
[9] Joo Carvalho das Neves & Jos M. Piriquito Costa (1997), Determinants of net
interest margins in the banking industry in Portugal over the period 1986-1996
[10]
Joseph Crowley (2007), Interest Rate Spread in English Speaking African
countries, WP/07/101, IMF
[11] Liebeg. D and Schwaige. M.S (2007), Determinants of the Interest Rate Margins
of Australian Banks, Financial Stability Report, ONEB
[12] Mahamudu Bawumia (PhD), Franklin Belnye & Martin Enoch Ofori (2005
Bank of Ghana), The Determination of Bank Interest Spreads in Ghana: An
Empirical Analysis of Panel Data
[13] Saunders.A& Schumacher.L (2000), The Determinants of Bank Interest Rate
Margins: An International Study, . In: Journal of International Money and
Finance 19.813-832.
[14] Philip Brock & Helmut Franken (2003), Measuring the Determinants of Average
and Marginal Bank Interest Rate Spreads in Chile, 1994-2001
[15] Roger Aliaga-Diaz & Maria Pia Olivero (2005), The Cyclical behavior of net
interest margins: Evidence from the United States banking sector
[16] Santiago Carb Valverde & Francisco Rodrguez Fernndez (2005), Margins,
Specialization and Agregate Risk Behaviour in European Banking
[17] Tarsila Segalla Afanasieff, Priscilla Maria Villa Lhacer & Marcio I. Nakane (
2002, Central bank of Brazil), The Determinants of Bank Interest Spread in
Brazil
[18] Sophie Claeys Rudi Vander Vennet (2004), Determinants of Bank Interest
Margins in Central and Eastern Europe: A Comparison with the West
152
.-
1.
SPREAD, %
DEPOSIT RATE,

%
RESER, %
AOC, %
RISKAVER, %
IIP,%
NPL, %
(+),
,

,
,

,
2002
2003
2004
2005
28.0%
17.0% 15.0% 17.0% 15.0% 11.0% 10.0% 10.0%
18.0%
20.0% 20.0% 16.0% 17.0% 15.0% 13.0% 14.0%
12.0%
10.0%
8.0%
8.0%
8.0%
7.0%
6.0%
6.0%
2.0%
1.8%
1.3%
1.2%
1.2%
1.0%
0.9%
1.0%
7.0%
8.0%
8.0%
9.0%
9.0%
9.0%
9.0%
10.0%
8.0%
8.0%
6.0% 10.0% 13.0% 13.0% 14.0% 21.0%
1.0%
1.0%
3.0%
3.0%
2006
3.0%
2007
2.0%
2008
2009*
2.0%
6.0%
20.0% 29.0% 19.0% 13.0% 11.0% 5.0%
12.0%
LIQ, %
( +),
36.0%

CIR, %
96.0% 100.0% 97.0% 95.0% 87.0% 88.0% 89.0% 104.0%
10.0%
SIZE_S, %
11.0% 13.0% 13.0% 14.0% 18.0% 22.0% 23.0%
IBR, %
()-
7%
10%
12%
6%
6%
7%
15%
16.5%
FD, %
,
-
26%
35%
46%
51%
69%
79%
74%
71%
GDP_G, %
6%
4%
9%
7%
8%
12%
10%
4%
IRRISK1, %
4.3%
4.4%
4.7%
4.9%
4.9%
4.4%
2.0%
1.41%
INF, %
2.0%
5.0%
9.0% 13.0% 5.0% 10.0% 27.0% 11.0%
SM, %
,
-
3.0%
2.0%
1.0%
2.0%
3.0% 13.0% 14.0%
8.0%
SIZE_L
7.31
7.62
7.85
8.03
8.27
8.56
8.77
8.76
HERF_A
Herfindahl-
0.15
0.12
0.11
0.12
0.12
0.12
0.13
0.15
ERRISK1
85.1
86.8
92.7
102.8 116.7 133.4 137.5
44.3
M2_G_Q
11.0%
11.0%
5.0%
8.0%
4.0%
13.0%
14.0% 18.0% 19.0% 18.0% 24.0% 27.0% 30.0%
67.0%
59.0% 68.0% 67.0% 69.0% 72.0% 73.0% 76.0%
56.0%
50.0% 48.0% 50.0% 50.0% 53.0% 58.0% 61.0%
1.0%
1.0%
2.0%
0.0% -1.0% 2.0%
2.0%
-9.0%
0.9%
0.9%
0.9%
0.2% -1.2% 0.1%
2.0%
6.2%
-0.3%
-2.0% -0.1% -0.6% -1.3% 1.3%
2.1%
-2.4%
SIZE_S_D, %
CR4D, %
CR3A, %
D(INF), %
D(ER), %
OUT_GAP, %
4

3

8.0% 12.0% -1.0%
: ,
* 2009 2 .
153
-7
2.
X.2.1 [1]-
Dependent Variable: DEPOSIT_RATE
Method: Panel EGLS (Cross-section SUR)
Date: 09/28/09 Time: 17:20
Sample: 2003Q1 2009Q2
Periods included: 26
Cross-sections included: 6
Total panel (balanced) observations: 156
Linear estimation after one-step weighting matrix
Cross-section SUR (PCSE) standard errors & covariance (no d.f.
correction)
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
CR4D
DEPOSIT_RATE(-1)
IIP2
CIR
SIZE_S_D
SIZE_D
D(INF)
IBR(-1)
M2_G_Q(-2)
STOCK_MARKET
OUT_GAP
D(ER_L)
-0.232526
-0.116114
0.781404
0.024983
-0.020135
-0.192417
0.019100
0.088269
0.051450
-0.033202
-0.047171
-0.176176
0.048043
0.056635
0.040312
0.045597
0.013078
0.008167
0.051133
0.004195
0.020328
0.024699
0.015818
0.026479
0.068663
0.018741
-4.105729
-2.880368
17.13737
1.910259
-2.465523
-3.763037
4.552848
4.342174
2.083054
-2.098963
-1.781451
-2.565814
2.563466
0.0001
0.0046
0.0000
0.0582
0.0149
0.0002
0.0000
0.0000
0.0391
0.0376
0.0770
0.0114
0.0114
Effects Specification
Cross-section fixed (dummy variables)
Weighted Statistics
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.904518
0.892756
1.050525
76.90034
0.000000
Mean dependent var

S.D. dependent var
Sum squared resid
Durbin-Watson stat
13.26675
7.345480
152.2973
2.032914
Unweighted Statistics
R-squared
Sum squared resid
154
0.864812 Mean dependent var

0.043329 Durbin-Watson stat
0.149048
1.969851
.-
X.2.2
Redundant Fixed Effects Tests
Equation: EQ03
Test cross-section fixed effects
Effects Test
Cross-section F
Statistic
d.f.
Prob.
2.592445
(5,138)
0.0283
X.2.3
3. ,
X.3.1.1 A-
Dependent Variable: SPREAD
Date: 09/28/09 Time: 17:22
Sample: 2003Q1 2009Q2
correction)
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
RESER1
AOC
RISKAVER
IIP2
NPL
-0.071018
1.056614
0.972579
0.395017
0.112835
0.311535
0.068429
0.223778
0.269571
0.092778
0.030944
0.084686
-1.037832
4.721713
3.607882
4.257642
3.646478
3.678703
0.3012
0.0000
0.0004
0.0000
0.0004
0.0003
155
LIQ
SIZE_S
INF(-1)
CIR
IRRISK1
HERF_A
@SEAS(1)
GDP_G
IBR
@TREND
-7
-0.093530
0.397463
0.069119
0.092106
0.013284
0.972321
-0.023746
0.147731
0.179167
-0.005677
0.051914
0.134258
0.034507
0.018806
0.003707
0.492551
0.004291
0.096530
0.069619
0.000747
-1.801628
2.960442
2.003073
4.897724
3.583377
1.974050
-5.533823
1.530421
2.573524
-7.604159
0.0738
0.0036
0.0472
0.0000
0.0005
0.0504
0.0000
0.1283
0.0111
0.0000
Weighted Statistics
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)
0.949186Mean dependent var

0.941658S.D. dependent var
1.052153Sum squared resid
126.0870Durbin-Watson stat
0.000000
5.499146
5.297588
149.4484
1.764714
R-squared
Sum squared resid

0.127816
1.251179
X.3.1.2
Equation: EQ01
Effects Test
Cross-section F
156
Statistic
d.f.
Prob.
61.125801
(5,135)
0.0000
.-
X.3.1.3
X.3.2.1 B-
Dependent Variable: SPREAD
Date: 09/24/09 Time: 13:16
correction)
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
RESER1
AOC
RISKAVER
IIP2
NPL
LIQ
CIR
SIZE_L
@SEAS(1)
CR3A
STOCK_MARKET(-3)
IBR
ERRISK1
FD
D(INF(-2))
M2_G_Q(-1)
0.563270
1.307050
1.215140
0.237896
0.103937
0.523198
-0.113169
0.117845
-0.090355
-0.030424
0.495265
-0.458292
0.237596
0.000484
-0.044363
0.089178
-0.112890
0.152927
0.175912
0.246466
0.088129
0.030577
0.057960
0.045566
0.017464
0.021701
0.003526
0.101620
0.050216
0.037922
6.29E-05
0.026838
0.032543
0.020614
3.683272
7.430151
4.930256
2.699405
3.399247
9.026868
-2.483635
6.747824
-4.163671
-8.628947
4.873674
-9.126464
6.265349
7.704080
-1.652987
2.740280
-5.476486
0.0003
0.0000
0.0000
0.0078
0.0009
0.0000
0.0142
0.0000
0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
0.1007
0.0070
0.0000
157
-7

Weighted Statistics
R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic)

0.970621S.D. dependent var
1.051149Sum squared resid
0.000000
8.769163
9.033243
148.0585
1.766026
R-squared
Sum squared resid

0.127816
1.193398
X.3.2.2
Equation: EQ02
Effects Test
Cross-section F
Statistic
d.f.
Prob.
61.347014
(5,134)
0.0000
X.3.2.3
158

- .
2011 6

. 2004 1- 2011 1-
.

.

.

, ,
.
-7
,
,
.
.

.

.
. ,

,

.

,
.
2- , 3-
4-
, .
160
1.
1.1.

,
, .
.
,

. :
:
.
Mi I Y
(M) (i) .
(I) , (Y) .
:
.
MiNX Y
161
-7
,
().
, (NX)
(Y) .
:

.
. q: q-
.
M qI Y
,
( ) .
(q) , (I) .
. :
.
M Y

, ,
.
:
.
. :
.
, .
M I Y
. :
.
.
, .
, , .
M I Y
162
1.2.
Bernanke, Blinder (1988)
IS-LM . IS-LM
,
,
.
IS-LM ,

. , ,

.
Bernanke, Blinder-
, ( )
. ,
.
,
,
- - , - , -
, - , -
1- .
1.Bernanke, Blinder-
163
-7
LM .
1 (Commodities and Credit)
.

.

.

.

.
2.

.
.
Bernanke, Blinder (1992), Kashyap (1993)

.
1.

Bernanke, Blinder
(1992), Kashyap
(1993)
Peek, Rosengren
(1995), de Bondt
(1998), Hancock Wilcox (1998), Kashyap,
Stein (2000) Gambacorta ,Mistrulli (2004)
Panel -

,

,

.

Ceccheti (1995), Hubbard (1995)

1 IS .
164

.

, [Eichenbaum, 1994].

,

panel
Peek, Rosengren (1995), de Bond (1998), Hancock, Wilcox (1998), Kashyap, Stein (2000),Gambacorta, Mistrulli (2004) .

, ,

.
- . (2008)

.
. (2008)-
,
.
3.
.

.

-
- .
3.1.
Hulsewig, Mayer, Wollmershauser (2005)
.
Bernanke, Blinder-
o
, VECM .
165
-7
1- ,
, -. ,
.
- - ,
- ,
,

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

2004 1- 2011 1-
.
,
,
.
166
1.
/
,
. ,

-

,
R, AP

-
,
2005
,

-
, .
VECM
ADF
I(1) .
I(1)
Johansen
.
Johansen-
Max-Eigen c Trace
2
.
,
,
.
VEC
LR
.
(LM ec, Normality )- 5%-
, ,
167
-7
.
VEC ,
.
s.e (0.01)
(0.01)
0.98R +
s.e (0.01)
(0.2)
(0.1)

,
.
2. VECM

-

-
- 1% -
0.01%- .
1% - 1.3%- .
1% - 0.9%- .
1% - 0.1%- .
- 1% - 1.3%-
.
:
, ,
- . (
- )-
0.01, 0.3 0.9

.
.
: - ,
.
0.1
. - 1.3

.
168

VECM

.
Cholesky
. : (
) -
,
.
2

(),
() .
2. - 1%-
. -
- 1
.
12 .

. .

169
-7
.
3- .
3. 1%-

1%- 1
0.2%-, 1%- 0.1%- 1% 2 0.02%- .
.
3.2.
Panel Arellano, Bond
.
,
- ( , ,
), - ( - ),
(- ),
-
(, , ),
-, i=1,..,N , t-, , , , , .

. OLS fixed effect
Arellano, Bond (GMM)

.
:

.

170
.
, ,
.
.

.
.
-
2004 1- 2011 1-
.
,
,
.
3.
/
-
,
li
lp
rgdp
2005
cbbr

-
,
size
liq
cap
171
-7
:
:
: res
,
,
- ( ,
, ),
- ,
.

4- . 1

, , 4
.
4.

- 1%- 0.02%-,
0.2%-, 0.01%-
.
- 1%- 0.5%-,
-
0.6%-, 0.3%-
.

1%- 0.2%- .

. - 1%-
*-
, 1%- 0.01%-
.

1%- 0.3%- .

*-
. - 1%- ,
1 0.04%- .

1%- 0.2%-

.

*- .
1%- , 1%-
0.02%- .

1%- 0.3%- .
* -
172

. - 1%- , 1% 0.03%- .
4.

.

.

.
1%- 5
0.04%- 1%-
3 0.1%- .
- 2
.
3 .
- , .
0.1
.
- 0.5
.
,
,
.
173
-7

Bernanke B.S, Gertler M. (1995), Inside the Black Box: Credit channel of Monetary policy
transmission, American Economic Association, No.4, pp. 27-48.
Bernanke B.S, Blinder A.S. (1988), Credit, money and aggregate demand, American
Economic Review, No. 78, pp. 435-439.
Frederic S.Mishkin (1996), The channels of Monetary Transmission: Lessons for Monetary
Policy, NBER working paper series.
Hubbard R.G. (1994), Is there a `credit channel` for monetary policy?, NBER Working
Paper No. 4977.
Worms A. (2001), The reaction of banking lending to monetary policy measures in Germany,
working paper series-96, Europian Central Bank.
Kakes J. (1998), Monetary transmission and bank lending in the Netherlands, Research
Report No. 98C30, Research Institute SOM (Systems, Organisations and Management),
University of Groningen, Netherlands.
Rodrigo Alfaro, Helmut Franken, Carlos Garca, Alejandro Jara (2003), Bank lending
channel in Chile
Olinear S. D, Rudebusch G.D. (1995), Is there banking lending channel for monetary
policy?, Federal Reserve bank of San Francisco Economic review.
Tomasz yziak, Jan Przystupa and Ewa Wrbel. (2008), Monetary policy transmission in
Polan: A study of the importance of interest rate and credit channels.
Oliver Holtem oller (2002), Further VAR Evidence for the Effectiveness of a Credit
Channel in Germany
Anca Pruteanu, (2004), The Role of Banks in the Czech Monetary Policy Transmission
Mechanism
Robert Bichsel and Josef Perrez, (2004), In Quest of the Bank Lending Channel: Evidence
for Switzerland using Individual Bank Data
Veronica B. Bayangos Bangko Sentral ng Pilipinas, (2010), Does the bank credit channel
of monetary policy matter in the Philippines?
174

: ,

.-1

2012 8

,
.
, , ,
.

.

, ,
. ,
,
.
, .
4 .
,
, ,
.
1 ,
.
- .-
. , .
-7
1.
,
, (,
)-
. , ,

, . ,

(Seth &
Ragab 2012). ,
, ,
()
.
, -

.
, ,
,
(Briguglio et al. 2006). ,

.
,
-

,
.
,

,
.
. 2- ,
. 3- ,

. 4- , ,

,
FAVAR . 5-
,
.
176
: ,

.-
2.

.

.

.
, 2
(Seth & Ragab 2012).
. ,
,
.
, ,
(Kaminsky et al. 1998; IMF 1998; Herrera
& Garcia (WB) 1999).
( )-
(, ,
)
.
,
.
,
1 (Briguglio 1995, United Nations 2006).

.
, ,
2 .

.

, 1- .
1 ,
.
177
-7
1.
<25%
(25%-50%)
>50%
<20%
(20%-30%)
>30%
<2%
(2%-8%)
>8%
>1
(6 -1 )
<1
<-3%
/
()
/
&
>0%
(0,-3)%
*/
>1.5 %
(1.5%, -1%)
<-1%
- /
<25%
(25%-60%)
>60%
<5%
(5%-12%)
>12%
<50%
(50%-70%)
>70%
<10%
(10%-20%)
>20%
<3.5%
(3.5%-7%)
>7%
<3.5%
(3.5%-7%)
>7%
>1.5%
(0%-1.5%)
<0%
>15%
(10%-15%)
<10%
<10%
(10%-25%)
>25%
>8%
(6%-8%)
<6%
<3%
(3%-6%)
>6%
<70%
(70%-100%)
>100%
(0%-5%)
(5%-10%)
(-5%,-10%)
>10%
<-10%
, -
**
<7%
(7%-10%)
>10%
$1.25-
/
<10%
(10%-30%)
>30%
<0.3
(0.3-0.5)
>0.5
: * . ** (1
(<0.5) ); ( 1 (0.5-1)
; (1 (>1) ).
178
: ,

.-
, , ,
5 , 25 .
,
,
. 1

.

( 1). ,

.
, ,
.
, ,
,
(Briguglio et al. 2008b).
,

.
1. :
: Briguglio et al. (2008).

179
-7

. ,


.
, , (Ocampo 2008).

,
,
(Seth & Ragab 2012). 1-
, (,
- )-
( 1).
.

,
.

(Cordina 2008).

. ,
,
.

, . ,

.

(, , , ,
, ) 1- . ,
,

. , ,
,
(Briguglio er al. 2008a).
,

.

.
180
: ,

.-
-
. 1
5 .

.

.
.
,

(Kamisnky et al. 1998, Harrera & Carcia 1999).

,
.
, ,
. ,
.

. ,

.

.
.

.

( )
.

(Fitoussi & Saraceno 2010).
. ,
,
.

.
(
, )
181
-7
3.
3.1 : 2012 2

, 2012 2
2- .
2. : 2012 2
88.6%
56.7%
3.2%
4.91
-22.5%
*/
-4.3%
27.5%
C
/
10.4%
78.7%
49.7%
15.1%
13.1%
-1.9%
31.7%

&
( )
182
.-
: ,

24.4%
8.2%
4.9%
98.7%
, -
4.1%
**
2.7

$1.25-
/

7.7%
29.8%
0.44
,
-
: * . ** (1
(<0.5) ); ( 1 (0.5-1)
; (1 (>1) ).

2012 2
, ,
, ,
.
,
,
. ,

4.9 .
,

.
50
.
,
.

, .
, ,
,
. , ,

.

183
-7
. , , 1-
.

.
1/4- ,
.

.

,
.
,
. ,
1
2.7 73
. ,
,
.
2- 3 .
, ,

,
. - 1/3-
,
.
5
. , - 4.1
,
. ,
-5 ,
.
3.2 : 2008Q1-2012Q2
.
2- .
2009 2
80 2012 2 89
.
.
184
: ,

.-
2. , 2008Q1-2012Q2
: ,
.
, .
-
.

.
, .
-
. 4
.
185
-7
3. , 2008Q1-2012Q2
: ,
.
,
,

.
. ,
2010 2 3.5 2012 2
- 22.5
, 7 0.7- 0.4 2008 1
.
,
.
186
: ,

.-

,
,
.

,
.
.
3- .

45 .

.
( )-
.

.
2011 - 5.8 , 2012 3.2
2011 4
, .
, -
, - 2012 1
.
,

.

2011 70 2012 2
79 .

45
.

.

.
.
4- .
187
-7
4. ,
2008Q1-2012Q2
: ,
.
, .

. 2010
, ,
.

. ,
. ,
, ,
.

,
. ,
2011 2
.
,

. ,
.
188
: ,

.-

2011 2012 2
-1.9
. ,

,
4
1 . ,

.
,
2009 3

1/3 .
. 2012

.

,
. ,

. ,

, .
2008-2009
. ,

, ,
.

2
. , 2010 2
30 2012 2
24 .
.
.
5- .
189
-7
5. , 2008Q1-2012Q2
: ,
.
, .
,

. 2009 4 ,
17 , , 5
.
,
-
,
. , 2009
2012 2 4.9 ,
190
: ,

.-
8.2
.
2011 3

. , ,
1.4 2010 0.75
2012 1 .
,
.
2010-2011 , 2011
,
, .

,
2011 4
.
.
6- .

.

.

. , 5 2009
1.3
. 1
2.6 .
,
.
2008-2009 11.7
2 7.7
. ,

10

.
191
-7
6. , 2007-2011
: ,
.
, .
35-40 2010
9 29.8
.
-
. , 21 16 .
0.55 . 0.450.7 1$-1.25$-
. -
.
,
.
.
,
,
. ,
.
,
.
192
: ,

.-
,

.
,
.

, , ,
.
,
.
,

.
4.
,
?
,
(principal component)- ,
.

(FAVAR) .
4.1
,
(Banerjee et al. 2003).
[1]
:
, ;
j- . m k
(t-, BIC)-
.
,
[1]
2 . ,
j
. ,
[1]
1- h
,
j (Frankel & Saravelos 2011).
-

- .
193
-7
1
17
, t- 3- 3, 4
. ,
1 2011 3 2012
2 ,
3- 5 6 .
3. ,
,
0.29 (j=2)
[0.38]
0.13 (j=3)
[1.90]
0.07 (j=2)
[0.23]
0.55 (j=3)
[1.48]
-0.37 (j=2)
[-1.42]
0.19 (j=3)
[1.85]
0.22 (j=1)
[0.62]
-0.07 (j=1)
[-0.25]
0.65 (j=1)
[1.66]
0.64 (j=0)
[4.14]
0.49 (j=1)
[2.75]
-1.92 (j=1)
[-1.37]
0.40 (j=3)
[4.43]
-0.52 (j=0)
[-1.20]
0.83 (j=2)
[0.91]
-1.60 (j=1)
[-1.75]
0.08 (j=2)
[0.80]
0.29 (j=2)
[0.77]
-0.31 (j=1)
[-0.61]
0.29 (j=3)
[2.30]
0.75 (j=2)
[5.87]
0.33 (j=2)
[1.95]
0.29 (j=1)
[2.30]
/
/

/
*/
/

()
C
/
/

/
& /
( )
-0.11(j=0)
[0.52]

(
)
<0.043>
<0.053>
/0.039/
/0.040/
<0.030>
/0.026/
<0.044>
/0.033/
<0.072>
/0.067/
<0.040>
/0.035/
<0.074>
/0.068/
<0.045>
/0.038/
<0.041>
/0.036/
<0.060>
/0.052/
<0.070>
/0.061/
<0.065>
/0.060/
<0.059>
/0.046/
<0.040>
/0.039/
<0.055>
/0.056/
<0.051>
/0.047/
<0.064>
/0.063/
<0.061>
/0.056/
<0.062>
/0.059/
<0.056>
/0.046/
<0.027>
/0.025/
<0.028>
/0.026/
<0.097>
/0.088/
1 -
. .
194
.-
: ,

,
, -
-0.90 (j=3)
[-2.52]
-1.10 (j=4)
[-2.22]
-0.42 (j=1)
[-0.97]
-0.13 (j=2)
[-1.35]
0.45 (j=3)
[1.82]
0.48 (j=4)
[2.25]
1.21 (j=3)
[1.45]
-1.63 (j=3)
[-4.39]
0.63 (j=4)
[1.70]
-0.44 (j=3)
[-11.60]
<0.042>
/0.034/
<0.039>
/0.033/
<0.051>
/0.043/
<0.040>
/0.034/
<0.051>
/0.047/
<0.055>
/0.045/
<0.062>
/0.057/
<0.023>
/0.020/
0.72 (j=2)
[3.32]
<0.024>
/0.022/
<0.030>
/0.028/
: 3, 4 10%-
.
20%-
. () []
t- . < > 1
(RMSE) , / /
1 (MAE) .
3- , -
, 1
3 , .

. , / 1
1 1/3 ,
.

, - 3 , , 1 10%-
t- .
, -
2 3 ,
, - 2
.
.

/ 2 ,
3 t-
.
,
3 4
t-
. , -
2 , 3-4
.
2 , ,
195
-7
3 .
t-
(1) /
; (2) / ; (3) /
. (1) , ; (2)
/ ; (3) / .
4.2 FAVAR

. VAR

, .
, VAR, SVAR

.
-
(Bernanke et al. 2005).

(
K )
.
1 2
,
.
-
(Stock & Watson 2005).
[2]
[3]
- [2] [3]
.

(Stock & Watson

2005).
VAR [3]- [2]- .
VAR
- :
[4]
VAR (FAVAR)
.
[5]
196
: ,

.-
.
FAVAR (Bernanke
et al. 2005):
[6]
-
;
, .
[6]
VAR
- - VAR
. FAVAR . FAVAR
VAR [6] VAR
, - -
. ,
FAVAR -
VAR ,
.
FAVAR .
[6]
.

,

.

(T)- FAVAR
(
)
. ( ) ( )
( )- .
:
[7]

,
(
(principal component)- )
[7] -
( )- .
-

.

197
-7
. [7]
[6] [7]- (2 (principal component) )
2 .

(Stock & Watson 2002). ,
-
(principal component)-
-
.
- - -
- . , FAVAR
[6]
-
- ,
. ,
, ( )-
- . Bernanke et al. (2005)-
bootstrap 1.
[7]
1
.
- [7]
- .
-
.
2
. ,
. ,
.
(
) , FAVAR(1)
2 7 8- .
1 Kilian (1998)
bootstrap .
2 (non-factorized)
.
198
: ,

.-
7. 1

7-

. 3-5
3, 2
. ,
3-5
, 2
.
.
, ,
1 8
. ,
1 .
3 VAR 1
0 .
.
199
-7
8. 1

,

.

.
(FEVD)- 4- .
4. , :

()
1
2
4
8
12
16
20
50.60
44.12
37.89
30.53
28.87
28.91
28.70
15.82
0.47
18.15
1.81
20.48
5.93
39.45
5.67
41.19
5.72
41.10
6.07
41.69
6.01
0.26
4.72
10.50
7.67
8.23
8.46
8.34
4.3
34.5
37.9
33.2
32.0
31.7
31.5
49.8
0.1
40.1
3.3
38.3
4.0
33.2
13.3
33.7
14.7
33.9
14.8
33.7
15.3
2.6
2.3
5.1
7.7
7.6
7.7
7.8
: - ; CC-
; - ; - , .
200
: ,

.-

40-50
40
. , 10
.

.

40-50 ,
30 .
, 8
.

.
,
FAVAR
9- .
9. ,
9.A- 2012 2
2008 3
. 2 2012
3
. 2011 4
, 2012 2 2009 1
( 9.B). 2
2012 4 2013 2
( 7.B)
.
2012 4
2013 ( 8.B).
201
-7

( 80%- )
, FAVAR(1)
10 11- .
10. 1

10- -1 1-4 ,
-2 3 ,
-3 3-5
. , 1, 2
1-4 3 ,
3 3-5 .
11 -5,
6 1 . ,
- 5 1
, -6 1
.
202
.-
: ,

11. 1

5- .
5. , :

() 1 2 3 4
2 5
52.04
0.73
8.65
13.06
3.91
0.01
8.84
0.01
53.20
3.56
13.13
10.41
3.69
0.05
23.16
10.77
48.13
2.67
26.29
8.14
2.82
0.25
32.39
9.85
26.87
1.42
56.38
7.68
3.03
3.45
31.94
9.86
12
28.20
1.59
55.53
7.85
4.30
4.39
31.57
9.48
16
26.76
1.55
57.32
8.00
4.47
5.04
32.10
9.21
20
27.19
1.58
56.97
8.00
4.75
5.22
32.07
9.12
: - ; CC-
;
- ; - , .
203
-7
5- -1
50
3 55-
. -2 4
.
-1 2
.
-5 30
, -6
1 10 .

-5 6 .
,
FAVAR
12- .
12. ,
12.A- -1
2012 2 2008 2
. 2011 3 2011
4 ,
( 10.A) 2012 2
2013 1 .
204
: ,

.-
-2 2011 4
, 2012 2
2009 3 (
12.B). 2 2012
4 2013
.
-5 2012 1
2012 2
2 ( 12C) 3
.
2011 3
2012 2 4
( 12.D).
5. ,
,
,
.
,
.

. ,
,
.
,
2008-2009 .
2012
,
, . , ,

.

.
,
.
, ,
.
.
, , ,
.
, .
,
.
205
-7
( )-
. 2008-2009
,
.
.
,
,
.
,
.
,
.
,
.

,
. ,
,

, ,
, .
,

. , 12.A
-1
. 12.
-5
.
9.A 9.B

. / , /
/ ,
/ , / /
.

,
.

,
, ,
,
. :
206
: ,

.-
.

.
.
,
,
. - (
, )-
,
.
(
,
)- ,
,
.
.
,

.
.

.
.
,
. ,
, ,
.
,
,
, .
(, )
(, , )-
.

.
.
,
. ,
,
.
, .
,
, .
,
, .
207
-7
.
, ,
.
,
.
,
.

, ,
. -
, ,
. ,

,
.
208
: ,

.-

Banerjee, A, Marcellino, M & Maten, I 2003, Leading indicators for Euro-area inflation
and GDP growth, Working Paper No. 235, CEPR, NBER and Universita Bocconi.
Bernanke, BS, Boivin, J & Eliasz, P 2005, Measuring the effects of monetary policy:
A factor-augmented vector autoregressive (FAVAR) approach, The Quarterly Journal of
Economics, vol. 120, no. 1, pp. 387-422.
Briguglio, L 1995, Small Island States and their Economic Vulnerabilities, World
Development, vol. 23, no. 9, pp. 16151632.
Briguglio, L, Cordina, G, Farrugia, N, &Vella, S 2006, Conceptualising and Measuring
Economic Reslience, in L. Briguglio, G. Cordina and E.J. Kisanga (eds.), Building
the Economic Reslience of Small States, Malta: Islands and Small States Institute of the
University of Malta and London: Commonwealth Secretariat, pp. 265-288.
Briguglio, L, Corina, G, Farrugia, N & Vella, S 2008 (a), Profiling Economic
Vulnerability and resilience in small states: Conceptual underpinnings, Occasional
Papers on Islands and Small States, No. 1/2008, Islands and Small States University.
Briguglio, L, Corina, G, Farrugia, N & Vella, S 2008 (b), Economic Vulnerability
and Resilience: Concepts and Measurements, Research Paper No. 2008/55, UNUWIDER, United Nations University.
Cordina, G 2008, The Macroeconomic and Growth Dynamics of Small States,
Small States Economic Review and Basic Statistics, vol. 12, London: Commonwealth
Secretariat.
Fitoussi, JP, & Saraceno, F 2010, Inequality and Macroeconomic Performance,
Document de travail de lOFCE, Observatoire franais des conjonctures conomiques
(OFCE), Paris.
Herrera, S.& Garcia, C 1999, Users Guide to an Early Warning System for
Macroeconomic Vulnerability in Latin American Countries, Policy Research Working
Paper. No. 2233, Economic Policy Sector Unit, Latin America and the Caribbean
Region, World Bank Washington, DC,
IMF 1998, Financial Crises: Characteristics and Indicators of Vulnerability in IMF
(ed.), World Economic Outlook Financial Crises: Causes and Indicators, International
Monetary Fund (IMF), Washington, DC.
Jeffrey, F & Saravelos, G 2011 Can leading indicators assess country vulnerability?
Evidence from the 2008-09 global financial crises, HKS Faculty Research Working
Paper Series RWP11-024, John F. Kennedy School of Government, Harvard University.
Kaminsky, G L, Lizondo, S & Reinhart, C. M 1998, Leading indicators of currency
crises, Staff Papers, no. 1, vol. 45, International Monetary Fund.
209
-7
Ocampo, JA 2008, Macroeconomic Vulnerability and Reform: Managing Pro-Cyclical

Capital Flows, paper presented at the international symposium Financial Globalization
and Emerging Market Economies, Bank of Thailand, Bangkok.
Seth, A & Ragab, A 2012, Macroeconomic vulnerability in developing countries:
Approaches and Issues, Working Paper No. 94, International Policy Centre for Inclusive
Growth, United Nations Development Programme.
Stock, JH & Watson, MW 1998, Diffusion indexes, NBER Working Paper No. 6702,
National Bureau of Economic Research, Cambridge, MA.
Stock, JH & Watson, MW 2002, Macroeconomic forecasting using diffusion indexes,
Journal of Business Economics and Statistics, XXXIV, pp. 463-497.
____________________ 2005, Implications of dynamic factor models for VAR
analysis, NBER Working Paper 11467, National Bureau of Economic Research,
Cambridge, MA.
United Nations 2006, Committee for Development Policy: Report on the Eighth Session,
United Nations Economic and Social Council, New York, NY.
210
,

: .
- -
: .
- -
.
- -
, 2012

, ,
,
.

1.7-2.3%-

, , 3
.
2011 ,

,
, ,
.
: D31; D63
: , , ,

-7
,
.

. 2011
17.3% .
,
.
2010 32.2%-
47.8% 15.6%- .
1 2002 32% 2008 36.6%2
.
,

,

.
.

, ,

, .
5
,
.
Ramsey- ,
,
.
,

.

Summers-Heston Sala-i-Martin (1996)
110 - 1960-1990

3 30
1 52-58%- .
, ,
25%- .
2 http://www.tradingeconomics.com/mongolia/gini-index-wb-data.htm
3 (cross-sectional)
(
212
)-
. , .

. ,
(OECD)4

.
Sala-i-Martin (1996)- 110
.
, 110 1960-1990

.

5

.
Sala-i-Martin (1996)
2
.
.
.

.
(homogenous)

.
Sala-i-Martin (1996), Barro Sala-i-Martin (1995)
, - , 47
8- 90-
.
2% .
Robert J. Barro (1991)- 100 19601985 .
- -
,
.
-
.

. Danny Quah (1993b, 1996a)

.
.
4 : , , , , , , , , , , ,
, , , , , , , , , , ,
.
5 ,
.
213
-7

.
,

.

. Quah-
-

.
.

,
.
Ran Sha, Wim Naud Wilma Viviers (2004)

Quah-
, .
1994-2003 .
,

. 1978
1990
.

2.1

.

.

.

.

.
2.1.1
Barro Sala-i-Martin (1995)

Solow-Swan ,

. Solow-Swan
214
. , .

,

.
(2.39)
(2.38)-
. Solow-Swan Ramsey-

.
(3.38)
.
:
(2.40)
- -

-
. - (2.39)
.
2.1.2

-
.
(2.41)
-
-
.

- (
)-
(cross-sectional)
.
2.1.3
Sala-i-Martin 1996

.

.

.

215
-7
2.1-
.
2.11:
: Sala-i-Martin, X. (1996).), 1
A, B . 1-
.
.
2- A B
.
. 3-

.
2.2

.
Danny Quah (1993b, 1996a)

.

.
,
.
2.2.1
Quah (1993) Barro-

.

.

.
216
. , .
(2.43)
: - ,
-

- .
-
:
(2.46)
-
.
,

.
2.2.2

(discretization)
.

.

.

.
Quah (1997)
.

.

(smooth) .
- f(x)-
:
(2.47)
:
- , N- , h-
-
. -
.
- h-
217
-7
.
.
(2.48)

Matlab 2010
.

1 2000
563.3 2011 1.8 1,010.2
.
.
, 21 ( )-
- , ,

2.2-1- .
2.21: /2005 , /
: . 21 .
- 90 -
49%- .
1 -
. - -
,
- . - 90
- 49% - .
218
. , .
2011 -,
2000 -, , , , ,
-
2000 . , , ,
, - -
2000 2011 2 ,
, , ,
30-40 .
2011 2000
2.4

4.2 .
-
2
.
, ,
, , , , -,
. -,
, , , , 2011
- 2000
-,
.
.
21
22
.

, .

2000-2011 .
3.1

, .

.

22 2000-2011
- 2000
- / 3.2-3.3/.
3.2-

219
-7
22 2001-2010

-
.
3.11: / 22
/
3.12: / 19
/
: .
: .
, ,

3.4- ,
19

.
-

.

(2.35)- (pooled data)

(2.39)
. Sala-i-Martin Robert Barro

.
22 2001-2010
.
3.1.1:
22
19
/ , ,

/
220
const
log(GDPt)
-0.25
(0.048)
-0.24
0.023
(0.004)
0.021
(0.077)
(0.006)
R2
0.156
-2.2%
0.066
-2.1%
. , .
: , Stata 11 .
3.1-
.
.
-

-2.2% 22
.

.
3.2- 1

.
3.2

(2.40) :
(3.1)
(Fixed effect)
(Random effect)-
(Hausman test)
. (two ways fixed effect)

5.2 5.3- . F
cross-section
.
,
.

.

. 3.2- .
1 ,
221
-7
3.2.1:
const
Log(GDPt)
R2
0.197
-0.017
1.7%
0.82
(0.041)
(0.003)
0.304
-0.023
2.3%
0.87
21 , /FE TE/
(0.060)
(0.004)
: , Eveiws 7.1
.
21 , /FE/
cross-section
1- .
1.7%-
. cross-section
2- .
2.3%- /
5.2-1/.
22 -
, ,
,
- ,
- ,
, .

0.1%-
0.5%- .

-
.
3.3
.
(2.41)
.
222
. , .
3.31: /22
/
3.32: /, ,
19 /
: .
: .
3.4- 2001 22
- , 2007

. 2008
2009 ,
-
.

.
,
3.5- . 20002005 19 -
2006
. 2008
2009-2011 ,
.
3.4

.
22 2001-2011
-
.
-

.
(0, 0.45],
(0.45, 1.5], (1.5, 3.4]
. ,

3.3- .
223
-7
3.4.1:

49
172
21

(0, 0.45]
65%
35%
0%

(0.45, 1.5]
11%
87%
2%

(1.5, 3.4]
0%
14%
86%
18%
73%
9%

.
( )
.
2001-2011 11
.
45%-
65%- .
35%
0% .
11
50 .
, -, ,
6-8 .
45%- 150%-
87% .
11%,
2%
.
172
-, , ,

.
150%- 350%-
86% .
14%
0%- .
2001-2011 21
. 9,
1 10 2 ,
1 -
85-95% , 49%-
- - .
224
. , .
2006 2007 .

11
18% ,
73% , 9%
.
3.5

.
()

.
-
2000
2011 ,
3.5-1- . 2000 22

70- 80%- . 2000
,
.
3.51: 2000 2011
: MatLab 2010b
2000 2

, .
2 .
225
-7
2011
2011 2000

. 2011
,

.
2011
,

.
,
.
1.5-1.7 . , -,

.
45%-
,
-
.
,
1.7-2.3%-

-

.

.
22 -

. ,
19
- 2000-2005
2006 .
2008 20092011 , .

45%- , -,
, 6-8
45%226
. , .
150%- -, , ,

.
9, 10
2 , 2006 2007
.

1.
2011
2000
.
2011 ,

,
, ,
.
4
11
. -
, , 3 .

.

1.7-2.3%-

, ,
3 .

.

,
.
1 11 70
.
35%- 8% .
227
-7

Barro, R. J. (1991). Economic Growth in a Cross Section of Countries. The Quarterly
Journal of Economics, Vol. 106, No. 2, pp. 407 443.
1. Barro, R. J., Sala-i-Martin, X. (1995). Economic Growth. New York: McGraw-Hill.
2. Baumol, William J. (1986). Productivity growth, convergence, and welfare: what
the long-run data show. American Economic Review, vol. 76, no. 5 (December), pp.
I072-85.
3. Ben-David, D. (1993). Equalizing Exchange: Trade Liberalization and Income
Convergence. The Quarterly Journal of Economics, Vol. 108, No. 3, pp. 653
679.
4. Cass, David (1965). Optimum growth in an aggregative model of capital
accumulation. Review of Economic Studies, vol. 32, no. 9I (July), pp. 233-40.
5. DeLong, J. Bradford (1988). Productivity growth, convergence, and welfare:
comment. American Economic Review, vol. 78, no. 5 (December), pp. II38-54.
6. Koopmans, Tjalling C. (I965). On the concept of optimal economic growth. In
The Econometric Approach to Development Planning, Amsterdam: North Holland.
7. Mankiw, N. G., Romer, D., Weil, D. N. (1992). A Contribution to the Empirics
of Economic Growth. The Quarterly Journal of Economics, Vol. 107, No. 2, pp.
407 437.
8. Ramsey F.P. (1928), A Mathematical Theory of Saving,Economic Journal, Vol.
38, No 152, pp.543 559.
9. Ran Sha, Wim Naud , Wilma Viviers (1996). Income disparity across Chinese
Provinces: Revisiting the Convergence-Divergence debate. World Institute for
Development Economics Research, United Nations University, Helsinki, Finland.
10. Romer, Paul (1986). Increasing returns and long run growth. Journal of Political
Economy, June, vol. 99, pp. 500-2 I.
11. Sala-i-Martin, X. (1996). The Classical Approach to Convergence Analysis. The
Economic Journal, Vol. 106, No. 437, pp. 1019 1036.
12. Solow, Robert (1956). A Contribution to the Theory of Economic Growth,
Quarterly Journal of Economics, 70, 65-94.
13. Quah, D.T. (1993b). Galtons fallacy and tests of the convergence hypothesis.
Scandinavian Journal of Economics, 95 (4): 427-443.
14. Quah, D. (1996b). Regional convergence clusters across Europe. European
Economic Review, 40: 951-958.
228
. , .
3.5.1-
: . (***-99%, **-95%, *-90%- )
3.5.2- //
: . (***-99%, **-95%, *-90%- )
229
-7
3.51: 2000
2001
3.52: 2000
2002
: MatLab 2010b
: MatLab 2010b
3.53: 2000
2003
3.54: 2000
2004
: MatLab 2010b
: MatLab 2010b
3.55: 2000
2006
3.56: 2000
2007
: MatLab 2010b
: MatLab 2010b
3.57: 2000
2009
3.58: 2000
2010
: MatLab 2010b
: MatLab 2010b
230

- II
, -

.
2012 07
-7
I.

2 1.

, ,
.
:
2012 28 ,
33%- .
,
45% .
2012 3.3
. , 50%- .
2011 6

.
,
15 .
. 10
,
. ,

.

,
.

2 .

3
2015
6 .
2 ,
, 4 5
, 6
, 6 7
, .
1 2011 7 ()

232
- II
II.

.
,

,
2007-2010 40%-
10 31 .
1. ,
2. ,
/2011 /
: - , - ,
,
, 2008-2011
, , -
52%- 18%-
, ,
--, , -
21%- 61% , .
III. ,

.

,
.
2012 5
233
-7
91%- , 9%-
.
3. , /2012/05 /
: ,

, .
1. ,
2008
,
,
2011
, , , , ,
45%- . / 4, 5/
234
- II

, ,

//
2-3 . / 5/
4.

5.

, /2011 /
: , . *
100% . **
- 1.5 .

.
2010 134%-
187%- , 2011 102%-
156%- . 2012

.
235
6. 2011

: -
,
-7
7.

: , ,

.
,

,

. ,
2009 0.44
2011 0.91 .

2011 12 155 ./ 130135 ./- . / 7/
2012 28 3.3
. .
2012 5 ,
, 3, 4
2012 2012
34%-
44% 3.3 .
.
236
- II
8. 2012
,
9. 2012

: - , -
, , *~
, :
:
2012
3 7%-, 4 2%- .
: 2012 5
2009-2011
3, 4
.
:

IV.
,
.

55 - /2010 /-
, -- -,
245 , 18
/2011/10/- ,
311 /2011/11/-
, .
NTB -
20
237
-7
. -
.

.
,

.
- Renaissance Capital
/2011/06/-
0.070 ./., 0.055 ./.,
0.030 ./. .
18.3 ./,
13.5 ./, 7.35 ./
2
. -
.
2.
, Renaissance Capital-

2 .
.
, 23.5
./ 12 ./ .
(3 ./)
(0.6 ./) /5 / ,
238
- II
15
15
,
.
3
.
,

2010 6 24- 32- 5683.5
3 .
.
1: - /
- / - /-
/ 3.
2: (i) / - ,
(ii) / - ,
(iii) -
4 3.
3.
3: 3600 -
. -
. 3.
239
-7

MMC 2015 30
- , ,
6 .

, .
,

, ,
.
Renaissance Capital-
67.5 ./
( , )
41 ./
. / 1, 2/

,
,

.
1.
: Renaissance Capital: Moncoalia report, 2011 June 15

240
- II
2.


110 ./
-
.
3. -

.
(10-100 /),
(10-50 /) / 9, 10- value
loss- /
.
241
9.
/

(CNY/)
-7
10.
/
(CNY/
)
V. ,
c
.

, ,

.
,
2011 6
5 , 2012 2
5 .
5 2012
2013 15
, . 2011
1.5
. 2012
. /2012/02 /,

//, ,
//
.
2012 5
-
15 . .
//, //, ,

,
242
- II

10-15 .
/ 10/.
10.
,
/2012/5 /
11. MMC -

: - ,

: Renaissance Capital: Moncoalia

report, [Jun2011]
35%- , /
/- , 10%- 15 .
. / 11./
VI. ,

46%-, 40%-
.
2002-2010 5.1%-
5.0%-
5.9%-, 0.7%-
. 2010 /40%/, /14%/, /8%/,
/6%/, /4%/, /4%/, /4%/
82%-
.
243
11. ,
/2010 /
-7
12. ,
/2010 /
77%-

/46%/, /13%/, /9%/,
/3%/, /3%/, /3%/, /2%/
/80%/ .
2003
.
2003 95%-

. 2000 95%-
, , , .
13.
244
14.
- II
.
,
2 ( 15).
,
.
, , , /
/, 2010
67%- .
, / /, ,
/ /, 50%-

15. , 2010 / /
: -

10- .
245
-7
,

1996
11.6%- . 2005
, , ,
.
16.

17.

.
, ,

,

.

,
.
246
- II
3.
2009
,
.
4.

:
247
-7
,

.
2011 ,
2011 7.4%- 2012
2010-2011

.

3

.

.
//

. / 18, 19/
18.
19.

.

.
- , ,
248
- II
,
45%-
2035 39% .
-
.
VII.

(i)

, ; (ii)

, ; (iii)
,
,

.

/ 2 / /60 /
,
- ,
, ,
(i) ,
; (ii)
;
(iii) ,
,

,

,

.
249
-7
VIII.
:
[1] , () [July 2011],

[2]
[3]
[4]
[5]
[6]
:
Moncoalia report [Jun-2011], Renaissance capital
Sector update: Mongolian coal sector [28May-2012], Renaissance capital
Sector update: Mongolian coal sector [3May-2012], Renaissance capital
Sector update:Mongolian coal [25Jun2012], Frontier Securities
World commodity forecasts: industrial raw materials [Jan2012] Economist
Intelligence Unit
[7] Annual report [June 2012], Mongolia energy corporation
[8] Monthly report [March 2012], Mongolian mining corporation
[9] Investor presentation [Mar 2012], Southgobi resources LTD
:
[10] www.erdenesmgl.mn
[11] www.tavantolgoi.mn
[12] www.mmc.mn
[13] www.mak.mn
[14] www.mongolia-energy.com
[15] www.southgobi.com
[16] www.winsway.com
[17] www.asiacoallimited.com
[18] www.xanadumines.com
[19] prophecycoal.com
[20] www.hunnucoal.com
[21] www.aspiremininglimited.com
:
[22] Mining Journal, June 2012, July 2012
:
[23]
:
[24]
[25]
[26]
250

,
,

.
2012 08
-7
I.

. , , ,
,
.

.

.
98 .
, , , ,
, (Steel
Industry)- .
,
.
0.5 .
95- 7

. 2011 5.7
2012 7.6 , 2013 9.4
, 2014 11.3 , 2015 13.5 2015
.
2, 3
, 4
.

, .
252
II.
1. ?

.
25-60%-
. , ,
25- .
()- , , , ,
.
/-haematite (Fe2O3), magnetite (Fe3O4)/, /limonite (FeO(OH)*nH2O), goethite (FeO(OH))/,
/siderite (FeCO3)/, /pyrite (FeS2)/ .
,
. 300
, , , , 5
.
,
.
(lithosphere)- 5.6
. ,
.
( 60
) (natural ore)
(direct shipping ore)
.
.
.

(Fe2O3) .

. ,
.
,
. .
, 1
.
5 2.
1 , ,
( ) .
2
.
253
-7
1. /Bedded Sedimentary Deposits/

1
- 2.6- 1.8
.
(i) banded-iron formation, (ii) ironstone- . ,

, .
i. Banded Iron Formation (BIF):
, silica . .
,

.
25-40
. , ,
. (Al), (Na),
(K) .

(1965) BIF- Algoma Superior

. Algoma

,
. Superior
,
, , .
ii. Ironstone: ,

. BIF
150-450 .
:
2. (
) - Sedimentary iron ore deposits of siderite and limonitic
composition;
3. ( )- Laterite ores derived
from the sub-aerial alteration;
4. - Igneous Activity;
1 542-501
. 4.57
.
(Precambrian) . , ,
. , .
254
5. (
,
) - Surface and Near-Surface Weathering
2.
25-65 .
60 , ,
, .
,

.
. 1 1.75 , 0.8
, 0.25 4.5
.
, ,
.
.

.
,

.
.
. , ,
. (milling), (washing), (filtration), (sorting), (sizing), (gravity
concentration), (magnetic separation), (flotation),
(agglomeration- , )
. .

(milling)
(magnetic separation)- .

.

.

2500-25000 . 95
.
.
, ,

.
.
255
-7
.
. (flotation)

.

(gravity concentration)
.
.
. agglomeration-
( 60 )
.
97
.

.
.
,
.

.
- 1 .

.

.
.

( )
. .

( CO2) (CO)
.
.
. :
: 2C+O22CO
.
1 ,
. (
)
.
.
.
256
o 1- : 3Fe2O3+CO2Fe3O4+CO2
o 2- : Fe3O4+CO3FeO+CO2
o 3- : FeO+COFe + CO2
: CaCO3CaO+CO2
: CaO+SiO2CaSiO3
3.
-
.
,
,
, .

.
.

98 . 2
, , , ,
, .
0.2-2.1%-
.
. .
800

.
/pig iron/. ,
1. / , 2011/
: Metals Consulting International

257
-7
.

.
,
.
.
11%-

.
.
,
.
,
, , ,
10 .
2001 150 2011 215 .
80 ,
, ,
.
50 .
III.

.

.
230 800
. 50
15 1 96
. ,
. .

2.

3.
,
, ,
,
1 2 .
2 85 , 85 ,
90 , 50 70-
. .
3 .
258
,
.
2. ,
Vale, Rio Tinto, BHP Billiton

. 2010 1.8
4 35
.
61 .
2011
60 .
, ,
2- .

.
1980
.

.
. ,

.
.
1960- (benchmark price)
4 16000 - ()
.
259
-7

. ,

, (spot price)- .
,
.
3. /2011 /
:
1. /2011
/
: Iron Ore: Analysis (Ajay Chauhan, 2012)

260
4. , / ,
2010 /
: Iron Ore: Analysis (Ajay Chauhan, 2012)
, ,
.

.

,
. ,
.
: 2009 , , , , ,
-, ,
. , , ,

.
, .
,

. ,

.

.
, 2008 5
40
,
.
261
-7
:

, 30
. 130
. .
-
. 1990-
45 2011 15
. ,
. 1998
28 2011 67
.
- 2005 85 72
. 2016 130
.
-
2002 39.1 2011
51.3 .
-
.
2011 7
7.4
1.8
. 7.4 2015
11.8 , 2020 25.3 .
2015 4.9 , 2020 3.6
.
-
.
,
.
-
.
2011 9
1060 (165 .) 2012 7 31-
710 (110 .) .

120-150 . 2020 80
., 60 . .

, ,
.
200 .
262
2. ,
2012 2013 2014 2015 2016 2017 2018

20.5 85.6 168.3 126.8 101.0 27.0
0.0 529.2
0.0
66.5 32.3
0.0
90.0
0.0
0.0 188.8
5.5
8.0
18.0 26.0 45.0
0.0
0.0 102.5
4.8
4.5
7.8
13.0
0.0
0.0
0.0 30.1
0.0
10.0 10.0
5.0
0.0
2.0
2.0 29.0
30.8 174.6 236.4 170.8 236.0 29.0

2.0 879.6
: Company Filings, Bloomberg Industries

125 2018 900 .
( 2- ).
3. , /2009/
25%
19%
16%
15%
6%
54%
9%
8%
7%
7%
39%
29%
13%

5%
3%
69%
12%
10%

5%
1%
: Virginia Christie., et al. Market Report.

, ,
, . 54
, 69
.
IV.
1069
. 33
660.8 0.5 .
1 .
50
.
263
-7
5. 1
:
2012 3 24-

1996 40
30
. 2030-2041
2037 .
1- .
, ,

,
, -
.

. ( 3- ).
2011
85 5 .
2 .
3.
1 2012 3 24-
2 2008-2011 72.7%, 57.0%, 65.8%, 53.2%-

.
3 .
264
- -

110 150 .
54
. 2008
2011 0.7 , 0.9 , 2.4 , 3.1
2012
5
1-2 2015 10
.
.

. 2-3

.
- -

-
4 180 - . 2009,
2010, 2011 66.5 , 308.0 , 1258.6
infomine.mn
2
.
-

. 2011 221.6

.
-

, . 2008 2011
122.5 , 252.3 , 166.5 , 185.5
, 1-
4
5 6
. 140
200.0
.

.
- - , ,

2011 .
4 - .
265
-7
2011 1
157.4 .
150
.

.
- 1990

100.0
. 1993
1994 . 2008
( 229.3 ),
- ( 25
), -
( 12.6 )
, 2009
. 600
.

2015
.
-
.
, , ,
,

, 66 .

.
250 6
. 12

.
-
,

.

.
.
,
.
1 2008 128.1 , 2009 248.0 , 2010 176.5

. .
266
4. , 2

-
( )
-

2008
736.2
0.0
0.0
122.5
128.1
1.0
0.0
25.2
1013.1
2009
2010
910.5
2360.1
66.5
308.0
0.0
15.0
166.5
252.3
248.0
176.5
35.0
109.0
8.0
360.6
77.7
89.0
1598.1 3584.7
57.7% 124.3%
2011
3062.4
1258.6
221.6
185.5
157.4
128.0
470.0
269.5
5753.1
60.5%
2012
5000.0
1000.0
180.0
200.0
150.0
100.0
600.0
380.5
7610.5
32.3%
2014
2015
2013
6500.0
8000.0 10000.0
1200.0
1500.0
1500.0
200.0
200.0
200.0
200.0
200.0
200.0
150.0
150.0
150.0
120.0
150.0
150.0
600.0
600.0
600.0
472.1
568.4
673.7
9442.1 11368.4 13473.7
24.1% 20.4% 18.5%
: ,
2011 -
168 .
76 .3 . 2012 7 -
138
. 62 .
.
6.
: -
4
2012 471.8 , 2013 585.4 , 2014 704.8 , 2015 835.3
. .
2
95
. 2008 97.5 , 2009 95.1 , 2010
97.5 , 2011 95.3 .
3 .
267
-7

.

2008 . 2008
2012 15.11
.

.
7.
: -

2009
. 2006
2009
2.3 . 2009 14
.

1 2008 1.0 , 2009 1.6 , 2010 3.5 , 2011 5.8 , 2012
3.2 .
268
. 6- .

.
V.
0.5 ,

, , ,
, ,

.
,
, , , , , ,

,
.

.
1-1.2
.

.
,
.
269
-7
VI.
[1] ATIN Choenni, JULIAN Lehmann, MACIEJ Sewerski, RAFFAEL Huber and
RANDOLPH Kirk [2011], Iron Ore: The Competition Between Brazil and Australia for Asian Markets.
[2] AUROBINDA Prasad and SUNDEEP Jain [2011], Report on Iron Ore, Karvy
Comtrade Research.
[3] GAIUS King and MATTHEW Davis [2009], Natural Resources Commodity
Focus Report, WHIreland Research.
[4] AJAY Chauhan [2012], Iron Ore: Analysis.
[5] MARC P.Bielitza and HAGEN Lindstadt [2011], Prospects for the 2020 Iron
Ore Market: How Europe Should Prepare, Spotlight on the Iron Ore and Steel
Industries.
[6] Trust Fund on Iron Ore Information [2009], Iron Ore Market 2008-2010,
United Nations Conference on Trade and Development.
[7] EDWARD Butler [2011], Iron Ore Mining in Australia: Revenue Boom - Increased Output Meets Demand in Export Markets, IBISWorld Industry Report.
[8] VIRGINIA Christie, BRAD Mitchell, DAVID Orsmond and MARILEZE van
Zyl [2011], The Iron Ore, Coal and Gas Sectors.
[9] U.S. Environmental Protection Agency [1994], Extraction and Beneficiation of
Ores and Minerals: Iron, Technical Resource Document.
[10] .
[11] .
[12] .
[13] .
[14] .
270
VII.
1
5. 2012 3 25-

#
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
-1
-1
-2
-1

-1

-

()
1405.4
1200.6
1199.8
935.7
583.8
571.0
565.0
550.1
506.3
424.1
407.9
380.3
365.4
362.3
356.0
326.4
275.6
210.8
164.2
158.4
133.1
123.8
117.9
117.1
111.5
108.7
91.2
90.1
89.5
79.6
79.5
78.7
77.8
64.0
57.8
53.4
44.7
39.9
39.0
38.7
38.1
35.5
30.9
25.2
23.2
1.7
0.5
0.3
-

()

2004.12.09
2009.12.04
2008.02.28
2011.11.10
2010.09.21
2010.06.21
2005.09.29
2005.11.14
2008.01.04
2005.10.28
2005.05.12
2011.12.01
2009.04.01
2006.02.23
2011.08.16
2005.01.05
2008.07.10
2005.03.30
2011.12.01
2010.06.29
2010.09.16
2009.12.28
2011.03.14
2010.10.16
2008.06.02
2005.07.26
2005.03.30
2008.03.21
2006.04.03
2005.10.20
2006.11.30
2009.09.23
2007.01.10
2008.09.09
2003.12.24
2001.09.24
2008.04.11
2006.08.29
2008.06.27
2006.03.30
2010.10.22
1996.10.14
2009.09.23
2009.12.15
2000.05.15
2003.12.24
2005.09.29
2005.10.20

2034.12.09
2039.12.04
2038.02.28
2041.11.10
2040.09.21
2040.06.21
2035.09.29
2035.11.14
2038.01.04
2035.10.28
2035.05.12
2041.12.01
2039.04.01
2036.02.23
2041.08.16
2035.01.05
2038.07.10
2035.03.30
2041.12.01
2040.06.29
2040.09.16
2039.12.28
2041.03.14
2040.10.16
2038.06.02
2035.07.26
2035.03.30
2038.03.21
2036.04.03
2035.10.20
2036.11.30
2039.09.23
2037.01.10
2038.09.09
2033.12.24
2031.09.24
2038.04.11
2036.08.29
2038.06.27
2036.03.30
2040.10.22
2037.11.01
2039.09.23
2039.12.15
2030.05.15
2033.12.24
2035.09.29
2035.10.20
271
-7
2
6. - 6
#
1
2
3
4
5
6
7
8
9
10
11
12
- ,
,
,
- ,
, -
,
,
,
,
,
,
,
:
3
8. 5 6-
-
: ,
272
4
8. -
: ,Google Earth
273
-7
5
7. 2011
//
: ,
274

.-, ., .
2012 12
-7
- 32
48 /
.
, 2012 11- 22-24

: .-1, .2,
.3

: .
2012 12
:

.
.
JEL : F21, F30, F42, G01, G15, G18, E58, E62

: , ,
, , ,
.
2 ,

3 ,
2012 11- - 48
/ , ,
.
276
.-, ., .
I.
1990-
. , ,

.
,
.

. , -
,
.

.

.

.

.

,

, . ,

,
.

.
,
- ,

.

.

,
, .
,
,
277
-7
, ,
.

.

.
,

.

.
: 2-
. 3-

.
4- ,
. 5-
.
II.

2.1
, //
1997
,
.

.
,
,
.
. Claessens (2001)

Moser (2003)
.
Masson- Monsoonal effect
.
278
.-, ., .

,
.
(Moser, 2003).
,

.
(Kaminsky, Reinhardt anh Vegh 2003) .
,
.

.
(Masson 1998),
(Valdes 1997),
(Drazen 1999).

, ,
.

.
(Forbes and
Rigobon 2001).

.

. (Moser, 2003), (Longstaff, 2010).
.

.
. Dornbusch,
Park, Claessens (2010)
Kyotaki
Moore (2002) Kaminsky, Reinhart Vegh (2003)

. Masson (1998)

.

, .

279
-7
. King
Wadhwani (1989)

Goldstein (1998)

.
,
, , .

.

(Longstaff, 2010). , Allen, Gale (2004)
Brunnermeier, Pederson (2009)

. Vldes
(1997)-
.

,

.
Calvo(1999)
.

.

.

.

(Longstaff,
2010).
Acharya Pederson (2005), Longstaff (2008) .

.
ABX Longstaff
(2010)
.

.
280
.-, ., .
2.2

.

.

.
.
,
,
. /
/ //
(Haque, Mathieson, Sharma,1997).
, ,
, ,
(Bachetta , Wincoop 2000, Khan1998, Siregar, Pontines
and Hussain 2010).

. Fratzscher (2011) 2009, 2010
, ,
,
,

.
SEACEN-
. Shrestha
Lim (2009) - 1977-2007 SEACEN-

, ,
. Siregar
et al (2011) 2010 2011 SEACEN-

.
, , ,

. Pontines Siregar (2010)-
, , SEACEN-

. ,

SEACEN
. S&P 100
SEACEN-
281
-7

.
2.3.

,

( )
,

,
. 1

,
.
, ,
//

,

.
,

, . ,
,
,

, .
(Gelos 2011)
,

. ,

,

.
1 - 2002-2007
5%-17%, 3%-6% .
2011 Future of international capital flows
. (Speller, Thwaites and Wright 2011)
282
.-, ., .

- (IMF 2011,
11-29)
. , Broner et.al (Rigobon and
Broner 2005)- ,
/persistence/
/momentum trading/

,
.

,

.
- (2011)

(1- ), (2- )
(3- ) 3

/stylized facts/- .
(Gelos 2011), (Rigobon and Broner 2005)

. :

.

. , ,
,

(Rigobon and Broner 2005).

,
. ,

,

.

283
-7
,
.
,
(Gelos 2011) Calvo (2000)

,

,

.

,

.

, ,
,
(Gelos 2011). ,

.
,
,

. (Gelos 2011)

(Speller, Thwaites and Wright 2011)

.
,
/herding behavior/, /momentum trading/
-

.

/status quo/
284
.-, ., .

,
(Gelos 2011).

,

. ,
.
III.

3.1.
,

(Pontines, Pontines and Lim 2012).
.
1997
,
-
.

.
-

(IMF 2011). , , ,
,


.
, ,


285
-7

, .
,

. ,

,

.

.

, .

-

.
,

,
(IMF 2011).
,
,
.

(IMF 2011).
286
.-, ., .
1.
,
: (IMF 2011)
,

,
,

. Kose et.al (2010)-

,
.

. ,
, ,

,

. ,

,

,

287
-7

. ,
,

. ,

-

.
2.
:
( )
(generally positive feedback loops)
()
(generally negative/balancing feedback loops)
.
: (IMF 2011, 11-29), (Pontines, Pontines and Lim 2012) (Balakrishnan,
et al. 2012)- .

,

.

,

(Pontines, Pontines and Lim 2012). ,
-
288
.-, ., .

.

,

,
. Pontines et. al
(2012)- Chiang-Mai initiative (CMI)
ASEAN+3-
,

.
3.2

. ,
.

. ,

.

,
(, 2011).
,
(Dodd 2004). Khan Reinhart (1995)

.

(Stiglitz, 2000).

(Kaminsky 2005).
,
,
. Mody and Murshid (2005)

.
, .
,
, .
289
-7

, .

, .
, ,
, . -
.
,

. ,
, .
.
, -
.
.
,
.
.
,
,
.
,
, ,
. , ,
.
, .
,
,

.

, . ,
,

.
,
(Grenville,2008), (Kawai Lamberte, 2010).
. ,
.
,
.(Kaminsky,2005).
290
.-, ., .
,
.

. (Kawai & Takagi 2010). -
, . (Easterly et
al. 2000, Ramey & Ramey 1995).
IV.

4.1

.
.
,
, ,
.
,
. (Khan & Reinhart 1995). -
( )
( ) . Ostry et al. (2010)
3- .

.
,

.
.
. ,
,
. .
,
,
. (Ostry et al. 2010).

, (i)
, (ii) , (iii) (
), (iv) ( ) (Ostry et al. 2010l; Kawai
& Takagi 2010). ,
1, 3, 4
. ,

.
291
-7
1: ,

: Ostry et al. (2011)

.
.
,
.
,
292
.-, ., .
.
.
.
(Kawai & Takagi 2010).

.
.
.
,
( )
(Calvo 1991). 1990- ,
, ,
, . (Kawai
& Takagi 2010).
, .

,
.
.
. (Reinhart and Reinhart
1998).
( )
, .

.
.

. ,
, 2 ,
(Schadler 2008). ,
.
.

(Kawai & Takagi 2010). ,
, . ,
. ,

.
,
.
, ,
, ,
(Ostry
et al. 2011).
293
-7

,
- .
- .
,
.
4.2.

.
,
,

, ,
.
,
,
,
,

.

-
.
,

.
,
, .
(IMF 2011) (Lim, et al. 2011)

,

,
. ,
- ()

. : 1) , 2)
294
.-, ., .
3)
-
(hot money)

(IMF 2011).
,
,

,

- . -

,

, ,
,
- (LTV)-
,
(Lim, et al. 2011).
,

,
.

, ,
-
,

(Balakrishnan, et al. 2012).

,
-
()-

(Dheerasinghe 2011).
, , ,
,
-

(Balakrishnan, et al. 2012).

295
-7

, .

, ,

,
. -
, -

.
,
,
(BIS 2011).
4.3

,
.

.
.

(Ariyoshi et.al.2000).

.
.

.

.
,
, .
hot money-

.

296
.-, ., .

.

.

,
.

,
(Bakker 1996, Ariyoshi et.al.2000)
2-

(Ostry et al 2010).
2:
.
: , .. 2010.
297
-7

.
,

.

.

(Ostry,Ghosh, et.al.2011)

.

.
.

,
,
. (Ostry, Ghosh,et al.2010)

,
.

,
(Bakker, 1996), (Ariyoshi et.al.2000). ,

. ,

. (Ostry, Ghosh,et al.2010)

.
,
,
.

(Gallego Butelmann 2000), (Clements Kamil 2009).

(De Gregorio, Edwards and Valdes 2000).

298
.-, ., .

.

.

, .

,
.

,

,
.
.

.

(Ostry, Ghosh,et al.2010)

. ,
.

(Neely, 1999).

. (Reinhart Smith 1998), (Eichengreen, Mussa DellAriccia 1998)

,
.

.
4.4 ,

, .

.
,
,
.
299
-7

. ,
,
.

/2/
(Jeanne, 2010).
, , ,
.

.
, - 30

.

. ,
-

(Jeanne, 2010).

.
,

.

.
,
.

.
,

. ,

. ,

. SEACEN, AMRO,
EMEAP

(Kim, 2010).
300
.-, ., .

.
. , Chiang Mai Initiative (CMI)
, , ASEAN+3
(Guerrero, 2010).

.

.

,

.
, , ,
(Brockmeijer , 2011).
V. ,
5.1
,
.
,

,
.

.

.
,
.

,
.
- ,
.
,
. .

. ,
,

301
-7
.
,
.

,
.

.
,

.

. ,

.

,
.

.
,
, /

.

. ,
,

.

, , ,

.

. ,
,

. ,
,
.
302
.-, ., .
5.2
: ?

?

?

?
?

?
,
?
,
?
?

?
,
,
?
303
-7

Allen, Franklin, and Gale Douglas, Financial Intermediaries and Markets,
Econometrica (Econometric Society), 72, No. 4 , 1023-1061, 2004.
Ariyoshi, Akira, Karl Habermeier, Bernard Laurens, Inci Otker-Robe, Canales-Kriljenko
Ivn Jorge, and Andrei Kirilenko, Capital Controls: Country Experiences with Their
Use and Liberalization, Occasional Paper, International Monetary Fund, No. 190,
May 2000.
Bachetta, Phillippe, and Eric Van Wincoop. Capital flows to emerging markets:
Liberalization, overshooting and volatility. In Capital Flows and the Emerging Economies:
Theory, Evidence, and Controversies, 61-104. Chicago: University of Chicago, 2000.
Bakker, Age F.P. The Liberalization of Capital Movements in Europe. Vol. 29. Kluwer
Academic Publishers, 1996.
Balakrishnan, Ravi, Sylwia Nowak, Sanjaya Panth, and Yiqun Wu. Surging Capital
Flows to Emerging Asia: Facts, Impacts, and Responses. IMF working paper, 2012.
Bevilaqua, Afonso, and Rodrigo Azevedo. Provision of FX hedge by the public sector:
the Brazilian experience. BIS Papers (Bank for International Settlements), no. 24 (May
2005): 119-126.
BIS. Macroprudential Policy A Literature Review. BIS Working Papers No.337
(Bank for International Settlements), February 2011.
Brockmeijer, Jan, et al. Macroprudential Policy: An Organizing Framework.
(International Monetary Fund) March 2011.
Broto, Carmen, Javier Daz-Cassou, and Aitor Erce-Domnguez. Measuring and
explaining the volatility of capital flows towards emerging countries. Documentos de
Trabajo. No.0817 (Unidad de Publicaciones, Banco de Espaa), 2008.
Brunnermeier, Markus K, and Lasse Heje Pedersen. Market Liquidity and Funding
Liquidity. l The Review of Financial Studies (Society for Financial Studies) 22, no. 6
(June 2009): 2201-2238.
Calvo, Guillermo A. Contagion in Emerging Markets: When Wall Street is Carrier.
Draft (University of Maryland), May 1999.
Calvo, Guillermo A. The Perils of Sterilization. Staff Papers - International Monetary
Fund (International Monetary Fund) 38, no. 4 (December 1991): 921-926.
Calvo, Guillermo A, and Enrique G Mendoza. Contagion, Globalization, and the
Volatility of Capital Flows. In Capital Flows and the Emerging Economies: Theory,
Evidence, and Controversies, by Enrique G. Mendoza Guillermo A. Calvo. Chicago:
University of Chicago Press, 2000.
Claessens, Stijn, and Kristin Forbes. International Financial Contagion: An Overview
of the Issues and the Book. In International Financial Contagion, by Stijn Claessens and
Kristin Forbes, 3-17. Boston: Kluwer Academic Press, 2001.
Clements, Benedict J, and Herman Kamil. Are Capital Controls Effective in the 21st
Century? The Recent Experience of Colombia. IMF Working Papers (International
Monetary Fund), February 2009.
De Gregorio, Jose, Sebastian Edwards, and Rodrigo O Valdes. Controls on Capital
Inflows: Do they Work? NBER Working Paper Series 63, no. 7645 (April 2000): 59-83.
Dheerasinghe, Rupa. Relative Effectiveness of Policy Choices During the Global
Financial Crisis in SEACEN Countries. Research Studies (SEACEN Research and
Training Centre), October 2011: 1-124.
Dodd, Randall. Managing the Economic Impact from Foreign Capital Flows.
304
.-, ., .
Discussion Paper, March 22, 2004.

Drazen, Allan. Political Contagion in Currency Crises. NBER Working Papers
(National Bureau of Economic Research, Inc), no. 7211 (1999).
Easterly, William, Roumeen Islam, and Joseph E Stiglitz. Shaken and Stirred: Explaining
Growth Volatility. In Annual World Bank Conference on Development Economics, by
Boris Pleskovic and Nicolas Stern. Washington DC: World Bank, 2000.
Eichengreen, Barry J, Michael Mussa, and Giovanni DellAriccia. Capital account
liberalization : theoretical and practical aspects. Occasional Paper (International
Monetary Fund), 1998.
Forbes, Krstin, and Roberto Rigobon. Measuring Contagion: Conceptual and Empirical
Issues. In International Financial Contagion, by Stijn Clasesens and Kristin Forbes, 4366. Boston: Kluwer Academic Publishers, 2001.
Fratzscher, Marcel. Capital flows, push versus pull factors and the global financial
crisis. NBER Working Papers No.17357 (National Bureau of Economic Research), July
2011.
Gallego, Francisco A, and Andrea P Butelmann. Household Saving in Chile:
Microeconomic Evidence. journal Economa Chilena (Central Bank of Chile) 3, no. 1
(April 2000).
Gelos, Gaston. International Mutual Funds, Capital Flow Volatility, and ContagionA
Survey. IMF Working paper No.11/92 (International Monetary Fund), April 2011.
Goldfajn, Ilan, and Poonam Gupta. Does Monetary Policy Stabilize the Exchange
Rate Following a Currency Crisis? IMF Staff Papers (International Monetary Fund)
50, no. 1 (March 2003).
Goldstein, Morris. The Asian Financial Crisis: Causes, Cures and Systemic Implications.
Washington DC: Peterson Institute for International Economics, 1998.
Gonzlez-Pramo, Jos Manuel. Sovereign Contagion in Europe. Distinguished
Speaker Seminar of the European Economics and Financial Centre, London. November
25, 2011. http://www.ecb.europa.eu/press/key/date/2011/html/sp111125.en.html.
Grenville, Stephen. Central Banks and Capital Flows. Asian Development Bank
Institute Discussion Paper , no. 87 (February 2008).
Guerrero, Rosabel B. Regional integration: the ASEAN vision in 2020. Irving Fisher
Committee Bulletin (Bank for International Settlements), no. 32 (January 2010).
Haque, Nadeem UL, Donald Mathieson, and Sunil Sharma. Causes of capital flows
and policy responces to them. (International Monetary Fund) March 1997.
IMF. Recent Experiences in Managing Capital InflowsCross-Cutting Themes and
Possible Policy Framework. IMF working paper, February 2011: 11-124.
Jeanne, Olivier. Dealing with Volatile Capital Flows. Policy Brief (Peterson Institute
of International Ecnomics), no. P B 1 0 - 1 8 (July 2010).
Kaminsky, Graciela L. International Capital Flows, Financial Stability and Growth.
DESA Working Paper (United Nations: Department of Economic and Social Affairs) 10
(December 2005).
Kaminsky, Graciela, Carmen Reinhardt, and Carlos Vegh. The unholy trinity of
financial contagion. journal Journal of Economic Perspectives (American Economic
Association) 17, no. 4 (September 2003): 51-74.
Kawai, Masahiro, and Mario B Lamberte. Managing Capital Flows: The Search for a
ramework. Northampton: Edward Elgar Publishing Inc. and Asian Development Bank
Institute , 2010.
Kawai, Masahiro, and Shinji Takagi. A Survey of the Literature on Managing Capital
305
-7
Inflows. Asian Development Bank Institute Discussion Paper, no. 100 (March 2008).
Khan, Mohsin S. Capital Flows to Developing Countries: Blessing or Curse? Pakistan
Development Review (Pakistan Institute of Development Economics) 37, no. 4 (1998):
125-151.
Khan, Mohsin S, and Carmen M Reinhart. Capital Flows in the APEC Region.
Occasional Paper 122, March 1995.
Kim, Choongsoo. Coping with volatile capital flows - Koreas experience and the
challenges ahead. BIS Review: Central Bank Speeches and Articles (Bank for International
Settlements), October 2010.
King, Mervyn A, and Sushil Wadhwani. Transmission of Volatility Between Stock
Markets. NBER Working Papers (National Bureau of Economic Research) 3 (March
1989): 5-33.
Kiyotaki, Nobuhiro, and John Moore. Evil Is the Root of All Money. American
Economic Review (American Economic Association ), May 2002: 62-66.
Kose, Ayhan M, Eswar Prasad, Kenneth Rogoff, and Shang-Jin Wei. Financial
Globalization and Economic Policies. Vol. 5, in Hand Books in Economics: Development
Economics, by Dani Rodrik and Mark Rosenzweig, 4332-4345. North-Holland: Elsevier,
2010.
Lim, Cheng Hoon, Rina Bhattacharya, Francesco Columba, and Alejo Costa.
Macroprudential Policy: An Organizing Framework. Edited by Jos Vials. Background
Paper (International Monetary Fund), March 2011.
Lim, Vincent Choon-Seng, and Min B Shrestha. Capital Flows and Implication for
Central Bank Policies in The SEACEN Countries. Research Studies rp76 (SEACEN
Research and Training Centre), 2009.
Longstaff, Francis A. Flight from leverage in distressed financial markets. Unpublished
Working paper (UCLA), 2008.
Longstaff, Francis A. The subprime credit crisis and contagion in financial markets.
Journal of Financial Economics (Elsevier) 97, no. 3 (September 2010): 436-450.
Masson, Paul R. Contagion-Monsoonal Effects, Spillovers, and Jumps Between
Multiple Equilibria. IMF Working Papers (International Monetary Fund), no. 98/142
(1998).
Mody, Ashoka, and Antu Panini Murshid. Growing Up With Capital Flows. Elsevier:
Journal of International Economics 65, no. 1 (January 2005): 249-266.
Moser, Thomas. What Is International Financial Contagion? journal International
Finance (Wiley Blackwell) 6, no. 2 (2003).
Neely, Christopher J. An introduction to capital controls. journal Review (Federal
Reserve Bank of St. Louis), November 1999.
Ostry, Jonathan D, Atish R Ghosh, Karl Habermeier, Marcos Chamon, Mahvash S
Qureshi, and Dennis B.S Reinhardt. Capital Inflows: The Role of Controls. IMF Staff
Position Note (International Monetary Fund), February 2010.
Ostry, Jonathan D, et al. Managing Capital Inflows: What Tools to Use? IMF Staff
Discussion Note, April 2011.
Victor Pontines, and C.S. Lim, Vincent. Global Imbalances: A Primer. SEACEN staff
paper No. 86 (SEACEN Research and Training Centre), 2012: 3-10.
Ramey, Garey, and Valerie A Ramey. Cross-Country Evidence on the Link Between
Volatility and Growth. The American Economic Review (American Economic
Association) 85, no. 5 (December 1995): 1138-1151.
Reinhart, Carmen, and Todd R Smith. Too much of a good thing: The macroeconomic
306
.-, ., .
effects of taxing capital inflows. In Managing Capital Flows and Exchange Rates:
Perspectives from the Pacific Basin, edited by Reuven Glick, 436-464. Munich Personal
RePEc Archive, 1998.
Rigobon, Roberto, and Fernando A Broner. Why are capital flows so much more
volatile in emerging than in developed countries. Central bank of Chile working paper,
2005: 29-36.
Rudiger, Dornbush, Yung Chul Park, and Stijn Claessens. Contagion: Understanding
How It Spreads. World Bank Research Observer (World Bank Group) 15, no. 2 (August
2010): 177-197.
Schadler, Susan. Managing Large Capital Inflows: Taking Stock of International
Experiences. ADB Institute Discussion Paper (Asian Development Bank Institute), no.
97 (March 2008).
Siregar, Reza Y, Vincent C.S Lim, Victor Pontines, Jamiah Jaffar, and Nurulhuda M
Hussain. Capital Flows Management During the Post-2007 Global Financial Crisis:
The Experiences of SEACEN Economies. Staff Papers sp85 (SEACEN Research and
Training Centre), 2011. Siregar, Reza, Victor Pontines, and Nurulhuda Mohd Hussain.
The US Sub-prime Crises and Extreme Exchange Market Pressures in Asia. SEACEN
Staff Paper No.75 (SEACEN Research and Training Centre), 2010.
Speller, William, Gregory Thwaites, and Michelle Wright. The future of international
capital flows. The financial Stability paper No.12 (Bank of England), December 2011:
4-7.
Stiglitz, Joseph E. Capital Market Liberalization, Economic Growth, and Instability.
Elsevier: World Development 28, no. 6 (June 2000): 1075-1086.
Valds, Rodrigo. Emerging Market Contagion: Evidence and Theory. Documentos De
Trabajo Del Banco Central (Banco Central de Chile), 1997: March.
Vayanos, Dimitri. Flight to Quality, Flight to Liquidity, and the Pricing of Risk.
NBER Working Papers 10327 (National Bureau of Economic Research, Inc ), February
2004.
Viral, Acharya V, and Lasse Heje Pedersen. Asset pricing with liquidity risk. Journal
of Financial Economics (Elsevier) 77, no. 2 (August 2005): 375-410.
307
EXCHANGE RATE PASS-THROUGH TO INFLATION

IN MONGOLIA
by Gan-Ochir Doojav1
February 2009
ABSTRACT
This paper examines the impact of exchange rates on the domestic consumer prices in
Mongolia by analyzing data from January 1998 to January 2008. The empirical model
is a recursive VAR, suggested by McCarthy (2000). Impulse responses and variance
decompositions are used to measure the exchange rate pass-through to consumer price
inflation. The paper finds high pass-through of exchange rate to inflation and low
persistence and volatility of the exchange rate. The major findings of this paper are: (i)
the impact of exchange rate on consumer prices is over after about a year months, but
is mostly felt in the 6-7 months. (ii) Exchange rate pass-through to consumer prices
rises from about 10 percent in the fifth month of the shock to about 55 percent in ninth
months. (iii) Exchange rate explains about 7-8 percent of the variation in consumer
price inflation.

Economist at the Monetary Policy and Research Department of the Bank of Mongolia. Opinions expressed in this
paper are of the author and do not necessarily correspond to the opinions of the institution he works for.
Gan-Ochir Doojav
EXCHANGE RATE PASS-THROUGH TO INFLATION IN MONGOLIA
1. INTRODUCTION
The pass-through of exchange rate to domestic consumer price is an important link in
the process of monetary policy transmission. Mongolias economy has a considerable
degree of openness to foreign trade; domestic price level cannot remain immune to
external price shocks that are exchange rate depreciation/appreciation and changes in
import prices. Any depreciation or appreciation of the exchange rate will not only result
in significant changes in the prices of imported finished goods but also imported inputs
that affect the cost of the finished goods and services. So exchange rate movements can
affect domestic prices through changes in the price of the imported finished goods and
imported inputs. In other side, the exchange rate depreciation affects the net exports
which in turn influence the domestic prices through the changes in aggregate demand,
putting upward pressure on domestic prices.
This paper examines the impact of exchange rate on the inflation in Mongolia by
analyzing data from January 1998 to January 2008. The empirical model is a recursive
VAR, suggested by McCarthy (2000). Impulse responses and variance decompositions
are used to measure the exchange rate pass-through to inflation.
This paper is organized as follows. The next section describes the methodology adopted
for the analysis and the data coverage, its sources and preliminary statistical properties.
The results from the impulse responses and variance decompositions are presented in
section 3, and section 4 concludes.
II. METHODOLOGY AND DATA
To examine the pass-through of exchange rate to consumer prices, this paper utilizes
a recursive VAR approach proposed by McCarthy (2000). The model is based on five
oil
CPI
variables in the following order: y e
M 1 and the structural
shocks are recovered from the VAR residuals using the Cholesky decomposition of
variance-covariance matrix.
The VAR considers the following set of variables:
[1]
xt = toil , yt , e, CPI
, M 1
t
oil
where all variables are expressed in coefficients. t is oil price inflation, which is used
as a proxy for supply shock; yt is growth in monthly GDP2 (seasonal adjusted), which
CPI
is used as a proxy of demand shock; et is change in nominal exchange rate; t is
consumer price inflation, M 1t is growth in narrow money.
Shocks in the VAR system are identified in accordance with a recursive VAR specification
in the following manner:
[2] t = Et 1[ t ] + t

oil
y
[3] yt= Et 1[ yt ] + 1 +
oil
oil
oil
2 The monthly GDP is calculated from quarterly GDP using Kalman filter (State Space Model).
309
-7
[4]
e=
Et 1[et ] + 1 toil + 2 ty + te
t
[5]
CPI
= Et 1[ CPI
] + 1 toil + 2 ty + 3 te + tCPI
t
t
[6]
M 1t = Et 1[M 1t ] + 1 toil + 2 ty + 3 te + 4 tCPI + M 1
Where t , and t are the supply, demand and exchange rate shocks respectively;
tCPI and M 1 are the consumer price inflation and money supply shocks; the time
period t corresponds to one month; and Et 1[] is the expectation of a variable based
on information set at the end of period t-1. The conditional expectation in equations
[2] through [6] which can be replaced by linear projections based on lags of the five
endogenous variables. Also the shocks are assumed serially uncorrelated as well as
uncorrelated with one another within a period.
oil
Data used in this study is monthly from January 1998 to January 2009, thus giving me
a total 108 observations. The sources of the data for all variables except international oil
prices is the statistical bulletin of the Bank of Mongolia and National Statistical Office,
while international oil prices are taken from Official Energy Statistics from the U.S.
Government1.
Before estimate of recursive VAR, it is important to establish the order of integration of
the series involved and then select the optimal lag length of the VAR model. The ADF
unit root test is used to determine stationary of variables in the system, which suggests
that all variables have I(0) order of integration at 5% significance level (see Appendix 1).
The reduced-form VAR is estimated with 3 lags, which is based on VAR lag exclusion
Wald tests (see Appendix 2).
III. EMPIRICAL RESULTS:
DECOMPOSITION
IMPULSE
RESPONSES
AND
VARIANCE
The result of impulse response functions are described in the Figure 1, from which it
may be seen that the exchange rate pass-through to inflation is relatively high which
is consistent with estimates reported in other studies of the pass-through in Mongolia
(L.Davaajargal (2005); and .Khulan (2005)). The consumer prices (CPI) respond
rising for 4-9 months after a depreciation shock to exchange rate. The inflation impulse
response is significantly different from zero at the 5% significance level for the 6-7
months. Also the impulse response function indicates that 1% monthly depreciation of
exchange rate increases monthly inflation by 0.2 percentage points after 5-7 months.
1 Official web site of Energy Information Administration of USA ( www.eia.doe.gov).
310
Gan-Ochir Doojav
Figure 1. Impulse Response of Consumer Prices to Innovation in Exchange Rate
Cumulative pass-through coefficients are obtained by dividing the cumulative impulse

responses of CPI after j months by the cumulative response of the exchange rate shock
after j months2. The model estimates suggest that the exchange rate shock has a relatively
slow effect on consumer prices (after 4 months). By the end of the fifth month after the
shock, consumer price has risen by 10 percent of the exchange rate depreciation shock.
The impact of exchange rate shock on consumer price increases untill the ninth month,
by which time 55.0 percent of the depreciation shock seems to have passed through to
consumer price (Figure 2).
Figure 2. Estimated Cumulative Pass-Through Coefficients
Months after impulse
, where
is the cumulative change in the price level and
change in the nominal exchange rate between months t and t+j.
is the cumulative
311
-7
Impulse responses of consumer price and exchange rate to other shocks are presented in
the Appendix 3 and Appendix 4, respectively.
The Pass-through coefficients provide information on the impact of the exchange rate
on the levels of the CPI, they do not indicate hw important exchange rate shocks have
been in inflation fluctuations. The variance decomposition decomposes variation in CPI
inflation into the shocks to the endogenous variables in the VAR model.
Figure 3. Variance Decomposition of Monthly Inflation: Percentage of Forecast error
variance1
Figure 3 presents the percentage of the monthly inflation forecast variance attributed to
the various shocks. Variance decomposition of monthly inflation show that the exchange
rate shocks explain 7.0-8.0 percent of monthly inflation after 8-9 months. The remainder
of the variance of monthly inflation is explained by its own innvations (about 60.0-70.0
percent) and innovations to petrol price (13.0-16.0 percent), and to the other variables.
IV. CONCLUSIONS
Using impulse response functions and variance decompositions derived from a recursive
VAR model, the paper finds that exchange rate pass-through to consumer prices
rises from about 10 percent in the fifth month of the shock to about 55 percent in
ninth months. The exchange rate shocks explain a relatively high percentage of the
variation in monthly inflation and other domestic shocks likely play a significant role on
inflation. These results, which show a high exchange rate pass-through to inflation, has
a complication for monetary policy implementation.
1 The following Cholesky ordering was used in the variance decomposition: DLOG(WOIL_P) DLOG(GDP_SA)
DLOG(ER1) DLOG(CPI) DLOG(M1), Standard Errors: Monte Carlo (100 repetitions).
312
Gan-Ochir Doojav
REFERENCES
Bhundia, Ashok J (2002), An Empirical Investigation of Exchange Rate Pass-Through
in South Africa, Working Paper No. 02/165, IMF.
Leigh, Daniel, Rossi, Marco (2002), Exchange Rate Pass-Through in Turkey, Working Paper No. 02/204, IMF.
McCarthy, Jonathan (2000), Pass-Through of Exchange Rates and Import Prices to
Domestic Inflation in Some Industrialized Economies, Staff reports No.11, Federal
Reserve Bank of New York.
Nombulelo Duma (2008), Pass-Through of External Shocks to Inflation in Sri Lanka,
Working Paper No. 08/78, IMF.
Peter Rowland (2003), Exchange Rate Pass-Through to Domestic Prices: The Case of
Colombia, Working paper, Banco de la Republica.
Zulfiqar Hyder, Sardar Shah (2004), Exchange Rate Pass-Through to Domestic Prices
in Pakistan, working paper 5, State Bank of Pakistan
313
-7
Appendix 1. Unit Root Test: ADF test
Lags
1
Level
t-Statistic
-3.17
Prob.*
0.09
Lags
0
1st difference
t-Statistic
-5.93
12
-3.05
0.12
11
-2.82
0.05##
-4.16
0.01#
-33.7
0.00#
-2.30
0.49
-8.90
0.00#
-2.20
0.19
-4.86
0.00#
Prob*
0.00#
Note: *MacKinnon (1996) one-sided p-values. #, ## indicates that H0 hypothesis (unit

root) is rejected at 1%, 5% significance level, respectively.
Appendix 2. VAR Lag Exclusion Wald Tests
VAR Lag Exclusion Wald Tests
Date: 02/28/09 Time: 12:33
Sample: 1998M01 2009M01
Included observations: 128
Chi-squared test statistics for lag exclusion:
Numbers in [ ] are p-values
DLOG(WOIL_P)
DLOG(GDP_
SA)
DLOG(ER1) DLOG(CPI)
DLOG(M1)
Joint
Lag 1
12.33038
[ 0.030531]
51.77727
[ 5.99e-10]
42.98962
[ 3.71e-08]
27.71592
[ 4.14e-05]
9.283988
[ 0.098259]
131.5989
[ 2.22e-16]
Lag 2
8.470158
[ 0.132157]
16.60839
[ 0.005306]
7.339481
[ 0.196592]
8.664617
[ 0.123213]
3.286822
[ 0.655860]
49.24150
[ 0.002640]
Lag 3
8.346772
[ 0.138132]
2.900195
[ 0.715370]
5.677544
[ 0.338870]
19.50927
[ 0.001544]
2.864226
[ 0.720908]
38.75977
[ 0.038933]
Lag 4
0.920195
[ 0.968742]
16.18467
[ 0.006336]
1.512118
[ 0.911667]
4.898104
[ 0.428442]
7.536462
[ 0.183700]
30.38485
[ 0.210202]
df
25
314
Gan-Ochir Doojav
Appendix 3. Impulse Response of Consumer Prices to Other Shocks
315
Appendix 4. Impulse Response of Exchange Rate to Other Shocks
316
-7

Sudalgaanii Ajil Tovhimol 7.pdf Sudalgaanii Ajil Tovhimol 7 PDF

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Sudalgaanii Ajil Tovhimol 7.pdf Sudalgaanii Ajil Tovhimol 7 PDF

Uploaded by

Copyright:

Available Formats

- 7

: Kokoszczynski Lyziak (2009)

: Kokoszczynski Lyziak (2009)

: Kokoszczynski Lyziak (2009)

: Kokoszczynski Lyziak (2009)

copper_l lag3 -0.022995 -1.223626 0.231665

Nobs, Nvars = 44, 17

copper_l lag1 0.004463 0.614196 0.542322

fis_sa_l lag3 0.000099 0.087929 0.930342

variable 1 lag3 -0.000868 -0.014629 0.988395

Mean dependent var

1.067179 Prob. F(2,20)

0.742941 Prob. F(12,16)

Mean dependent var

0.817266 Prob. F(2,20)

1.642284 Prob. F(12,16)

CAB = Y - (C+I) = (S-I)

(1) (Sp- Ip) > 0

(Sg- Ig) < 0

|(Sg- Ig)|>|(Sp- Ip)| CAB < 0

(2) (Sp- Ip) < 0

(Sg- Ig) < 0

(3) (Sp- Ip) < 0

(Sg- Ig) > 0

|(Sp- Ip)| >|(Sg- Ig)| CAB < 0

GNDIg Cg Ig= Sgg (2)

GNDIp Cp Ip= Sp Ip (4)

GNDIb Cb Ib= Sb Ib=0

NEO = OINf (7)

: GNDI , S-, I- , CAB-

: *, **, *** 10%, 5%, 1%- . []-

***, **, * 1%, 5%, 10%-

Cross section fixed effect test (F)

***, **, * 1%, 5%, 10%-

17.0% 15.0% 17.0% 15.0% 11.0% 10.0% 10.0%

20.0% 20.0% 16.0% 17.0% 15.0% 13.0% 14.0%

6.0% 10.0% 13.0% 13.0% 14.0% 21.0%

20.0% 29.0% 19.0% 13.0% 11.0% 5.0%

96.0% 100.0% 97.0% 95.0% 87.0% 88.0% 89.0% 104.0%

11.0% 13.0% 13.0% 14.0% 18.0% 22.0% 23.0%

9.0% 13.0% 5.0% 10.0% 27.0% 11.0%

3.0% 13.0% 14.0%

102.8 116.7 133.4 137.5

14.0% 18.0% 19.0% 18.0% 24.0% 27.0% 30.0%

59.0% 68.0% 67.0% 69.0% 72.0% 73.0% 76.0%

50.0% 48.0% 50.0% 50.0% 53.0% 58.0% 61.0%

0.0% -1.0% 2.0%

0.2% -1.2% 0.1%

-2.0% -0.1% -0.6% -1.3% 1.3%

8.0% 12.0% -1.0%

Mean dependent var

0.864812 Mean dependent var

0.949186Mean dependent var

0.882337Mean dependent var

Cross-section fixed (dummy variables)

0.974601Mean dependent var

0.887671Mean dependent var

Ceccheti (1995), Hubbard (1995)

: Briguglio et al. (2008).

(Stock & Watson

Ocampo, JA 2008, Macroeconomic Vulnerability and Reform: Managing Pro-Cyclical

Barro Sala-i-Martin (1995)

. Sala-i-Martin Robert Barro

: , , 10%, 5%, 1%- . []-

, , 1%, 5%, 10%-

, , 1%, 5%, 10%-

: . (-99%, -95%, -90%- )

: . (-99%, -95%, -90%- )