ISSN 87-381 15. 1
15. 1
13 1 1.3 1. 1.8 1.5 1. 1.1 () 1.5 1..1 1.8 1.7 1.3 () 1..7.6...3 (). 1.5 3.6 3.3.9. 6.3 5.5 5.5 5.3.9.9 ().6.3.. 1.6 1. i
6 5 6 5 5 5 3 3 3 3 1 1 1 1-1 -1 13 1 1).6..3.1.3. ) 1.9 1.7 1.8 1.6 1.8 1.5 3).5..3...5 1.3 1.3 1. 1. 1. 1. ii
13 1 <1.> 1.3 1.3 1. 1. 1. 1. <77.6> -.1 -. -.3 -.1 -.3. <.1>. -.5 -.5 -. -.5 -. <36.6>.3..6.3.5. <56.7> -. -. -.1 -.3 -. -. <69.9>.5.7.7.6.8. <71.8>..3.3.3.3. <9.>....1..1 <56.8>.8.9.8.9.9.9 <311.>.5.5.5.6.6.6 13 1 3. 3.3 3.7 3. 3..7 ().5. 3.7.7 1.7 -.3 1).8..8..5 1.5 ) 3.9.3..1 1.5.3 3) -3.5-8.3.8-17. -.3-9.6 ) -1. -. -.7-5.3-3.1-7.5 / -.8-3.8 -.8 -.8-7.8.3 -.6 -.7-3.5-1.9-3.3 -.3 5)..1.9 1..5.7 iii
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6 6 5 5 1. 1. 1.3 1..5 1.9.6 [.6] [1.9] [1.].1 1.9...8.6. [1.7] [.] [1.9] 1.7 1.7 1.7..9.6.3 [1.6] [.1] [1.8] 3 1 3 1 v
3 3 1 1 vi
5 15 1 5 5 15 1 5 vii
viii
13 1 15 e) 16 e) GDP 3. 3.7 3. 3.3 3. 3.7 3. 3.7.. 1. 1.7.3.8.6.9-1.5 7.5. 5.9 7. 5. 6. 5.7 7.3 6.5. 5.3 6.7 7. 7. 7.3 6.7 1.9.3 1.1.7 3.8 3.3.3.5 3.7.7. -. 7. 3. 3.9 1..3.3 1.3.9 6. 3.. 3
1.5 1.5 1. 1..5. -.5-1. -1.5 -..5. -.5-1. -1.5 -. 13 1,561,613,587,636,67,65 () 61. 61.9 61.5 6. 6.7 6.,76,538,57,535,585,56 (9.) (8.1) (38.6) (59.7) (6.9) (53.3) 17 18 3 36 33 (1.) (3.8) (7.9) (13.) (16.) (1.6) 1,733 1,768 1,75 1,78 1,85 1,793 (.5) (3.1) (31.8) (7.8) (36.9) (.3) 59. 6.1 59.5 59.8 6.6 6. <59.3> <59.8> - <6.> <6.3> - 3..9 3.1 3.8 3.3 3.5 <3.> <3.1> - <3.6> <3.5> - 3 - - - - 1.5 -
15 1-15 -3 39 5 9 8-7 13 1 68. 6.5 65. 6. 6.3 6. 5
1 15 e) 16 e) 1) 53 38 (.1) (1.6) (1.5) 3.5 3. 3.3 ) 6. 6.7 61.1 [65.3] [66.1] [66.7] 13 1 1) 3.9.3. 1.5.3 ) 3.8..5 1. 3.9. 3. 3. 3..9 1.7 9.1 8.7 1.7 6.6 1.8 -.7-3.1-9.9 8.3 6.5.3 1. -1.5-1. 3).7 3.7.7 1.6 5. 3) 6. 3.1.3 3. 7.5 3) 1.5 1. 1. -.1 6.1 3) 1.9.3.3.3 1.7 3) 1..3 1..3 3.7 3)..5 1.6 3.9 3.6 3)..1 -.7 1.7.7 6
6 16 5 1 8-3 1 13 1 ) 1.1 99. 1.6 11. (.6) (.) (.7) (1.) 16. 1.1 18. 16.1 (1.5) (1.7) (.9) (1.7) 16.1 15. 15.5 15. (-1.) (1.5) (-1.8) (.) 1.1 1.6 13.3 11. (-.1) (-1.1) (1.) (.7) 17.8 15.8 19.6 15.3 (.3) (.6) (.3) (1.) 15.6 15. 16.1 13.9 (.) (1.7) (-1.) (.5) 1.1 99.9 1.9 1.8 (.8) (.) (3.6) (.3) 16.3 1.9 18. 18.3 (1.) (1.9) (1.) (.6) 16. 15. 15. 15. (-1.) (1.6) (-.) (.) 91.8 81. 9.8 87.1 (11.8) (6.6) (-.5) (-3.9) 97.9 85.7 13. 93. (1.1) (6.6) (.1) (-1.9) 16.6 15.3 18.9 16.8 (-1.5) (.) (.6) (.) 7
3 8 18 1 16 1 8 6-6 -1 - -8-18 - 13 1-6.7 1. -6.7-9. -6.8-9. 7.5 79.9 7.5 13.1 8.7 13.1 51.1 5. 51.1 5.9 7. 5.9 13 1 M.8 6. 5.6 7. 7.1 7.9 Lf 6.9 6.9 6.5 7. 7.1 7.7 8
1 9 8 7 6 5 1 9 8 7 6 5 1 13 1.8.88.86.87.68.3.1.77.5.5.9.9..3.89.69.66.65.65.35.13 5 3 1 1.6 1..8.. -. 9
15 15 1 1 5 5-5 -5 13 13-1 -1 1 11 1 11-15 -15 1 1 9 9 8 8 7 6 5 7 6 5 1
9 9 88 86 8 8 8 13 1 11 1 9 8 7 6 78 5 6 55 38 36 5 5 35 3 3 3 3 8 EIA 68.1-98.9 66. 75. CERA (96.5) (63.3) (7.6) OEF 69.1 8.5 1 15 e) 16 e) 11
658 715 7 1,136 1,8 1,75 7 77 75,66,7,73 68 7 713 1,136 1, 1,58 69 8 83,8,,53 18 8 1/13 13/1 e) 1/15 e) 5 5 3 3 1 1-1 -1 - - 1
-1 1.8 9 1 11 1 Dubai 11.9 96.6 86.8 77.1 6. (1.5) (95.) (8.3) (69.1) (53.6) Brent 13. 98.6 88.1 79.6 63.3 (13.) (9.7) (85.9) (7.) (57.3) 13
6 1 5 3 1-1 5-5 =c+ + GAP + Oil + Dum^Oil + EXR + AGR + GAP Oil EXR AGR Dum c 1
5.. -5. -1. -15. -. 5.. -5. -1. -15. -. 1,6 1,5 1, 1,3 1, 1,1 1, 9 1,6 1,5 1, 1,3 1, 1,1 1, 9 8 8 15
.. 1 1 1.5 1.5 8 8 1. 1. - -.5.5-8 -8.. -1-16 -1-16 16
3 3-3 -6-9 -3-6 -9 1 11 1 3 1-1 -1 9 8-1 7-17
13 1.7.8.7.8.9.7.5 3.9.8.9 3..5 3.8..7 1.8.7.9 6. 6. 7.9.9 5..8 1..8.9.7.8.6 18
8 8 13 1..1.9 1..5.7-1. 1.3.5.8..5-1.3.8..6..3 7 6 5 7 6 5.7 3.5 1.6 1.9.8 1.1 3 3 5 15 1 1 9 6 3 5 19
13 1 5.7 3.8.1 1.7.7.9 7..6.6..9 1.1 6.8.3. 1.8.8 1.. 3. 1.6 1.6.7.9 3 5 3 5 15 15 1 1 5 5
1 1.8 8 8 15.7 6 6 1 5.6.5. 13 1 1
5 3 5 3 1 1
6 5 3 1-1 1 8-6 7 6 5 3 1 7 6 5 3 1 e =c+ e + D + D + ecm + ir e ecm ir D D D =1 D =1 3
1 8 6 1 8 6 13 1 1.3 1. 1.8 1.5 1. 1.1 1.5 1..1 1.8 1.7 1.3 1..7.6...3. 1.5 3.6 3.3.9.
13 1 6.3 5.5 5.5 5.3.9.9 ().6.3.. 1.6 1. () 5. 5.8 6. 6.6 6.6 6.6 () 6.8 6. 7.6 7.7 8.3 9.1 () 1.1 8. 8.1 7. 5.5. 1 1-1 - -3 - -1 - -3 - -5-5 3.8 3.9 3.8 1.6 1.8...1.1.5.9 1..7..6 5.5 5.6 5..3.5 3. 6.3 5.9 5.6 7. 7.3 6. 7.8 7.5 6.7 1 e) 15 e) 16 e) 5
6 5 6 5 3 3 1 1-1 -1 9
- - -6-8 -1 - - -6-8 -1 13 1 <1. 1.3 1.3 1. 1. 1. 1. (1.1) (.8) (1.1) (-.3) (.3) (-.5) 77.6 -.6 -.7-3.5-1.9-3.3 -.3 (-.) (1.) (1.1) (-.1) (.8) -.8) <.1> -1. -1. -11.6-8. -1.5-6. (-11.3) (-.1) (-3.3) (-.8) (5.8) -6.) <.> -.9 9.5 11.5 7.6 7.8 7.5 (7.8) (8.) (8.) (-.) (.) (-.) <11.3> 1.3. 1.1.8 1.5. (1.) (.5) (.) (.1) (-1.) (3.3) <36.6>.9 1.3 1.8.8 1.6 -.1 (1.6) (-.6) (.7) (-1.3) (-.3) (-1.) <56.7> -3.3 -.3 -. -6. -.5-8. (-3.1) (-11.) (-.9) (-1.6) (-.8) (-8.1) <69.9> 1.8..7..8 1.6 (.6) (1.5) (1.) (.) (.) (.3) <71.8> 3. 3.7 3.8 3.6. 3. (3.) (.7) (.3) (.) (.6) (-.) <51.6> -.1 -..3-1.1 -.6-1.6 (.3) (-1.) (-.1) (-1.3) (-.7) (-.6) <9.>.5 3.9.8.9 3..5 (.6) (.1) (.3) (-.) (-.3) (.) <56.8> 1.5 1.6 1. 1.7 1.7 1.6 (1.3) (1.6) (1.) (.) (.3) (.1) <9.8>.7.3..3.3. (.5) (.) (1.) (1.) (.) (.6) <1.6>.7.8.7.8.9.7 (.7) (.6) (.7) (-.1) (-.) (.1) <311.> 1.6 1.7 1.5 1.9 1.9 1.8 (1.) (1.8) (1.) (.) (.5) (-.1) <119.> 1.5 1. 1.3 1.5 1. 1.6 (1.6) (1.7) (.8) (.8) (.6) (.3) <887.> 1.6..1 1.9. 1.7 ) (1.9) (1.6) (1.3) (.) (.) (.) <76.8> 1.5 1.7 1.7 1.7 1.9 1. 3) (1.6) (1.) (1.) (.) (.) (.) 3
5 3 1 5 3 1 13 1 1).6..3.1.3. ) 1.9 1.7 1.8 1.6 1.8 1.5 3).5..3...5 1.3 1.3 1. 1. 1. 1. 31
1 1 8 6 1 1 8 6 - - - - -6 13 1 <1.> -1.6 -.5 -.3 -.7 -. -1.3 <78.5> -.5-1. -1.1-1.7-1. -. () <31.5> -6..7.1 1. -..6 () <59.> 5.7 5.3 6.3.3 5.1 3.6 ( ) <615.> -3. -.1-1.8 -. -1.6-3. <91.5>. 1.5 1.5 1.6 1.8 1.5-6 5 15 1 5-5 -1-15 5 15 1 5-5 -1-15 3
13 1 <1.> -.3-6. -6. -5.9-8. -3.5 ) <1.> -7.3-7.5-5.8-9.3-9.1-9.5 [-3.6] [-3.] [-.9] [-6.] [-1.6][-1.3] ( ) <361.> -7.8-9.8-5. -1.8-11. -18.5 ( ) <53.1> -7.8-7. -7.3-7.5-8.7-6.3 ( ) <185.5> -.6-3.3-3.6-3. -5.8 -.1 3).9. 5.1 3. 8. -. 1 1 8 6 - - -6-8 -1 8 6 - - -6-8 -1 13 1 GDP.7.7.7.3 1....7.8.6.8.8.9.7 ( ) 1. 1.1.8 1. 1.1 1. 1. ( ) -.3-1.9 -.8 -.8-1.6-3.3-3. -.8-6.1-3.6-6.1 -. -8. -7.7 33
-1 3
8 6 8 6.8.6.8.6.... - - t ti GDP GDP 3.*. 1.68 1. p /pø q /qø 35
5 6.8. GDP 1. -.1 ( ) 1). 1. ( ) -6.3-5. / ) 11.7 7. 36
13 1 <1.> 1.3 1.3 1. 1. 1. 1. <77.6> -.1 -. -.3 -.1 -.3. <.1>. -.5 -.5 -. -.5 -. <.>...... <11.3>...... <36.6>.3..6.3.5. <56.7> -. -. -.1 -.3 -. -. <69.9>.5.7.7.6.8. <71.8>..3.3.3.3. <51.6>... -.1. -.1 <9.>....1..1 <56.8>.8.9.8.9.9.9 <9.8>...... <1.6>.1.1.1.1.1.1 <311.>.5.5.5.6.6.6 <119.>...... 37
13 1 3. 3.3 3.7 3. 3..7 ().5. 3.7.7 1.7 -.3 1).8..8..5 1.5 ) 3.9.3..1 1.5.3 3) -3.5-8.3.8-17. -.3-9.6 ) -1. -. -.7-5.3-3.1-7.5 / -.8-3.8 -.8 -.8-7.8.3 -.6 -.7-3.5-1.9-3.3 -.3 5)..1.9 1..5.7 38
35 3 5 15 1 1 1 5 8 6 16 1 8 8 6-39
13 1 1 1. 1. 1.3 1..5 1.9.6 [.6] [1.9] [1.] 11.1 1.9...8.6. [1.7] [.] [1.9] 1.7 1.7 1.7..9.6.3 [1.6] [.1] [1.8] 1-1 9 -
3.5 3..5. 1.5 1..5. 3.5 3..5. 1.5 1..5.. 3.. 1.. -1.. 3.. 1.. -1. 1
5 3 5 3 6 6 1 1 5 5 3 3 1 1
3 3 1 1 13 1 e) 15 e) IMF IMF OECD IMF OECD 3.3 3.3 3.3 3.8 3.7 1. 1.8...3..... 3.1 3.1 -..8.8 1.3 1.1 1.5.9..8.8.7... 5... 7.7 7. 7.3 7.1 7.1 5
6. 5.. 3.. 1. 1.5 1..5.. 6
6 5 3 1 6 5 3 1 7
. 1.3 1.3 3.3 3.1 -.6 -.7 5.9 ( ) 8.8-1. -1. 6..8.9 1.3.3 ( ) 3.7-3.3 -.3 7. 1. 1.5 1.6. 1.6 1.6..9 3.7 3..8 3.7 1 (91.11~93.7) 1 6.% (9.8~97.3) 3.9% 3 (98.~.) 5 3.% (1.6~3.7) 6 3.3% 5 (.9~7.6) 3.6% 6 (8.9~1.5) 1 3.1% 7 (11.8~) 1 1.9% 9 3.% 51
.7. 1. 1.6 ( ) 3..1 1.5 1.7 ().7.5 1.3.5 7.3 6.1 5.9 5.5 ( ) 5..7.6. ( ) 6.6 5. 6. 6. 1-1 - 1 8 6 / ) 1.7-6. 5.1-1.6 )3) -8.6 3. -7.1 -.6 GDP -.5 -.3 -. -1.1 ).6 3.1 3.1 1.6 5
15 1 15 1 13 11 5 5 5 5 9-5 -5-1 -1-15 -15 - - 7 5-5 -5 53
3. -6. -.9-3.9 -.1.9 -.6 -.11 -. -. 5. -8.6 -.5-6.1 -.3 1.9 -.5 -.3 -.5 -.3 -.8 -.1 5
. 1.. -1.. 1.. -1. -. -. -3. -3. -. -. 55
1 8 6 1.5 1. 9.5 9. 8.5.1 3 1.8 1.5 1. 1.9 56
7 6 5 3 1 3 1 7 6 5 3 1 6 - - 57
5 15 1 5 5 15 1 5 58
59
63
6
6 1 8 - - - -8-6 -8-1 -16 35 3 35 3 5 5 3 1-1 - - 3 1-1 15 15 1 1 5 5 65
15 1 5 55 15 5 1 5 3 35 5-5 5-1 -15 1 15-5 66
9 6 3 - -3-6 -9 - -6-8 3,8 3,6 3 3 3, 8 3, 6 16 1 1 1 8 16 1 1 1 8 3, 67
6, 6, 7 6 1 8 6 1 8 6 5,8 5 5,6 - - 5, 3 - - -6-6 6 6 - - 68
3 8 6 55 5 5 1 1 8 6 8 6 69
5 7 1 1 1 6 8 6 5-1 3-7
3. 3..5.5 3 3.. 1.5 1.5 1 1 1. 1..5.5-1 -1.. 13. 3-1.% 1. -.% 1. 7 -.5% 71
6 6 6 6 5 5 - - - - 3 3-6 -6 7
15 1 15 1 1.5 1. 1.5 1. 5 5.5.5.. -5-5 -.5 -.5-1 -1-1. -1. -15-15 -1.5-1.5 73
5 5 5 5 3 1 3 1 3 1 3 1-1 -1 - - -1-1 -3-3 - - 8 8 6 6 - - 7
3 1 3 1-1 -1 75
76
77
78
1 Autoregressive AR Autoregressive Fractionally Integration Moving Average ARFIMA 3 AR Smoothing Threshold Autoregression STAR Self Exciting Threshold Autoregression SETAR 5 Autoregressive model with exogenous variable ARX 6 Principal Component Analysis PCA FM(factor model) 7 Sparse Principal Component Analysis SPCA 8 Bootstrap Aggregating Bagging SM(shrinkage model) - 9 Boosting Boosting Ensemble 1 Support Vector Regression SVM 11 Ridge Regression Ridge 1 Least Absolute Shrinkage and Selection Operator LASSO 13 Least Angle Regression LARS SM(shrinkage model) - 1 Forward Stagewise Regression FS Penalized Regression 15 Stepwise Regression SW 16 Elastic Net EN 17 Nonnegative Garrote NNG 18 Random Walk RW 19 Moving Average MA Distributed Lag Model (Bivariate) CADL 1 Bayesian Model Selection BMA 79
8
Ridge CADL STAR PCA MSFE.9.967.97.971 All AR FM Ens. P. R. Best1 Best5 Best1 Best 81
8
5 15 1 5 5 15 1 5 8 7 6 5 3 1 8 7 6 5 3 1 83
1 1 1 8 6 1 1 1 8 6 8
85
86
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