Инфляци, ДНБ, мөнгөний нийлүүлэлт хамаарал
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-
, ,
: . -
: . /- 3/
. /- 2/
2012
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1.
, .
,
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1100 , ,
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2012 1
, 2013 8%- .
2012 10 0.6%, 12.9%,
15%
.
,
.
2.
2.1 : 2013 8%-
,
-
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-2 ., -3 . 3
2.2
2012 1
, 2013 8%-
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2.3 : .
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, ,
. ,
.
2.4 , :
www.worldbank.org /data bank/
www.mongolbank.mn
www.nso.mn
/2001-2011/
/2001-2012 10 /
2.5 :
. ,
.
,
.
. /Howitt 1990/.
,
.
.
.
-
, ,
-2 ., -3 . 4
Feldstein /1996/
.
. ,
.
.
.
58
1960- 1990 -0,25
5%- . Barro (1991), Cozier Selody (1992),
Fischer (1993)
.
Ghost Phillips /1998/ 10-20%
40-50%
. (3%)
. Burdekin Ali /2004/
.
/2007 /. ,
. 17
1958-
1967 (8%- ) .
7
. /Thirwall Barton, 1971/.
Grimes /1991/ 0- 9%
1%- . 5- 50%
1-1.5%- .
-
, ,
-2 ., -3 . 5
2.5.1 :
Inflation, Money and Economic growth in Cameroon Henri Ngoa Tabi (December 29,
2010)
M2- -
.
Relationship between Inflation and Economic growth in FIJI Vokesh Gokal, Subrina
Hanif (December 2004)
2.6 :
. ,
.
,
1991 2011 VAR (Vector Auto Regression)
.
.
.
2.7
. ,
2013
.
. ,
, ,
VAR .
.
-
, ,
-2 ., -3 . 6
3.
3.1
()
. 1987 "-
,
" .
.
=
=1 0
0=1
100
- , t- , 0- , Pt- 'i'
, P0- 'i' , Q0- 'i'
() , -
3.2
M (MD) (MS)
.
.
(MD)=(MS)
,
.
3.3
, ( , , )
. :
-
, ,
-2 ., -3 . 7
GDP=(X-M)+G+C+I
GDP- , X- , M- , (X-M)- ,
G- , C- , I-
3.4 ARIMA, VAR
1990-
, ,
.
.
, , .
. ,
, arkup , , ,
, ARIMA .
ARIMA,
, . Box-Jenkins- ARIMA
, ,
. .
ARIMA , .
Christopher Sims (1980)
(VAR) . VAR n-, n-
n-1
.
. VAR
, , , .
, VAR
(J. Stock
M. Watson 2001)
. ,
, .
-
, ,
-2 ., -3 . 8
,
(1) .
PIB t= f (M t, P t)
M t= f (PIB t, P t)
P t= f (M t, PIB t)
(1)
PIB- , M- , P-
exogenous endogenous t t-1
. (1) VAR
(2) .
= +
=
+
=+
+
=+
+ +
= +
=
+
=+
+
=+
+ +
= +
=
+
=+
+
=+
+ +
(2)
(2)- , 'i' , 'n' ,
'e' , 'D' ,
.
:
[
] = [
010203
+
11 12 1321 22 2331 32 33
] [111
] + [123
] + [
123
]
(3)
-
, ,
-2 ., -3 . 9
3.5
( )
( )
.
.
,
.
.
:
= 1 + 21 + 33 +
Y- , 1- , 2- , X- ,
u-
, ,
2- .
.
= 1 + 2 + 32 +
Inf- , 1- ,
2- , GDPP- , 2-
, u-
-
, ,
-2 ., -3 . 10
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
92 94 96 98 00 02 04 06 08 10
DLINFLATION
-200
-100
0
100
200
300
92 94 96 98 00 02 04 06 08 10
DINFLATION
4.
2 . 1-
- 2013 / ,
ARMA / 2- , ,
/VAR / .
4.1
.
1992
2
. - 20
2000-2002 ,
. 2008-2009
.
52.7
325.5
183
66.353.1 44.6
20.56 10 8.1 8 1.6 4.7 11 9.5 6.2
17.8 22.14.2 13 10.2
0
50
100
150
200
250
300
350
1991-2011
-
, ,
-2 ., -3 . 11
2012 10 0.6%,
12.9%, 15%- .
.
2005 .
5
5- 1992-94 , 2008-10
. 1992 20- , 2008
.
.
0
1000
2000
3000
4000
5000
6000
2005
GDP
-
, ,
-2 ., -3 . 12
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
1.2
92 94 96 98 00 02 04 06 08 10
DM2
.
. 2008
.
,
ADF . t-stat -3.505556, Prob* 0.0195
2012 10 717.6 ,
28.0 3.8%- , 22.7
3.3%- .
0
1
2
3
4
5
6
7
19
90
19
91
19
92
19
93
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
.
M2
-
, ,
-2 ., -3 . 13
. , ,
.
0
50
100
150
200
250
300
350
92 94 96 98 00 02 04 06 08 10
M2 INFLATION GDP
0
5
10
15
20
25
30
35
40
45
50
M2, ,
M2
Inf
GDP
-
, ,
-2 ., -3 . 14
4.2
2
. - 2012
-4.787%, 23.613%
. 2- -8.82%,
22.96% .
, .
Inf = 4.376952 - 0.95383 * M2 + 0.003698* GDP + u
Std.Error 0.803965 0.215095 0.001411
2012 15.1% 2013
12.7% . 2
.
Eviews 6 AR,MA
.
. , ,
.
2012 14.42%, 2013 12.5% .
2012 1 ,
14.42%- 15.1% , 2013 8% 12.5%-
12.7% .
.
-
, ,
-2 ., -3 . 15
4.3 , ,
, ,
.
, ,
,
.
VAR (Vector AutoRegression) .
ADF, Granger .
,
2,
-15
-10
-5
0
5
10
15
20
25
19
97
19
98
19
99
20
00
2001
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
20
12
20
13
2002
Mo1
Mo2
Arima
Regress
-.10
-.05
.00
.05
.10
1 2 3 4 5 6 7 8 9 10
Response of GDP to GDP
-.10
-.05
.00
.05
.10
1 2 3 4 5 6 7 8 9 10
Response of GDP to INFLATION
-.10
-.05
.00
.05
.10
1 2 3 4 5 6 7 8 9 10
Response of GDP to M2
-10
-5
0
5
10
15
1 2 3 4 5 6 7 8 9 10
Response of INFLATION to GDP
-10
-5
0
5
10
15
1 2 3 4 5 6 7 8 9 10
Response of INFLATION to INFLATION
-10
-5
0
5
10
15
1 2 3 4 5 6 7 8 9 10
Response of INFLATION to M2
-.6
-.4
-.2
.0
.2
.4
1 2 3 4 5 6 7 8 9 10
Response of M2 to GDP
-.6
-.4
-.2
.0
.2
.4
1 2 3 4 5 6 7 8 9 10
Response of M2 to INFLATION
-.6
-.4
-.2
.0
.2
.4
1 2 3 4 5 6 7 8 9 10
Response of M2 to M2
Response to Cholesky One S.D. Innovations 2 S.E.
-
, ,
-2 ., -3 . 16
'Inflation to GDP' -
, ,
. 'Inflation to Inflation' ,
,
. 'Inflation to M2' 2-
,
. ,
,
, 6 ,
.
1 . Lucas (1995)
McCandless Weber (1995)
.
, 2-
'GDP to GDP' -
. , -
. 'GDP to Inflation'
, -
. 'GDP to M2' , 2
, .
-.10
-.05
.00
.05
.10
1 2 3 4 5 6 7 8 9 10
Response of GDP to GDP
-.10
-.05
.00
.05
.10
1 2 3 4 5 6 7 8 9 10
Response of GDP to INFLATION
-.10
-.05
.00
.05
.10
1 2 3 4 5 6 7 8 9 10
Response of GDP to M2
-10
-5
0
5
10
15
1 2 3 4 5 6 7 8 9 10
Response of INFLATION to GDP
-10
-5
0
5
10
15
1 2 3 4 5 6 7 8 9 10
Response of INFLATION to INFLATION
-10
-5
0
5
10
15
1 2 3 4 5 6 7 8 9 10
Response of INFLATION to M2
-.6
-.4
-.2
.0
.2
.4
1 2 3 4 5 6 7 8 9 10
Response of M2 to GDP
-.6
-.4
-.2
.0
.2
.4
1 2 3 4 5 6 7 8 9 10
Response of M2 to INFLATION
-.6
-.4
-.2
.0
.2
.4
1 2 3 4 5 6 7 8 9 10
Response of M2 to M2
Response to Cholesky One S.D. Innovations 2 S.E.
-
, ,
-2 ., -3 . 17
, 2-
'M2 to GDP' 1-2
.
. 'M2 to
Inflation' , 2- ,
. 'M2 to M2' ,
, . ,
,
.
4.4
.
.
.
.
.
.
,
(1) .
exogenous endogenous t
t-1 . (1) VAR
(2) .
(3) .
-.10
-.05
.00
.05
.10
1 2 3 4 5 6 7 8 9 10
Response of GDP to GDP
-.10
-.05
.00
.05
.10
1 2 3 4 5 6 7 8 9 10
Response of GDP to INFLATION
-.10
-.05
.00
.05
.10
1 2 3 4 5 6 7 8 9 10
Response of GDP to M2
-10
-5
0
5
10
15
1 2 3 4 5 6 7 8 9 10
Response of INFLATION to GDP
-10
-5
0
5
10
15
1 2 3 4 5 6 7 8 9 10
Response of INFLATION to INFLATION
-10
-5
0
5
10
15
1 2 3 4 5 6 7 8 9 10
Response of INFLATION to M2
-.6
-.4
-.2
.0
.2
.4
1 2 3 4 5 6 7 8 9 10
Response of M2 to GDP
-.6
-.4
-.2
.0
.2
.4
1 2 3 4 5 6 7 8 9 10
Response of M2 to INFLATION
-.6
-.4
-.2
.0
.2
.4
1 2 3 4 5 6 7 8 9 10
Response of M2 to M2
Response to Cholesky One S.D. Innovations 2 S.E.
-
, ,
-2 ., -3 . 18
(2)- i , n ,
e , .
1997-
2011 ,
ADF, Granger
.
, 1990- , 2008
,
.
,
.
-
.
.
.
- .
Augmented Dickey-fulley (ADF) .
. VAR-
.
VAR
. ,
.
-
, ,
-2 ., -3 . 19
5.
2012 1 ,
14.42%- 15.1% , 2013 8% 12.5%-
12.7%
, 2-
,
,
.
.
. ,
,
2 - .
2- .
.
1-2 .
-
, ,
-2 ., -3 . 20
6. ,
,
2
GDP, INF, M2
,
.
2 ,
, ,
-
, ,
-2 ., -3 . 21
1
1. ADF SIC
Variable Statistics Adf Number of
unit roots
Level of
significance
(%)
t-Statistic Prob.*
Inflation
-4.728363 1 1% level
-2.991442 0.1659 -3.759743 1 5 % level
-3.324976 1 10% level
-4.667883 2 1% level
-5.798845 0.0015 -3.733200 2 5 % level
-3.310349 2 10% level
GDP
-4.728363 1 1% level
-3.522829
0.0734 -3.759743 1 5 % level
-3.324976 1 10% level
-4.616209 2 1% level -3.204767
0.1163
-3.710482 2 5 % level
-3.297799 2 10% level
Money
-4.532598 1 1% level
-3.744810 0.0440 -3.673616 1 5 % level
-3.277364 1 10% level
-4.728363 2 1% level
-1.882708 0.6135 -3.759743 2 5 % level
-3.324976 2 10% level
2. Granger
Pairwise Granger Causality Tests
Date: 12/04/12 Time: 21:22
Sample: 1991 2011
Lags: 2 Null Hypothesis: Obs F-Statistic Prob. INFLATION does not Granger Cause M2 19 11.6652 0.0010
M2 does not Granger Cause INFLATION 0.10827 0.8981 GDP does not Granger Cause M2 19 12.1526 0.0009
M2 does not Granger Cause GDP 6.34768 0.0109 GDP does not Granger Cause INFLATION 19 0.14584 0.8656
INFLATION does not Granger Cause GDP 0.53278 0.5984
-
, ,
-2 ., -3 . 22
3. , , -
SUMMARY OUTPUT
Regression Statistics
Multiple R 0.765974
R Square 0.586716
Adjusted R Square
0.540796
Standard Error
0.875327
Observations 21
ANOVA
df SS MS F Significance F
Regression 2 19.57912 9.78956 12.77681 0.000352
Residual 18 13.79156 0.766198
Total 20 33.37068
Coefficients Standard Error
t Stat P-value Lower 95% Upper 95%
Lower 95.0%
Upper 95.0%
4.376952 0.803965 5.444207 3.59E-05 2.687884 6.06602 2.687884 6.06602
2 -0.95383 0.215095 -4.43444 0.00032 -1.40572 -0.50193 -1.40572 -0.50193
1 0.003698 0.001411 2.619977 0.017354 0.000733 0.006663 0.000733 0.006663
4. , , -
inf m2 gdpp
inf 1
m2 -0.65507
1
gdpp -0.36772
0.865218 1
-
, ,
-2 ., -3 . 23
5. , , -
SUMMARY OUTPUT
Regression Statistics
Multiple R 0.693855
R Square 0.481435
Adjusted R
Square
0.423817
Standard
Error
57.99791
Observations 21
ANOVA
df SS MS F Significance
F
Regression 2 56212.36 28106.18 8.35559 0.002712
Residual 18 60547.64 3363.758
Total 20 116760
Coefficients Standard
Error
t Stat P-value Lower 95% Upper
95%
Lower
95.0%
Upper
95.0%
Inflation -1062.09 720.7106 -1.47367 0.157843 -2576.25 452.065 -2576.25 452.065
m2 -54.9192 17.78676 -3.08764 0.006349 -92.2878 -17.5506 -92.2878 -17.5506
gdp 181.7419 103.7829 1.751173 0.096938 -36.2979 399.7818 -36.2979 399.7818
6. , , -
Inf M2 GDP
Inf 1
M2 -0.62697 1
GDP -0.45473 0.915749 1
-
, ,
-2 ., -3 . 24
7.
M2 INFLATION GDP
Mean 5.903407 41.81429 7.857935
Median 5.802313 11.00000 7.735123
Maximum 8.768294 325.5000 8.493187
Minimum 2.294029 1.600000 7.488268
Std. Dev. 1.814866 76.40681 0.311039
Skewness -0.302851 2.887888 0.604466
Kurtosis 2.337235 10.61658 2.024419
Jarque-Bera 0.705365 79.95045 2.111615
Probability 0.702800 0.000000 0.347911
Sum 123.9715 878.1000 165.0166
Sum Sq. Dev. 65.87478 116760.0 1.934911
Observations 21 21 21
8. GDP equation
Variables Coifficient Standard Deviation t-statistics t-prob
GDP_1 0.813393 0.335845 2.421933 0.0211
GDP_2 0.086510 0.165885 0.521503 0.6055
Inflation_1 0.000359 0.000399 0.900700 0.3743
Inflation_2 -5.83E-05 0.000172 -0.338504 0.7371
Money_1 0.137430 0.032924 4.174136 0.0002
Money_2 -0.084575 0.063632 -1.329119 0.1929
Constant 0.502046 1.658089 0.302786 0.7640
Dummy -0.066212 0.018296 -3.618849 0.0010
R-squared 0.997708
Mean dependent var 7.888345
Adjusted R-squared 0.996249
S.D. dependent var 0.311421
S.E. of regression 0.019072
Sum squared resid 0.004001
Durbin-Watson stat 2.754525
Determinant residual covariance 6.95E-05
-
, ,
-2 ., -3 . 25
9. Inflation equation
Variables Coifficient Standard Deviation t-statistics t-prob
GDP_1 202.2890 199.2091 1.015461 0.3173
GDP_2 -47.48707 98.39612 -0.482611 0.6326
Inflation_1 0.339504 0.236670 1.434502 0.1608
Inflation_2 -0.131340 0.102134 -1.285963 0.2074
Money_1 -5.800178 19.52931 -0.296999 0.7683
Money_2 -29.96087 37.74398 -0.793792 0.4330
Constant -992.7298 983.5093 -1.009375 0.3201
-6.852459 10.85272 -0.631405 0.5321
R-squared 0.955445
Mean dependent var 26.31053
Adjusted R-squared 0.927091
S.D. dependent var 41.89733
S.E. of regression 11.31295
Sum squared resid 1407.812
Durbin-Watson stat 2.413920
Determinant residual covariance 6.95E-05
10. Money equation
Variables Coifficient Standard Deviation t-statistics t-prob
GDP_1 -5.270197 2.158688 -2.441389 0.0202
GDP_2 3.314311 1.066249 3.108384 0.0039
Inflation_1 0.006765 0.002565 2.637824 0.0126
Inflation_2 0.001660 0.001107 1.499890 0.1432
Money_1 0.845638 0.211625 3.995922 0.0003
Money_2 0.746677 0.409005 1.825596 0.0770
Constant 12.19837 10.65759 1.144571 0.2606
-0.234880 0.117603 -1.997229 0.0541
R-squared 0.995782
Mean dependent var 6.268871
Adjusted R-squared 0.993098
S.D. dependent var 1.475559
S.E. of regression 0.122590
Sum squared resid 0.165313
Durbin-Watson stat 2.277333
Determinant residual covariance 6.95E-05
-
, ,
-2 ., -3 . 26
11.
-.10
-.05
.00
.05
.10
1 2 3 4 5 6 7 8 9 10
Response of GDP to GDP
-.10
-.05
.00
.05
.10
1 2 3 4 5 6 7 8 9 10
Response of GDP to INFLATION
-.10
-.05
.00
.05
.10
1 2 3 4 5 6 7 8 9 10
Response of GDP to M2
-10
-5
0
5
10
15
1 2 3 4 5 6 7 8 9 10
Response of INFLATION to GDP
-10
-5
0
5
10
15
1 2 3 4 5 6 7 8 9 10
Response of INFLATION to INFLATION
-10
-5
0
5
10
15
1 2 3 4 5 6 7 8 9 10
Response of INFLATION to M2
-.6
-.4
-.2
.0
.2
.4
1 2 3 4 5 6 7 8 9 10
Response of M2 to GDP
-.6
-.4
-.2
.0
.2
.4
1 2 3 4 5 6 7 8 9 10
Response of M2 to INFLATION
-.6
-.4
-.2
.0
.2
.4
1 2 3 4 5 6 7 8 9 10
Response of M2 to M2
Response to Cholesky One S.D. Innovations 2 S.E.
-
, ,
-2 ., -3 . 27
12.ARIMA
Dependent Variable: INFLATION
Method: Least Squares
Date: 12/05/12 Time: 01:24
Sample (adjusted): 1994 2011
Included observations: 18 after adjustments
Convergence achieved after 338 iterations
MA Backcast: 1993 Variable Coefficient Std. Error t-Statistic Prob. C -287.9682 362.0998 -0.795273 0.4433
INFLATION(-1) 0.042698 0.858765 0.049720 0.9612
INFLATION(-2) 0.164607 0.384395 0.428225 0.6768
GDP 46.70091 55.61100 0.839778 0.4189
M2 -11.30514 12.54359 -0.901268 0.3868
AR(1) -0.337213 0.957650 -0.352125 0.7314
MA(1) 0.970293 0.037567 25.82814 0.0000 R-squared 0.878237 Mean dependent var 17.60556
Adjusted R-squared 0.811820 S.D. dependent var 18.28112
S.E. of regression 7.930291 Akaike info criterion 7.264558
Sum squared resid 691.7846 Schwarz criterion 7.610813
Log likelihood -58.38102 Hannan-Quinn criter. 7.312302
F-statistic 13.22320 Durbin-Watson stat 2.181048
Prob(F-statistic) 0.000183 Inverted AR Roots -.34
Inverted MA Roots -.97
-
, ,
-2 ., -3 . 28
13.
LN(M2) Inflation LN(GDP) GDP .
\2005 \
M2 . 1 . \2005 \
1990 1.728665 7.70855 2227.311 5.63 1047.5
1991 2.294029 52.7 7.617601 2033.678 9.91 939.2
1992 2.568964 325.5 7.520469 1845.432 13.05 851.3
1993 3.755701 183 7.488268 1786.954 42.76 825.3
1994 4.340905 66.3 7.509387 1825.094 76.78 833.6
1995 4.62541 53.1 7.571201 1941.47 102.04 872.6
1996 4.855114 44.6 7.593306 1984.864 128.40 878.5
1997 5.136184 20.5 7.631533 2062.208 170.07 899.8
1998 5.119487 6 7.664386 2131.085 167.25 917.1
1999 5.394386 10 7.694628 2196.517 220.17 932
2000 5.55622 8.1 7.706024 2221.69 258.84 929.4
2001 5.802313 8 7.735123 2287.29 331.06 946
2002 6.153 1.6 7.781367 2395.547 470.13 978.2
2003 6.55583 4.7 7.849069 2563.347 703.33 1033.5
2004 6.741739 11 7.950049 2835.713 847.03 1130.5
2005 7.038905 9.5 8.020075 3041.406 1,140.14 1199.1
2006 7.337258 6.2 8.102173 3301.636 1,536.49 1286.1
2007 7.783662 17.8 8.199736 3639.988 2,401.05 1399
2008 7.727536 22.1 8.284999 3963.96 2,270.00 1499.7
2009 7.965557 4.2 8.272232 3913.673 2,880.03 1454.3
2010 8.451053 13 8.33182 4153.973 4,680.00 1520
2011 8.768294 10.2 8.493187 4881.4 6,427.20 1751.9
2012M06 8.860953 9.7 8.495316 4891.8 7,051.20
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