ECM 模型短期动态系数与协整模型长期均衡系数不一致性研究.pdfVIP

Vol No JO U RN AL OF HEFEI U NIVERSIT Y OF T EC HNOLOGY Social Sciences Jun E C M ECM ECM F A Research on the Divergences between Short run Dynamic M ultipliers in ECM and Long run Equilibrium M ultipliers in Cointegration M odel ZHAO Huifang WU Gui uan YANG Morong y School of M anagement Hefei U niversity of Technology Hefei China Abstract In this paper the divergences between short run dynamic multipliers in error correction model ECM and longrun equilibrium multipliers in cointegration model are investigated According to the cointegration theory changes of dependent variable can be decomposed into components of i dentical fundamental changes and transitory noises the shortrun dynamic multipliers are thus genera ted However the difference of the variable reduces the impact of the fundamentals w hile increasing the distortion of the noises to the true economic relationship The derivation of short run dynamic multipliers further show s that it is the variations of noises that cause short run dynamic multipliers smaller than long run equilibrium multipliers The greater dependent variable changes the smaller the effect of noise The empirical results of domestic and foreign copper futures market integration test are consistent with the predictions of theoretical analysis The empirical results also show that the error correction has no significant effect on the estimate of short run dynamic multipliers and the shortrun dynamic multipliers are close to the long run equilibrium multipliers w hen the changes of de pendent v