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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.pdf
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
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