1-向量自回归模型讲义.ppt

Lecture 1;向量自回归模型Vector Autoregression Models,VAR;The Prize in Economic Sciences 2011 ;How are GDP and inflation affected by a temporary increase in the interest rate or a tax cut? What happens if a central bank makes a permanent change in its inflation target or a government modifies its objective for budgetary balance? This year’s Laureates in economic sciences have developed methods for answering these and many of other questions regarding the causal relationship between economic policy and different macroeconomic variables such as GDP, inflation, employment and investments. ;These occurrences are usually two-way relationships – policy affects the economy, but the economy also affects policy. Expectations regarding the future are primary aspects of this interplay. The expectations of the private sector regarding future economic activity and policy influence decisions about wages, saving and investments. Concurrently, economic-policy decisions are influenced by expectations about developments in the private sector. The Laureates’ methods can be applied to identify these causal relationships and explain the role of expectations. This makes it possible to ascertain the effects of unexpected policy measures as well as systematic policy shifts. ;Christopher Sims has developed a method based on so-called vector autoregression to analyze how the economy is affected by temporary changes in economic policy and other factors. Sims and other researchers have applied this method to examine, for instance, the effects of an increase in the interest rate set by a central bank. It usually takes one or two years for the inflation rate to decrease, whereas economic growth declines gradually already in the short run and does not revert to its normal development until after a couple of years. ;一、向量自回归模型概述 ;1、向量自回归模型 （ Vector Auto-Regression，VAR） ;VAR的发展 发生于20世纪70年代，以卢卡斯（E.Lucas）、萨金特（J.Sargent）、西姆斯（A.Sims）等为代表的对经典计量经济学的批判，其后果之一是导致计量经济学模型由经济理论导向转向数据关系导向。 西姆斯（1980）等人将VAR模型引入宏观经济分析中，