公共投资与社会福利的动态相关性:1978—2008年——基于VAR模型的分析及检验

The Dynamic Correlation Between Public Investment and Social Welfare from 1978 to 2008:Analysis and Test Based on VAR Model

基于VAR模型,利用1978—2008年的样本数据分析公共投资与社会福利的动态相关性。通过协整检验、VECM模型、Granger因果检验及方差分解分析,结果表明:福利(W)与生产性投资(PI)、消费性投资(CI)间存在长期稳定的均衡关系;基于W、PI和CI的VECM模型具体较好的误差修正机制;PI、CI与福利间有Granger因果关系,反向关系成立,但PI与CI间不成立;W自身的冲击对W的贡献率最大,CI次之,PI的贡献率最小。

This paper selectes the sample data from 1978 to 2008 to analyze the dynamic relevance between public investment and social welfare based on VAR model.The authors go on carrying out an analysis through the co-integration test,error correction model（VECM）,Granger causality test and impulse response functions and variance decomposition.The results show that there existes a long-term stable equilibrium relationship between the level of benefits,productive investment（PI） and consuming investment（CI）;VECM better reflect the specific model of error correction mechanism;PI,CI and welfare are Granger causality relationship,reverse causalities happen between them,but not established between the PI and CI;PI and CI have positive impactes on the welfare,but the latter have a greater impact;welfare level itself makes greater contribution to the welfare,CI followed,but PI＇s contribution is the minimum.