协整变量短期动态乘数偏离长期均衡乘数的成因

Causes of Deviation of Cointegration Variable Short-Run Dynamic Multipliers from Long-Run Equilibrium Multiplier

文章将存在协整关系的时间序列变量分解为基本面和噪声分量,进而获得反映差分变量之间关系的短期动态乘数(SRDM)的代数表达式,揭示导致SRDMs偏离协整回归中长期均衡乘数(LREM)的原因。研究表明,噪声因素是导致SRDMs小于LREMs的根本原因,而基本面分量的变动程度以指数形式减轻噪声对SRD-Ms的影响。

This paper decomposes cointegrated time series variables into fundamental and noise components to obtain the al- gebra expression of short-run dynamic muhiplier （SRDM）which reflects relationship between differential variables. The algebra expression reveals the root reason of SRDMs deviating from the long-run equilibrium multiplier （LREM）. Theoretical studies show that it is the noises that render SRDMs smaller than LREMs and significant changes in fundamentals exponentially reduce effects of noises on the estimation of SRDMs.