Инфляци, ДНБ, мөнгөний нийлүүлэлт хамаарал

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2012 1

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2012 10 0.6%, 12.9%,

15%

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2.1 : 2013 8%-

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2.2

2012 1

, 2013 8%-

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2.3 : .

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2.4 , :

www.worldbank.org /data bank/

www.mongolbank.mn

www.nso.mn

/2001-2011/

/2001-2012 10 /

2.5 :

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. /Howitt 1990/.

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-2 ., -3 . 4

Feldstein /1996/

.

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.

.

.

58

1960- 1990 -0,25

5%- . Barro (1991), Cozier Selody (1992),

Fischer (1993)

.

Ghost Phillips /1998/ 10-20%

40-50%

. (3%)

. Burdekin Ali /2004/

.

/2007 /. ,

. 17

1958-

1967 (8%- ) .

7

. /Thirwall Barton, 1971/.

Grimes /1991/ 0- 9%

1%- . 5- 50%

1-1.5%- .

, ,

-2 ., -3 . 5

2.5.1 :

Inflation, Money and Economic growth in Cameroon Henri Ngoa Tabi (December 29,

2010)

M2- -

.

Relationship between Inflation and Economic growth in FIJI Vokesh Gokal, Subrina

Hanif (December 2004)

2.6 :

. ,

.

,

1991 2011 VAR (Vector Auto Regression)

.

.

.

2.7

. ,

2013

.

. ,

, ,

VAR .

.

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-2 ., -3 . 6

3.

3.1

()

. 1987 "-

,

" .

.

=

=1 0

0=1

100

- , t- , 0- , Pt- 'i'

, P0- 'i' , Q0- 'i'

() , -

3.2

M (MD) (MS)

.

.

(MD)=(MS)

,

.

3.3

, ( , , )

. :

, ,

-2 ., -3 . 7

GDP=(X-M)+G+C+I

GDP- , X- , M- , (X-M)- ,

G- , C- , I-

3.4 ARIMA, VAR

1990-

, ,

.

.

, , .

. ,

, arkup , , ,

, ARIMA .

ARIMA,

, . Box-Jenkins- ARIMA

, ,

. .

ARIMA , .

Christopher Sims (1980)

(VAR) . VAR n-, n-

n-1

.

. VAR

, , , .

, VAR

(J. Stock

M. Watson 2001)

. ,

, .

, ,

-2 ., -3 . 8

,

(1) .

PIB t= f (M t, P t)

M t= f (PIB t, P t)

P t= f (M t, PIB t)

(1)

PIB- , M- , P-

exogenous endogenous t t-1

. (1) VAR

(2) .

= +

=

+

=+

+

=+

+ +

= +

=

+

=+

+

=+

+ +

= +

=

+

=+

+

=+

+ +

(2)

(2)- , 'i' , 'n' ,

'e' , 'D' ,

.

:

[

] = [

010203

+

11 12 1321 22 2331 32 33

] [111

] + [123

] + [

123

]

(3)

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-2 ., -3 . 9

3.5

( )

( )

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,

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:

= 1 + 21 + 33 +

Y- , 1- , 2- , X- ,

u-

, ,

2- .

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= 1 + 2 + 32 +

Inf- , 1- ,

2- , GDPP- , 2-

, u-

, ,

-2 ., -3 . 10

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

92 94 96 98 00 02 04 06 08 10

DLINFLATION

-200

-100

0

100

200

300

92 94 96 98 00 02 04 06 08 10

DINFLATION

4.

2 . 1-

- 2013 / ,

ARMA / 2- , ,

/VAR / .

4.1

.

1992

2

. - 20

2000-2002 ,

. 2008-2009

.

52.7

325.5

183

66.353.1 44.6

20.56 10 8.1 8 1.6 4.7 11 9.5 6.2

17.8 22.14.2 13 10.2

0

50

100

150

200

250

300

350

1991-2011

, ,

-2 ., -3 . 11

2012 10 0.6%,

12.9%, 15%- .

.

2005 .

5

5- 1992-94 , 2008-10

. 1992 20- , 2008

.

.

0

1000

2000

3000

4000

5000

6000

2005

GDP

, ,

-2 ., -3 . 12

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

92 94 96 98 00 02 04 06 08 10

DM2

.

. 2008

.

,

ADF . t-stat -3.505556, Prob* 0.0195

2012 10 717.6 ,

28.0 3.8%- , 22.7

3.3%- .

0

1

2

3

4

5

6

7

19

90

19

91

19

92

19

93

19

94

19

95

19

96

19

97

19

98

19

99

20

00

20

01

20

02

20

03

20

04

20

05

20

06

20

07

20

08

20

09

20

10

20

11

.

M2

, ,

-2 ., -3 . 13

. , ,

.

0

50

100

150

200

250

300

350

92 94 96 98 00 02 04 06 08 10

M2 INFLATION GDP

0

5

10

15

20

25

30

35

40

45

50

M2, ,

M2

Inf

GDP

, ,

-2 ., -3 . 14

4.2

2

. - 2012

-4.787%, 23.613%

. 2- -8.82%,

22.96% .

, .

Inf = 4.376952 - 0.95383 * M2 + 0.003698* GDP + u

Std.Error 0.803965 0.215095 0.001411

2012 15.1% 2013

12.7% . 2

.

Eviews 6 AR,MA

.

. , ,

.

2012 14.42%, 2013 12.5% .

2012 1 ,

14.42%- 15.1% , 2013 8% 12.5%-

12.7% .

.

, ,

-2 ., -3 . 15

4.3 , ,

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.

, ,

,

.

VAR (Vector AutoRegression) .

ADF, Granger .

,

2,

-15

-10

-5

0

5

10

15

20

25

19

97

19

98

19

99

20

00

2001

20

02

20

03

20

04

20

05

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

2002

Mo1

Mo2

Arima

Regress

-.10

-.05

.00

.05

.10

1 2 3 4 5 6 7 8 9 10

Response of GDP to GDP

-.10

-.05

.00

.05

.10

1 2 3 4 5 6 7 8 9 10

Response of GDP to INFLATION

-.10

-.05

.00

.05

.10

1 2 3 4 5 6 7 8 9 10

Response of GDP to M2

-10

-5

0

5

10

15

1 2 3 4 5 6 7 8 9 10

Response of INFLATION to GDP

-10

-5

0

5

10

15

1 2 3 4 5 6 7 8 9 10

Response of INFLATION to INFLATION

-10

-5

0

5

10

15

1 2 3 4 5 6 7 8 9 10

Response of INFLATION to M2

-.6

-.4

-.2

.0

.2

.4

1 2 3 4 5 6 7 8 9 10

Response of M2 to GDP

-.6

-.4

-.2

.0

.2

.4

1 2 3 4 5 6 7 8 9 10

Response of M2 to INFLATION

-.6

-.4

-.2

.0

.2

.4

1 2 3 4 5 6 7 8 9 10

Response of M2 to M2

Response to Cholesky One S.D. Innovations 2 S.E.

, ,

-2 ., -3 . 16

'Inflation to GDP' -

, ,

. 'Inflation to Inflation' ,

,

. 'Inflation to M2' 2-

,

. ,

,

, 6 ,

.

1 . Lucas (1995)

McCandless Weber (1995)

.

, 2-

'GDP to GDP' -

. , -

. 'GDP to Inflation'

, -

. 'GDP to M2' , 2

, .

-.10

-.05

.00

.05

.10

1 2 3 4 5 6 7 8 9 10


-.10

-.05

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1 2 3 4 5 6 7 8 9 10


-.10

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.10

1 2 3 4 5 6 7 8 9 10


-10

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5

10

15

1 2 3 4 5 6 7 8 9 10


-10

-5

0

5

10

15

1 2 3 4 5 6 7 8 9 10


-10

-5

0

5

10

15

1 2 3 4 5 6 7 8 9 10


-.6

-.4

-.2

.0

.2

.4

1 2 3 4 5 6 7 8 9 10


-.6

-.4

-.2

.0

.2

.4

1 2 3 4 5 6 7 8 9 10


-.6

-.4

-.2

.0

.2

.4

1 2 3 4 5 6 7 8 9 10



, ,

-2 ., -3 . 17

, 2-

'M2 to GDP' 1-2

.

. 'M2 to

Inflation' , 2- ,

. 'M2 to M2' ,

, . ,

,

.

4.4

.

.

.

.

.

.

,

(1) .

exogenous endogenous t

t-1 . (1) VAR

(2) .

(3) .

-.10

-.05

.00

.05

.10

1 2 3 4 5 6 7 8 9 10


-.10

-.05

.00

.05

.10

1 2 3 4 5 6 7 8 9 10


-.10

-.05

.00

.05

.10

1 2 3 4 5 6 7 8 9 10


-10

-5

0

5

10

15

1 2 3 4 5 6 7 8 9 10


-10

-5

0

5

10

15

1 2 3 4 5 6 7 8 9 10


-10

-5

0

5

10

15

1 2 3 4 5 6 7 8 9 10


-.6

-.4

-.2

.0

.2

.4

1 2 3 4 5 6 7 8 9 10


-.6

-.4

-.2

.0

.2

.4

1 2 3 4 5 6 7 8 9 10


-.6

-.4

-.2

.0

.2

.4

1 2 3 4 5 6 7 8 9 10



, ,

-2 ., -3 . 18

(2)- i , n ,

e , .

1997-

2011 ,

ADF, Granger

.

, 1990- , 2008

,

.

,

.

-

.

.

.

- .

Augmented Dickey-fulley (ADF) .

. VAR-

.

VAR

. ,

.

, ,

-2 ., -3 . 19

5.

2012 1 ,

14.42%- 15.1% , 2013 8% 12.5%-

12.7%

, 2-

,

,

.

.

. ,

,

2 - .

2- .

.

1-2 .

, ,

-2 ., -3 . 20

6. ,

,

2

GDP, INF, M2

,

.

2 ,

, ,

, ,

-2 ., -3 . 21

1

1. ADF SIC

Variable Statistics Adf Number of

unit roots

Level of

significance

(%)

t-Statistic Prob.*

Inflation

-4.728363 1 1% level

-2.991442 0.1659 -3.759743 1 5 % level

-3.324976 1 10% level

-4.667883 2 1% level

-5.798845 0.0015 -3.733200 2 5 % level

-3.310349 2 10% level

GDP

-4.728363 1 1% level

-3.522829

0.0734 -3.759743 1 5 % level

-3.324976 1 10% level

-4.616209 2 1% level -3.204767

0.1163

-3.710482 2 5 % level

-3.297799 2 10% level

Money

-4.532598 1 1% level

-3.744810 0.0440 -3.673616 1 5 % level

-3.277364 1 10% level

-4.728363 2 1% level

-1.882708 0.6135 -3.759743 2 5 % level

-3.324976 2 10% level

2. Granger

Pairwise Granger Causality Tests

Date: 12/04/12 Time: 21:22

Sample: 1991 2011

Lags: 2 Null Hypothesis: Obs F-Statistic Prob. INFLATION does not Granger Cause M2 19 11.6652 0.0010

M2 does not Granger Cause INFLATION 0.10827 0.8981 GDP does not Granger Cause M2 19 12.1526 0.0009

M2 does not Granger Cause GDP 6.34768 0.0109 GDP does not Granger Cause INFLATION 19 0.14584 0.8656

INFLATION does not Granger Cause GDP 0.53278 0.5984

, ,

-2 ., -3 . 22

3. , , -

SUMMARY OUTPUT

Regression Statistics

Multiple R 0.765974

R Square 0.586716

Adjusted R Square

0.540796

Standard Error

0.875327

Observations 21

ANOVA

df SS MS F Significance F

Regression 2 19.57912 9.78956 12.77681 0.000352

Residual 18 13.79156 0.766198

Total 20 33.37068

Coefficients Standard Error

t Stat P-value Lower 95% Upper 95%

Lower 95.0%

Upper 95.0%

4.376952 0.803965 5.444207 3.59E-05 2.687884 6.06602 2.687884 6.06602

2 -0.95383 0.215095 -4.43444 0.00032 -1.40572 -0.50193 -1.40572 -0.50193

1 0.003698 0.001411 2.619977 0.017354 0.000733 0.006663 0.000733 0.006663

4. , , -

inf m2 gdpp

inf 1

m2 -0.65507

1

gdpp -0.36772

0.865218 1

, ,

-2 ., -3 . 23

5. , , -

SUMMARY OUTPUT

Regression Statistics

Multiple R 0.693855

R Square 0.481435

Adjusted R

Square

0.423817

Standard

Error

57.99791

Observations 21

ANOVA

df SS MS F Significance

F

Regression 2 56212.36 28106.18 8.35559 0.002712

Residual 18 60547.64 3363.758

Total 20 116760

Coefficients Standard

Error

t Stat P-value Lower 95% Upper

95%

Lower

95.0%

Upper

95.0%

Inflation -1062.09 720.7106 -1.47367 0.157843 -2576.25 452.065 -2576.25 452.065

m2 -54.9192 17.78676 -3.08764 0.006349 -92.2878 -17.5506 -92.2878 -17.5506

gdp 181.7419 103.7829 1.751173 0.096938 -36.2979 399.7818 -36.2979 399.7818

6. , , -

Inf M2 GDP

Inf 1

M2 -0.62697 1

GDP -0.45473 0.915749 1

, ,

-2 ., -3 . 24

7.

M2 INFLATION GDP

Mean 5.903407 41.81429 7.857935

Median 5.802313 11.00000 7.735123

Maximum 8.768294 325.5000 8.493187

Minimum 2.294029 1.600000 7.488268

Std. Dev. 1.814866 76.40681 0.311039

Skewness -0.302851 2.887888 0.604466

Kurtosis 2.337235 10.61658 2.024419

Jarque-Bera 0.705365 79.95045 2.111615

Probability 0.702800 0.000000 0.347911

Sum 123.9715 878.1000 165.0166

Sum Sq. Dev. 65.87478 116760.0 1.934911

Observations 21 21 21

8. GDP equation

Variables Coifficient Standard Deviation t-statistics t-prob

GDP_1 0.813393 0.335845 2.421933 0.0211

GDP_2 0.086510 0.165885 0.521503 0.6055

Inflation_1 0.000359 0.000399 0.900700 0.3743

Inflation_2 -5.83E-05 0.000172 -0.338504 0.7371

Money_1 0.137430 0.032924 4.174136 0.0002

Money_2 -0.084575 0.063632 -1.329119 0.1929

Constant 0.502046 1.658089 0.302786 0.7640

Dummy -0.066212 0.018296 -3.618849 0.0010

R-squared 0.997708

Mean dependent var 7.888345

Adjusted R-squared 0.996249

S.D. dependent var 0.311421

S.E. of regression 0.019072

Sum squared resid 0.004001

Durbin-Watson stat 2.754525

Determinant residual covariance 6.95E-05

, ,

-2 ., -3 . 25

9. Inflation equation


GDP_1 202.2890 199.2091 1.015461 0.3173

GDP_2 -47.48707 98.39612 -0.482611 0.6326

Inflation_1 0.339504 0.236670 1.434502 0.1608

Inflation_2 -0.131340 0.102134 -1.285963 0.2074

Money_1 -5.800178 19.52931 -0.296999 0.7683

Money_2 -29.96087 37.74398 -0.793792 0.4330

Constant -992.7298 983.5093 -1.009375 0.3201

-6.852459 10.85272 -0.631405 0.5321

R-squared 0.955445








10. Money equation


GDP_1 -5.270197 2.158688 -2.441389 0.0202

GDP_2 3.314311 1.066249 3.108384 0.0039

Inflation_1 0.006765 0.002565 2.637824 0.0126

Inflation_2 0.001660 0.001107 1.499890 0.1432

Money_1 0.845638 0.211625 3.995922 0.0003

Money_2 0.746677 0.409005 1.825596 0.0770

Constant 12.19837 10.65759 1.144571 0.2606

-0.234880 0.117603 -1.997229 0.0541

R-squared 0.995782








, ,

-2 ., -3 . 26

11.

-.10

-.05

.00

.05

.10

1 2 3 4 5 6 7 8 9 10


-.10

-.05

.00

.05

.10

1 2 3 4 5 6 7 8 9 10


-.10

-.05

.00

.05

.10

1 2 3 4 5 6 7 8 9 10


-10

-5

0

5

10

15

1 2 3 4 5 6 7 8 9 10


-10

-5

0

5

10

15

1 2 3 4 5 6 7 8 9 10


-10

-5

0

5

10

15

1 2 3 4 5 6 7 8 9 10


-.6

-.4

-.2

.0

.2

.4

1 2 3 4 5 6 7 8 9 10


-.6

-.4

-.2

.0

.2

.4

1 2 3 4 5 6 7 8 9 10


-.6

-.4

-.2

.0

.2

.4

1 2 3 4 5 6 7 8 9 10



, ,

-2 ., -3 . 27

12.ARIMA

Dependent Variable: INFLATION

Method: Least Squares

Date: 12/05/12 Time: 01:24

Sample (adjusted): 1994 2011

Included observations: 18 after adjustments

Convergence achieved after 338 iterations

MA Backcast: 1993 Variable Coefficient Std. Error t-Statistic Prob. C -287.9682 362.0998 -0.795273 0.4433

INFLATION(-1) 0.042698 0.858765 0.049720 0.9612

INFLATION(-2) 0.164607 0.384395 0.428225 0.6768

GDP 46.70091 55.61100 0.839778 0.4189

M2 -11.30514 12.54359 -0.901268 0.3868

AR(1) -0.337213 0.957650 -0.352125 0.7314

MA(1) 0.970293 0.037567 25.82814 0.0000 R-squared 0.878237 Mean dependent var 17.60556

Adjusted R-squared 0.811820 S.D. dependent var 18.28112

S.E. of regression 7.930291 Akaike info criterion 7.264558

Sum squared resid 691.7846 Schwarz criterion 7.610813

Log likelihood -58.38102 Hannan-Quinn criter. 7.312302

F-statistic 13.22320 Durbin-Watson stat 2.181048

Prob(F-statistic) 0.000183 Inverted AR Roots -.34

Inverted MA Roots -.97

, ,

-2 ., -3 . 28

13.

LN(M2) Inflation LN(GDP) GDP .

\2005 \

M2 . 1 . \2005 \

1990 1.728665 7.70855 2227.311 5.63 1047.5

1991 2.294029 52.7 7.617601 2033.678 9.91 939.2

1992 2.568964 325.5 7.520469 1845.432 13.05 851.3

1993 3.755701 183 7.488268 1786.954 42.76 825.3

1994 4.340905 66.3 7.509387 1825.094 76.78 833.6

1995 4.62541 53.1 7.571201 1941.47 102.04 872.6

1996 4.855114 44.6 7.593306 1984.864 128.40 878.5

1997 5.136184 20.5 7.631533 2062.208 170.07 899.8

1998 5.119487 6 7.664386 2131.085 167.25 917.1

1999 5.394386 10 7.694628 2196.517 220.17 932

2000 5.55622 8.1 7.706024 2221.69 258.84 929.4

2001 5.802313 8 7.735123 2287.29 331.06 946

2002 6.153 1.6 7.781367 2395.547 470.13 978.2

2003 6.55583 4.7 7.849069 2563.347 703.33 1033.5

2004 6.741739 11 7.950049 2835.713 847.03 1130.5

2005 7.038905 9.5 8.020075 3041.406 1,140.14 1199.1

2006 7.337258 6.2 8.102173 3301.636 1,536.49 1286.1

2007 7.783662 17.8 8.199736 3639.988 2,401.05 1399

2008 7.727536 22.1 8.284999 3963.96 2,270.00 1499.7

2009 7.965557 4.2 8.272232 3913.673 2,880.03 1454.3

2010 8.451053 13 8.33182 4153.973 4,680.00 1520

2011 8.768294 10.2 8.493187 4881.4 6,427.20 1751.9

2012M06 8.860953 9.7 8.495316 4891.8 7,051.20

Инфляци, ДНБ, мөнгөний нийлүүлэлт хамаарал

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Transcript of Инфляци, ДНБ, мөнгөний нийлүүлэлт хамаарал