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

摘要

研究了EC M模型中短期动态系数和协整模型中长期均衡系数之间的不一致性。根据协整理论，因变量的变化可以分解为基本面的变化和暂时性的噪声成分，短期动态系数由此产生。然而变量的差分减小了基本面的影响，同时提升了噪声对真实经济关系的扭曲。短期动态系数的推导过程进一步表明，噪声是造成短期动态系数小于长期均衡系数的原因。因变量变化越大，噪声的影响越小。国内外铜期货市场整合检验的实证结果与理论分析的预测相一致，实证结果同时显示，误差修正项的引入对短期动态系数的估计没有显著影响；当因变量变化巨大时，短期动态系数接近于长期均衡系数。%In this paper , the divergences between short‐run dynamic multipliers in error correction model(ECM ) and long‐run 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 short‐run dynamic multipliers are thus genera‐ted .However ,the difference of the variable reduces the impact of the fundamentals ,while 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 short‐run dynamic multipliers are close to the long‐run equilibrium multipliers w hen the changes of de‐pendent variables are great .