An Econometric Analysis of Issued Scale of Treasury Bonds
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摘要: 应用Granger因果关系检验,确定了影响国债发行规模的主要因素。然后对国债发行规 模及主要影响变量进行单位根ADF和PP检验与协整关系Johansen检验,建立了中国国债发行规模的长期均衡方程和短期误差修正模型(ECM),此模型较好地解释了国债发行规模与宏观经济变量之间存在的长期均衡关系以及国债发行规模短期变动的影响因素。实证分析表明 ,该模型具有很强的预测功能。
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关键词:
- 国债发行规模 /
- Granger因果关系 /
- 单位根检验 /
- Johansen协整检验 /
- 误差修正模型(ECM)
Abstract: In this paper, we first investigated the main variables that influence the issue d scale of Treasury bonds with Granger Causality Test, and then we conducted uni t root test of ADF and PP tests to time series that explain scales of Treasury b onds, and cointegration test of Johansen test to the relationship among scale of Treasury bonds and the explained variables, respectively. We established the lo ng-run equilibrium equation and short-run error-correction model (ECM) to for ecast the issued scale of Treasury bonds in China, the model reasonably explaine d the long-run equilibrium relationship between the issued scale of Treas ury bond and macroeconomic variables, as well the short term factors that lead t o the volatility of Treasury bond issued scale. The performance showed that our models could provide accurate forecast for issued scale of Treasury bonds. -
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