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Монгол Улсын макро эдийн засгийн үзүүлэлтүүдийн бүрэлдэхүүн хэсгүүд дэх бүтцийн өөрчлөлтүүд

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Abstract

Энэхүү ажилд Монгол Улсын макроэдийн засгийн зарим үзүүлэлтүүдийг голч, улирлын хэлбэлзэл, динамик болон нөхцөлт хувьсалт гэсэн бүрэлдэхүүн хэсгүүдээр нь задлан, тэдгээрт бүтцийн өөрчлөлт байгаа эсэхийг шалгахын зэрэгцээ сондгойрогч үзэгдлүүдийг нь ялгаж байна. Ийнхүү ялгах нь эдгээр хувьсагчдыг ашиглагдан хийгдэх цаашдын судалгаануудад зайлшгүй шаардлагатай. Улирлын өөр болон ижил мөчлөгтэй хувьсагчдыг нийлүүлэн загварчлах нь судлаачын гол зорилго болох динамик хамаарлуудыг танихад нэг бол хуурамчаар нөлөөлөх, эсвэл бүр бүрхэгдүүлэх аюултай байдаг. Бүтцийн өөрчлөлт гарсан гэдгийг мэдэлгүйгээр үнэлсэн параметрүүд нь загварын тайлбарлах чадварт сөргөөр нөлөөлдөг бол, сондгойрогч үзэгдлүүд үнэлгээний утгуудыг гажуудуулдаг. Судалгаагаар ДНБ-ий өсөлт дэх улирлын хэлбэлзэл 2002 оны 1-р улирлаас намжиж, инфляцийнх 2004 оны эхэнд багассан нь тогтоогдлоо.
(erdenebat@ses.edu.mn)
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Qu Perron (2007)-
.
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Yt- (Lt), (St),
(Ot) (yt) .
,
(AR)
(
).
Harvey (1989)
.
. - Canova
Hansen (1995)- Osborn Sensier (2009)- .
, .
.
, ,
AR
.
10
. :
Yt=Lt+St+Ot+yt(1)
Lt=µkt=Tk11+1, ..., Tk1;k1=1, ..., m1+1(2)
St=
s
l=1
δk2lDltt=Tk21+1, ..., Tk2;k2=1, ..., m2+1(3)
yt=
p
i=1
φk3iyti+uit=Tk31+1, ..., Tk3;k3=1, ..., m3+1(4)
var(ut) = σ2
k4t=Tk41+1, ..., Tk4;k4=1, ..., m4+1(5)
mjj- Tj
kj(kj=
1, ..., mj)Tj
0=0Tj
mj=T( T
) . s (
s=12,
s=4), Dlt (l=1, ..., s)- t l
.δk2l
l- ( ) Yt-
µj-
k2=1, ..., m2+1-
s
l=1δk2l=0.
, t l- , k1
,k2
E[Yt|l] = µk1+δk2l(6)
(2)-(5)
.(1)-
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6
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20 . Bataa, Osborn, Sensier Dijk
(2012)-
.
Hannan-Quinn (HQ)-
:
HQ =
m4+1
k4=1
ln(
Tk4
t=Tk41+1ˆ
u2
t
(Tk4Tk41
)) + 2ln(ln(T))
T[m1+1+12(m2+1) + p(m3+1) + m4+1]
(7)
T- .
4.2
Qu Perron (2007)-
. Bai Perron (2006)-
.
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(1)-
.
:
St
.
.
8Qu Perron (2007)-
.
, Bai Perron (1998, 2003a)-
.
15
5%-
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Ltˆ
Otˆ
yt-
j=k-jt =
Djt Dkt,j=1, ..., s, ( Djt j-
/ ).
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Ltˆ
Otˆ
yt=s
j=1,j6=kδijjt +µt, k-
δik =s
j=1,j6=kδij .ˆ
yt-
yt- AR
.
( )- Lt-
Ytˆ
Stˆ
Otˆ
yt=µi+ut
yt=Ytˆ
Ltˆ
Stˆ
Ot-
AR(p) φi(L)yt=ut-
φi(L) = 1φi1Lφi2L2... φip LpAR
.
.
H0:µi=µ0(i=1, ..., m1+1),H0:δi=δ0
(i=1, ..., m2+1)δi= (δi1, ..., δis)0,H0:φi=φ0(i=1, ..., m3+1)
φi= (φi1,φi2, ..., φip)0mM(
M)
:
WDmax =max1mMam[su pFt(m,q,ε)],(8)
a1=1m>1- m m1,m2m3,
am=c(α, 1)/c(α,m),c(α,m)supFt(m,q,ε)-α
supFT(m,q,ε) = sup(λ1,...,λmeΛi)[( T(m+1)q
m)ˆ
β0R0[Rˆ
V(ˆ
β)R0]1Rˆ
β],(9)
(Wald)- m
,ˆ
β, , ˆ
µ,ˆ
δˆ
φ- m
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β),
R(Rβ)0= (β0
1β0
2, ..., β0
mβ0
m+1),
16
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, , 0<λ1<... <λm<1Ti= [Tλi]
Vε. HAC
Andrews (1991)
(spectral kernel with automatic bandwidth selection).9
(8)- WDmax
5%- , F-
. ,
:
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T1, ..., ˆ
Tj1,τ,ˆ
Tj, ..., ˆ
Tl)FT(ˆ
T1, ..., ˆ
Tl)]
(10)
Vj,ε={τ;ˆ
Tj1+ ( ˆ
Tjˆ
Tj1)ετˆ
Tj+ ( ˆ
Tjˆ
Tj1)ε}l=1,2,...,
FT(9)- . (10)-
l=1, ..., M-
. l
.
H0:σ2
i=σ2
0(i=1, ..., m4+1)
. (8)- SupF
SupLR
supLRT(m,q,ε) = su p(λ1,...,λmeΛl)2ln(ˆ
LT(T1, ..., Tm)
˜
LT
),(11)
ln ˆ
LT(T1, ..., Tm) = T
2(ln2π+1)m+1
j=1
TjTj1
2ln ˆ
σ2
jˆ
σ2
j=1
TjTj1Tj
t=Tj1+1ˆ
u2
t
ˆ
ut(t=1, ..., T)(4)- ,
. (10)-
:
supSEQT(l+1|l) = max1jl+1[supreΛj,ε(ln(
ˆ
LT(T1, ..., Tj1,τ,Tj, ..., Tl)
ˆ
LT(T1, ..., Tl)))] (12)
9(9) Qu Perron (2007)- (20)-
(9)- T , ,
. (9)- .
17
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M, ε-
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/ε-
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Bai Perron (2003b)-
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2003 7- 2004 9-
2003 2- 2005 2-
.
72.8%- 2 31.9%
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.12
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( 9 22)
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12
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24
9: : 4- .
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. 2002-2003
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.
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. 2007 2-
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27
12: : 4- .
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13: : 4- .
(size) .
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.
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.
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2002 .
.
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.
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.
2006 3- 2009 4-
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. 2001 6-
2006 3- .
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23: : 4- .
,
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.
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25: : 4- .
2001 2006 2-
( 5, 12 25).
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,
.
.
2001 ,
.
14
27 - .
2009 3- ,
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27: : 4- .
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3
.
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5 16- .
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6-
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.
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28: : 4- .
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29: : 4- .
2008/2009
.
2 .
2 .
, HQ-
.
45
30: : 4- .
6
,
, - ,
,
,
.
.
Barsky Miron (1989)-
, ,
.
46
31: 1998
- -
.
,
.
.
.14
14 30- - .
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.
,
.
2004 .
3-
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.
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,
.
48
7
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52
1.38 3.91
0.96 4.28
0.74 2.22
1.07 3.94
2001.4 1.03 -0.26
1998.4 4.12
2004.4 4.75
2007.3
1998.1
2012.1 (3.09)
0.68 2.91
1.24 4.73
2.0 5.57
1.60 4.88
2.80 7.85
- -1.61 -2.09
( ) -0.6 -1.61
( ) -0.61 -2.18
n.a. n.a. 1.83
1: . 4.1
4.2 (1)-
.
20%- , 3 (
30% 1), 2
( ) .
95%- (
. .
). -
.
.
53
Var(St)/Var(Yt)(%)
9.01 16.42
n.a. n.a 21.37
2004.02 2004.2 72.83 78.54
2003.07 2003.2 31.93 42.87
2004.09 2005.2 (55.57) (63.84)
n.a n.a n.a. n.a.
n.a n.a n.a. n.a.
8.32 6.08
n.a n.a n.a. n.a.
2002.03 2003.3 90.99 94.46
2001.11 2003.1 57.78 65.65
2002.07 2004.1 (74.76) (85.38)
2007.10 2003.3 64.19 94.65
2007.02 2002.3 63.24 64.52
2008.06 2004.3 (64.05) (80.35)
65.22 79.01
- n.a. n.a. n.a. n.a.
( ) n.a. 2007.2 n.a. 31.05
2005.3 23.64
2009.1 (28.72)
( ) n.a. n.a. n.a. n.a.
n.a. 2002.1 n.a. 95.99
2000.4 98.14
2003.2 (97.36)
2: . 4.1
4.2 (1)-
. 30%- , 1
.
95%-
( .
. ).
-
.
.
54
p
0.36 -0.18 1 0
2006.11 -0.11 0.22 0 1
2004.06 0.50 1
2009.04 0.16 (1)
0.3 0.11 1 0
0.36 0.22 1 0
0.02 -0.02 0 0
0.45 0.38 1 1
2008.02 0.07 0.01 0 0
2005.08 0.54 6
2010.08 (0.25) (1)
-1.71 -0.26 4 1
-4.38 -0.72 10 2
-1.76 -0.81 5 1
- 0.03 -0.5 0 2
( ) -1.34 -0.16 3 10
( ) -0.91 -0.77 2 1
n.a. n.a. -1.22 n.a. 3
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.
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95%-
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-
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55
StDev
2002.11 5.95 10.72
2000.01 3.01
2003.02 6.33
2008.06
2008.04
2011.03 (5.11) 10.72
2002.05 6.63 10.28
1998.12 3.21
2002.07 4.92
2005.03 6.26
2003.09
2012.01
2008.05
2006.02
2012.01* (5.68) (10.28)
1.26 2.78
2001.01 4.84 11.85
1998.01* 3.61
2004.02 10.07
2006.03 6.11
2006.02
2007.10
2009.04
2006.02
2009.09 (6.23) (11.85)
2005.11 2003.4 3.25. 3.54
2005.01 2000.4 4.7 4.54
2012.01* 2012.1* 8.03
2007.3
2007.1
2010.4 (3.99) (5.50)
2007.09 2001.3 4.25 5.22
2007.04 2001.2 6.75 14.35
2012.01 2006.1 10.87
2009.2
1998.1*
2012.1* (5.16) (11.88)
4: .
56
StDev
8.17 14.15
14.54 11.31
2001.06 2001.1 24.72 14.60
1998.09 1998.1 12.25 5.70
2001.09 2001.2 23.96 15.73
2006.07 2006.2 12.27
2006.02 2006.1
2009.03 2007.4
2009.04
2007.10
2009.08 (18.11) (12.65)
2001.02 2001.2 83.52 75.09
1998.01* 2000.2 55.30 21.89
2002.01 2001.3 41.91
2004.2
2003.4
2007.1 (62.12) (48.11)
- 2009.03 2002.4 15.28 21.15
2006.07 2002.2 4.42 49.06
2009.04 2005.4 17.24
2007.4
2002.3
2008.1 (13.7) (33.33)
( ) 6.72 6.12
( ) 2001.04 13.44 8.88
1998.04 7.53
2001.07 (9.16) (8.88)
n.a. n.a. 4.06
5: . 4.1
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95%- (
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). -
.
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57
-I -II
2009.01 2009.1 2 19 2 2
1999.09 2008.4 2 3 2 2
1999.11
2009.01
3 2 2 2
2008.10 2008.4 2 2 2 2
2 2 2 2
2008.02 2008.4 2 2 2 2
2008.10
2008.4 2 2 2 2
2 3 2 2
2 3 3 2
5 3 2 2
- 2001.01 3 2 2 2
2001.02
2003.01
2003.04
2004.01
2006.04
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58
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