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20066[]2006-03-08[](1962),,,;(1978-),,,:(,100872)2070,,,,,,1929,;2080,;2090,,,,,,,1999827,,,20063,1376,3534117,1243413,7382186,,,1997,,,8,,,GDP,(Owoye),,,[2](BenBernanke)(MarkGertler)[3],:,[4]6320066,,,[5],,[6]GDP[7]VAR,,[8][9],:,,,Granger,(),A,,,GDP()11,(spuriousregression)Xt,Yt,,,Xt,YtXtI(0),Xt,X=X-Xt-1,XtI(1),21Granger,,(),,,,I(1),EG,Johnson,Buyes,,EG:Xt,Yt,:xt=a+byt+etOLS,ADF,e,Xt,Yt,,Xt,Yt^et=xt-^a-^byt31Xt,Yt,Xt,Yt,XY,X,YGranger,,Granger:yt=c1+pj=1ajyi-j+qk=1bkxt-k+etOLS,:H0b11=b12==b1q=0F:Ft=[RSS(U)-RSS(R)/q]RSS(U)/(N-p-q-1),RSS(R),RSS(U)7320066b11=b12==b1q=0,N,qxFtFa,H0,XY,H0,XYXY,YX1991-2005GDP(SHANGZH)A(1),ADF(ZGDP,ZSHANGZH),ZGDPZSHANGZH(GDPA),(2)1GDPSHANGZH(:)GDPSHANGZH1991216171816816333199226638116621177519933463414667116331994467591474013383199558478118011259219966788416104312231997744621612381013199878345121332186919998206715146810132000894681120141113200197314182029186920021051721316501949200311725119149710420041365151012661502005150029191161105:2005,219912005ADFADF(1%,5%,10%)ZGDP-21741541333-411366,-311483,-217180DZGDP-31099534333-412207,-311801,-217349D2ZGDP-4103929133-413260,-312195,-217277ZSHANGZH-11594477-411366,-311483,-217180ZDSHANGZH-3161710133-412207,-311801,-217349D2ZDSHANGZH-3161710133-413260,-312195,-217577:11333335%10%,5%10%21DD22:5%,GDPI(2)(,),SHAN2GZH,I(2),GDPSHANGZH,ADF,,,(t,,),,I(0),,:ZGDP=01160697+01024850ZS(T=61011)(T=0174)HANGZHR2=01044F=0155,8320066,,GDP,,(SHANGZH)(GDP),:,(GDP),,,2001,7%,,,,,(),,,,,,,,,,,,,,,,,[1]OluwoleOwoye1TheRelativeImportanceofMonetaryandFiscalPoliciesinSelectedAfricanCountries[J]1AppliedEconomics,1994,(11)1[2]BenBernanke,MarkGertler1MonetaryPolicyandAssetPriceVolatilityinNewChallengeforMonetaryPolicy[Z]1ASymposiumSponsoredbytheFederalReserveBankofKansasCity,JacksonHole,Wyoming,1999,(8)1[3]1[M]1:,20011[4]1[J]1,2002,(4)1[5],1[J]1,2002,(3)1[6]1[J]1,2002,(2)1[7],1:[J]1,2005,(1)1[8]1[J]1,2005,(12)1(:)93