搜索
?3:,(TVAR):1990120065,,,,,,:,,:TVAR3,,:130012,:zzquan2000@163.com;,,:yz2001915@163.com,lium258@163.com985(2004)(05JJD790005)(05BJY100)(70573040),NathanBalkeSimonPotter,,,()()(2005),12,,IS2LM,MM,,(Bernankeetal1,1999),(thegreatdepression),,,Fisher(1933)(debt2deflation),2070(informationalimperfections),MM(financialmarketimperfections),,,,7220076Bernanke(1996)(financialaccelerator),,,,,,,,,,,BernankeGertler(1989),GreenwaldStiglitz(1993),KiyotakiMoore(1997)AzariadisSmith(1998),,Balke(2000)Vijverberg(2004),,,,?,,(),KiyotakiMoore(1997):(1);(2),,(),,,,,,,,Bose(2002),,,,,,BernankeBlinder(1988),CC2LM(CC),,CC,,,,?,,,,82:?,,,(creditchannelview)(),(),,,:(1),;(2)(creditmarketconditions)(creditconstraints),200319144%,80156%,,,,,,,2002,(,2005),,,,,,,,,:,,(2005)VAR;,,,(2004)Granger;,,(2005),,,,,::?:?:?:,,,,,Tong(1978)(Potter,1999)(thresholdvectorautoregression,TVAR)VAR,(,regimesclasses),Balke(2000),TVAR,TVAR,,,,9220076,,,11TVARytk1,yt=(y1t,,ykt);cik1,Ai,jkk,i=1,2,j=1,,p;I(),zt,d,r,I(zt-d)=1,zt-dr0,zt-dr,TVAR:yt=(c1+pj=1A1,jyt-j)+(c2+pj=1A2,jyt-j)I(zt-d)+t(1),tk1,0,,tl,(tt)=0,ztyt,(1)TVAR,,TVAR,STVAR,21TVAR,(1)A1,j=A2,j,TVAR,2,,(Daviesproblem),,,TVAR,WaldWald:sup2WaldWald;avg2Waldexp2WaldAndrewsPloberger(1994)Wald,avg2WaldWald,exp2WaldWaldHansen(1996),p,,p,bootstrap,Hansen(1996)Wald31TVAR,M1,,,M1,TVAR,03:?:(1);(2);(3)(Kashyapetal,1993,GertlerandGilchrist,1994):(1),;(2),,,,,,,TVAR,Tsay(1998)TVAR,GDP1994,20042005GDP,GDP1990120065,,,,,CPI(1989),YCPI(1989)M1(FC)X12,(LY)(INF)M1(LM1)(LFC)11ADF(1),I(1),,1ADF(C,T,K)ADF(C,T,K)ADFLY(C,0,0)-221675-31464333INF(C,T,4)-21715-311413INF(C,0,3)-111851-31465333LM1(C,T,0)-131103-31464333LFC(C,T,0)-121311-31464333:11(C,T,K);213333331%5%10%,TVARSC,1,AIC2,12,TVAR(2):,TVAR,,TVARSTVAR,1%,,TVARSTVAR,,,,,(impulseresponsefunction,IRF)(historical1320076Balke(2000)Bernankeetal(1997),VARWeise(1999)VAR,(2001),,decomposition),2TVARLFCTVAR:STVAR:sup2Waldavg2Waldexp2Waldsup2Waldavg2Waldexp2Wald=161510266121(01000)53119(01000)30134(01000)74143(01000)62123(01000)34138(01000)=241481585199(01000)68116(01000)39194(01000)106175(01000)79156(01000)48184(01000):111,(1)d=1;21Hansen(1996)Bootstrapp,500,():,,IRF,IRF,Koopetal.(1996)(generalizedimpulseresponsefunction,GIRF)GIRFTVARKoopetal.(1996),(1)GIRF:GIRFy(n,vi,st-1)=E[yt+n|vi,st-1]-E[yt+n|st-1],n=0,1,(2),vi,i;st-1t21,s;n,E[](2),t-1GIRF,11t-1t-1I(zt-d)=0,GIRFvk1Koopetal.(1996),GIRFy(n,vi,st-1):(1)vi(2)si,t-1(3)viyss,mt=f(si,t-1,)+vi,,(4)bootstrapTVARn13(5)3TVARysn,mt,,ysn,mt+n,(6)yss,mt3nTVARyss,mt+1,,yss,mt+N,23:?,,,RATS,1(7)36M(M=500),E[yt+n|si,t-1,vi]=1PMMm=1yss,mt+nE[yt+n|si,t-1]=1PMMm=1yns,mt+n(8)si,t-137,(9)E[yt+n|st-1,vi]E[yt+n|st-1],(2)GIRFy(n,vi,st-1)(10)vist-169,,,,n=15(1,,,)1,1,,,,,,332007622,,,=2(414815),1,1,,,,,,,1,,,,,,,(2005)LSTR,(),,,Bose(2002):,,():,,,,E[I(zt+n-1)=1|t-1,vi],GIRF,2,,,E[I(zt+n-1)=1|t-1]22,,,,,,,,M1,,,,,,(2005)2,,43:?,,,,,,,,,,,,(),,():2,,,,,,,,,:F(t-1,n,i)=E[yt+n|t-1,vit,vit+1,,vit+n]-E[yt+n|t-1](3),t-1t21,n,vit+jt+jiIRF,(realizedshocks),,,:R(t-1,n)=yt+n-E[yt+n|t-1]-ki=1F(t-1,n,i)(4)(4)R,,R(3)12,(4)R(3)(1996=100)()3,19922001,,,,,199514,19951,200016,19996115320076(2005),,:3R,,,19952199752000520013R,,199712200042001820026(),,2004320052,,,,,,,,,,,:,TVAR,,,GIRF1:,63:?,:,,,,,,:,,,,,,,,,,,,,,,,,,Whited(1992)HuSchiantarelli(1998)Vijverberg(2004),,2001:,12,2004:,9,2005:,5,2005::,12,2005:,11,2005:,1,2005:,2Andrews,D.andW.Ploberger,1994,OptimalTestsWhenaNuisanceParameterIsPresentOnlyundertheAlternative,Econometrica,62(6),13831414.Azariadis,C.andB.Smith,1998,FinancialIntermediationandRegimeSwitchinginBusinessCycles,AmericanEconomicReview,88(3),516536.Balke,N.,S.2000,CreditAndEconomicActivity:CreditRegimesAndNonlinearPropagationOfShocks,ReviewofEconomicsandStatistics,82(2),344349.Bernanke,B.S.andA.Blinder,1988,Credit,Money,andAggregateDemand,AmericanEconomicReview,78,435439.Bernanke,B.andM.Gertler,1989,AgencyCosts,NetWorth,andBusinessFluctuations,AmericanEconomicReview,79,1431.Bernanke,B.,Gertler,M.,andS.Gilchrist,1996,TheFinancialAcceleratorandtheFlighttoQuality,ReviewofEconomicsandStatistics,78,115.Bernanke,B.,Gertler,M.,andM.Watson,1997,SystematicMonetaryPolicyandtheEffectsofOilPriceShocks,BrookingsPapersonEconomicActivity,91116.7320076Bernanke,B.,Gertler,M.,andS.Gilchrist,1999,TheFinancialAcceleratorinaQuantitativeBusinessCycleFramework,in:Taylor,J.B.andM.Woodford,eds.,HandbookofMacroeconomics,Amsterdam:North2Holland,1,13411393.Bose,N.,2002,Inflation,theCreditMarket,andEconomicGrowth,OxfordEconomicPapers,54(3),412434.Fisher,L.,1933,TheDebtDeflationTheoryoftheGreatDepression,Econometrica,1,337357.Gertler,M.andS.Gilchrist,1994,MonetaryPolicy,BusinessCycles,andtheBehaviorofSmallManufacturingFirms,QuarterlyJournalofEconomics,109,309340.Greenwald,B.andJ.E.Stiglitz,1993,FinancialMarketImperfectionsandBusinessCycles,QuarterlyJournalofEconomics,108(1),77114.Hansen,B.E.,1996,InferenceWhenaNuisanceParameterIsNotIdentifiedUndertheNullHypothesis,Econometrica,64(2),413430.Hu,X.,andF.Schiantarelli,1998,InvestmentandCapitalMarketImperfections:ASwitchingRegre