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刘金全于惠春ABSTRACTByusingtheVARmodel,wefindthatthereexistsnoobviousGrangercausalitybetweeninvestmentandrealGDPinChinaseconomy.Wealsofindthatthereisinstantaneouscausalitybetweenthem.TheGrangercausalityhastheasymmetryinthebusinesscycle.Duringtheperiodoffluctuations,investmentdoesGrangercausetherealoutputintheaggregatelevel.Duringtheperiodofrecession,theydoGrangercauseeachotherintheirstochasticcomponents.:;;Granger;(79900025)(OOCJY003)(2000ZDXM790009)一引言,(KydlandPrescott,1982)GDP,,,,GDP,,,(GDP)GDP(DeLongSummers,1992),,GDP?,(PodreccaCarmeci,2001),,;,,,1GDP,,GDP,2GDP(H-P),1996,,3GDP,3,GDP,19964GDP,,78%1520%,,,GDP,,VARGranger,26StatisticalResearch20021No.12002,,1GDP2GDP3GDP二向量自回归模型的Granger影响检验和检验结果YtGDP,GYt,CYtCGYtFIt(),GFIt,CFItCGFIt14GDPGranger,VAR,(Mills,1999):Yt=10+pi=11iYt-i+pi=11iFIt-iFIt=20+pi=12iYt-i+pi=12iFIt-i:H01i=0,i=1,,p,Granger(Granger,1969),,:H02i=0,i=1,,p,Granger,,,,1(p=4,Granger,),1,1,,,Granger,,,Granger,,(,-t)2,,,;,,27:1(,)(,)GrangerFFIGrangerY03930811GFIGrangerGY01970937CFIGrangerCY05310714CGFIGrangerCGY00640992YGrangerFI07380576GYGrangerGFI01920940CYGrangerCFI13080298CGYGrangerCGFI02760890232(,)(,)TFIY10020000*GFIGY06670510CFICY10280000*CGFICGY-00680946YFI10020000*GYGFI06670510CYCFI10280000*CGYCGFI-00680946:*5%,,,(0868);,,0873,4(08530735),,,,Granger3(,2001),96,,,1992119954,;1996120003,,,p=24,Granger,GDPGranger,GDP,,;,,Granger,Granger,,GDP,三Granger影响检验结论及其经济政策启示,,,GDPGranger,1992;GDP,GDP,GDP,,GDP,GDP,,,GDPGranger,,GDPGranger3=-4=-3=-2=-1=0=1=2=3=4cov(Yt,FIt-)057406030657073508680744068805880591cov(GYt,GFIt-)016001140035013601150056000901050123cov(CYt,CFIt-)0735-0256-0063-04740873-0283-0076-04730852cov(CGFt,CGFIt-)0057-0011-01090013-0012-0073-017700200065284GrangerFFIGrangerY45680042*YIGrangerFI00550947GFIGrangerGY78120011*GYIGrangerGFI05620589CFIGrangerCY05490596CYGrangerCFI02890755CGFIGrangerCGY19000205CGYGrangerCGFI01350875FIIGrangerY03380719YIGrangerFI25400115GFIGrangerGY06460540GYIGrangerGFI02770762CFIGrangerCY15430000*CYGrangerCFI72860007*CGFIGrangerCGY04350656CGYGrangerCGFI0631054719961,Granger,,,:,,Granger;,GDP,,,,;,Granger,GDP,,Granger,8%GDP10%50%,,,(,2001),(),,,,()(),,,,[1]刘国光对当前经济形势的几点看法,数量经济技术经济研究,2001年第6期[2]刘金全,范剑青中国经济波动的非对称性和相关性研究,经济研究,2001年第5期[3]DeLong,J.B.andSummers,L.H.1992.Equipmentinvest-mentandeconomicgrowth,QuarterlyJournalofEconomics,106:445502.[4]Granger,C.W.J.,1969.Investigativingcausalrelationsbyeconometricmodelsandcross-spectralmethods.Econometr-ica,37,2436.[5]KydlandF.,andPrescott,E.,1982.Timetobuildandag-gregatefluctuations.Econometrica,50(6):13451370.[6]Mills,T.C.,1999.TheEconometricModellingofFinancialTimeSeries,secondedition,Cambridge:CambridgeUniver-sityPress.[7]Podrecca,E.andCarmeci,G.,2001,Fixedinvestmentandeconomicgrowth:newresultsoncausality.AppliedEconom-ics,33:177182.:刘金全,男,1964年生人,吉林大学数量经济研究中心理论研究室主任,经济学博士,教授,博士生导师于惠春,男,1952年生人,副教授(责任编辑:石庆焱)29: