C = 0.9 YD

1
???????????????????????
??.??????? ??????????
2
???????????????

1. ?????????????????????????????????????????
2. ??????????????????????????
3. ????????????????????????
4. ?????? ????????

3
????

• ????????????
• ??????????????????????????????????????????????????
  ?????
• ??????????????????????????????????????????????????
  ???????????????

4
????

• ????????????????????????? ????????????????????????
  ??????????????????????????????
• C 0.9 YD
• ??????????????????? ???????????
  ??????????????????????????????????????????????????
  ???? ???????????????????????????????????????
  ??????????????????????????????????????

5
??????????????????????????????????
36 Jan Tinbergen - Netherland
Model 40s Lawrence Klein Tinbergen - US
Model 60s Brooking Model 70s Wharton Model,
Chase Model
6
??????????????????????????????????
76 Robert Lucuss Critique Any change in
policy will systematically alter the structure
of econometric models No use of MM for policy
analysis. 80s 1) Sim - atheoretical VAR 2)
Hendry - General to Specific Approach 3)
Rational Expectation FRB/US, 70s Wharton
Model, Chase Model
7
??????????????????????????????????
80s/90s
76
Keynes Supply/ I/O Rational Expectation Micro-fou
ndation CGE Time series techniques Error
Correction Model
50s
40s
Keynes Supply/ I/O Rational Expectation Vector
Auto- Regressions
Keynes Supply/ I/O
Keynes
8
?????????????????????????????????
00s
80s/90s
70s
Keynes Time Series Techniques BOT Models FPO
Models
Keynes/ Supply/ I/O Bandid Nijathaworn and Arya
(1987)
66
Keynes/ Supply/ I/O ??????? ????????
(2519) ??????? ?????????? ?????? (2524) ?????
?????????? ?????? (2522)
Keynes ?????? (2509)
9
???????????????

1. ??????????????????????????????????
2. ???????????????????????????????????
3. ????????????????????????
4. ?????? ????????

10
FPO Models
Financial Programming Spread sheet
Core Macro Model
Fiscal Model
Early Warning System
Other Models
11

• ????????????????????
• ?????????????????????? (Policy Simulation)
• ????????????? ???????????????????? (Economic
  Simulation and Forecasting)
• ????????????????????
• ????? ????????????

12
ECONOMY
Financial Sector
Disposable Income
PRICE
Governments Expenditure
Governments Balance
Direct Tax
Indirect Tax
13
????????????????????????????????????? TAX BLOCK
??????????????
DTAX RATE
MODEL
Disposable Income
Consumption (CP)
Government Spending
Government Revenue
IDTAX RATE
Government financing
ETR_IDTAX
Consumer Price Index
14
???????????????????????????????????????
MODEL
Domestic Financing
MLR
Liquidity
Government Spending
Government Balance
Foreign Financing
Money Supply
Inflation
GDP
15
???????????????
PIT
3 EQ
DTAX
5 EQ
CIT
PTT
TAX
EXCISE
1 EQ
VAT
2 EQ
IDTAX
IMTAX
1 EQ
SBT
1 EQ
16
OIL PRICE vs. MODEL
MODEL
CP
CPI
PAGR
OIL PRICE
XG
ER
MG
PMG
17

• ????????????????????????????????????
• ??????????????? ( Structural Equations)
• Modern Econometrics
• General to Specific (Hendry approach)

18
SELECTION PROCEDURES
Unit Root Test
Variables
CO-INTEGRATION
Fail
Fail
Pass
Pass
OLS At I(0)
ECM
I(1) I(0)
Individual equation sig.of coefficient,
expected sign, normality, serial correlation,
hetero-skedasticity, Specification Ramsey Reset
Test, stability chow Test
System of equations Root Mean Square Error, MAPE
19
????????????????????
????????? ????????? ????????
????? ?????? ??????
????????
?? ?????????
???????? ?????? ????????
20
???????????????

1. ??????????????????????????????????
2. ???????????????????????????????????
3. ????????????????????????
4. ?????? ????????

21
???????? ??????????????????? ???????????????????????
??????????? 103 126
- ????? 65 88
- ?????? 38 38
?????
- ???????????? 16 9
- ??????? 10 48
- ??????? 7 7
- ???? 17 14
- ????????????? 13 8
22
???????? ??????????????????? ???????????????????????
??????? - ???????????????????????????????? - ????????????????? - ??? Rational Expectation ?????????? Explicit forward looking
???????? supply side - ???????? supply side
23
Rational Expectation
MODEL
Expected Core Inflation 0.25CINFLAT(-1)
0.25CINFLAT 0.50CINFLAT(4)
Private Investment f (MLR - CINFEX)
24
???????? TDRI ???
??????? - ?????????? 71 ???? ?????????????????? 8,009 ?????? ??????????????????????????? ?????????? ???????????????? ?????????????????????? - ?????????? 61 ???? ???????????????? ????????????????? - ??????????????????????????? ?????????? ???????????????? ??????????????????????
?????????????? - ??????????????
25
???????????????

1. ??????????????????????????????????
2. ??????????????????????????
3. ????????????????????????
4. ?????? ????????

26
?????? ????????
1. ???????????????????????????????????????????????
??????? ????????????????????????????????????????
??????????????????????????????????
?????????????????????????????????????????????????
???? ???, ??? ??? ??? 2. ????????????????????
???????????????????????????????????????????????
??????????? ??????????????????????????????????????
???????????????????????? TDRI, ???, ??? ???
??? 3. ??????????????????????????????????????
??????????????????????????????????????????????????
??????? ????????????????????????????????
?????????????? ??????? ?????? ????????????????????
?
27
?????? ????????

• 4. ?????????????????????????????????????????????
  ??? ??????????????? ??????????????????????????????
  ??????????????????????????
• 5. ????????????????????????????????
  ????????????????????????????????????????
  ????????????????????????????????????
• ?????????????????????????????????????????????????
  ?????????????????????????????????????? ????
  FRB/US (300 ????? ??? core ??? 50 ?????)
• IMF - MULTIMOD Mark III

28
?????? ????????

• ???????????????????????? ?????????????????????????
  ????????????????????????????? ???????? ??????
  expectation ??????????????? econometrics ?????
• ???? MULTIMOD Mark III, BOT Model

29
??????????????????????????
00s
80s/90s
Micro-foundation Dynamic CGE eg Global Economic
Model (IMF) Bank of Canada, Bank of England Time
series techniques Error Correction
Model Structural VAR eg. Small Macro- Econometric
Model of HK Hybrid eg, JEM ( Dynamic CGE
VAR) Others Current Quarter Model
76
Keynes Supply/ I/O Micro-foundation CGE Time
series techniques Error Correction Model
Keynes Supply/ I/O Rational Expectation Vector
Auto Regression
30

For one who has no objective, nothing is
relevant Confucius