МОНГОЛЫН ХӨРӨНГИЙН ЗАХ ... - mse.mn · PDF fileэрсдэл, хууль...
If you can't read please download the document
Transcript of МОНГОЛЫН ХӨРӨНГИЙН ЗАХ ... - mse.mn · PDF fileэрсдэл, хууль...
1
(MSMM) : ,
: .
.-
. , , .
2
MSMM
, ,
, .
, 2008 4
2010 4 .
, 4
,
2009 2
.
,
(
, , - )-
.
3
I.
,
. ,
,
.
, ,
.
,
,
.
,
,
.
,
.
,
.
,
.
. , ,
,
,
1 .
(MSMM)-
.
MSMM-
2 .
1 , ,
, .
2
.
4
.
,
(MSMM)- .
MSMM
,
,
.
,
.
, ,
.
,
.
,
.
, .
,
. ,
,
,
.
MSMM ,
,
.
,
.
MSMM
, ,
.
5
MSMM ,
,
, .
. 2 , 3
MSMM , 4
MSMM
, 2009-2010 , 5
.
II. : ,
.
,
.
. ,
Demirguc-Kunt Levine (1996a), Singh (1997), Levine, Zervos (19980)
.
Demirguc-Kunt Levine (1996b)
. Garcia Liu (1999)
. ,
,
.
.
Charles Amo Yartey
(2008)-
42
. , ,
, ,
, ,
.
.
6
Vally Koubi (2008)
,
.
, ,
.
Tsuyoshi Oyama (1997)-
.
(DDV)- ,
.
, ,
.
, ,
- 3
,
,
.
(Gravity model)- .
, ,
. Huang Jui-Chi, Ates Aysegul,
Brahmasrene Tantatape (2006)
, ,
() .
.
, ,
4 ,
5
. MSMM
,
.
c
Carroll Weil (1994) ; Rahman 3 Song-Zan, Chiou-Wei (2003), The Macro Economic determinants of stock price volatility, Nan-Hua University.
4 Malliaris, Urrutia (1992), Habibullah, Baharumshah (1996), Abdulla, Murinde (1997), Nieh, Lee (2001).
5 Chen, Roll, Ross (1986), Kwon, Bacon (1997), Bilson, Brailsford, Hooper (2001), Perotti, Oijen (2001).
7
Mustafa (1997) Jin Yu (1995) ;
Conte Darrat (1988) ; Hess Porter
(1993) ; Darrat Lopez (1989)
.
. , Thornton (1995) 22
. Luintel Khan (1999) 10
. Spears (1991)-
Ahmed Ansari
(1998)
.
Levine Zervos (1996, 2001) ,
. Luintel Khan (1999) 10
,
.
III. (MONGOLIAN STOCK MARKET MODEL) 3.1
,
. ,
.
.
(
)
.
.
.
.
.
8
,
,
, ,
, .
.
.
.
. :
ARIMA/ARFIMA (Autoregressive integrated moving average/
Autoregressive fractional integrated moving average);
(VAR),
(BVAR) (VEC),
(BVEC);
(SVAR),
(SBVAR)
(FAVAR);
(SVEC),
(SBVEC)-
;
SEM (Simultaneous Equation Model);
DSGE ( ).
1-
.
9
1.
SEM DSGE
( )
VAR VEC
BVAR BVEC
FAVAR SVAR SVEC
SBVAR SBVEC
( )
. :
ARIMA/Seasonal ARIMA/ARFIMA.
. ,
( ) . ARIMA/Seasonal
ARIMA/ARFIMA
. ARIMA/Seasonal ARIMA/ARFIMA
.
VAR/VEC/BVAR/BVEC. VAR/VEC
. VAR/VEC
.
,
. VAR/VEC
,
(over parameterization) ,
, .
BVAR/BVEC .
ARIMA
ARFIMA
(
)
10
SVAR/SBVAR/SVEC/SBVEC. VAR/VEC/BVAR/BVEC
6 ,
.
VAR/VEC/BVAR/BVEC
VAR/VEC/BVAR/BVEC
. VAR/VEC/BVAR/BVEC
. ,
.
. VAR/VEC/BVAR/BVEC
,
,
VAR/VEC/BVAR/BVEC
VAR/VEC/BVAR/BVEC .
(SEM).
.
. SEM
.
.
,
.
. , ,
,
. ,
6 -
.
11
.
(DSGE). DSGE
, ,
. ,
(, , )-
,
.
.
.
,
( ), Winsolve, Matlab
, .
.
,
, , .
, ,
, ,
SEM
SVAR
.
3.2 (MSMM) 3.2.1 MSMM
MSMM
. MSMM
12
, ,
, .
MSMM ,
. ,
SEM ( )-
, .
,
,
, , ,
.
,
.
MSMM
( -20 )-
,
,
.
MSMM . , MSMM
. ,
3.1 ,
.
Dornbusch (1976)-
.
,
.
MSMM Svensson (1998), Batini, Haldane (1999), yziak
(2002); Kos (2005) .
MSMM ,
,
.
, , , , , ,
.
13
MSMM 16
16
, 12 .
1- . 1- ,
.
. : , , IS
, LM , ,
, ,
, - .
3.2.1.1
MSMM
-20 .
.
.
- (1990,
1991)
.
(liquidity)
.
.
[1] =
- ( ); -
, -
( ).
.
[2] = , = , , = (, ) => = ,
G
() ( ), T
( ,
(turnover ratio)).
.
14
( )
2
-
-
(- )
/NEER/
/REER/
-
-
CPI Inflation
1. MSMM
15
[3] = 1 + 2, = 1 + 2, = 1 + 2
= log , = log , = log , = log , = log .
= [3] .
[4] = + = 1 + 2 + 1 + 2 = (1 + 1) + (2 + 2)
1 = 1 + 1, 2 = 2 + 2.
[4] (G)
(T) (Y)-
. ,
.
-
42 1980-
1987 .
,
(turnover ratio)
.
. , Garcia Liu (1999) ( ,
,
)
. Pagano (1993)
. La Porta (1996)
(, )
.
.
. :
.
,
, ,
.
16
pooled
, panel .
.
-
.
,
. ,
Garcia Liu (1999) Charles (2008)
.
-
.
[5] = 0 + 1=1 + 2
=1 + 3
=1 + 4
=1 + 5
=1 +
- (
, - )7;
0- ;
- , (
- ).
,
.
- (
,
(turnover ratio) ,
- ).
Miller (1991)
.
, .
, ,
(Levine(1991), Bencivenga, Smith
Star(1996)).
- (,
,
7 .
(cumulative)- .
17
).
(Garcia Liu (1999)).
.
.
- (
2 - ).
.
. Boyd Smith (1996)
. Demirguc-Kunt
Levine (1996)
.
. - ~(0, 2).
.
(1961)-
(Dividend Discount Model (DDM))- .
. 2
(Tsuyoshi (1997)).
.
,
( )- .
(1961)-
(Dividend Discoun
