/

I.
1990- ,
,
.
.
,
, .
2- , 3- ,
.
II.
. , ,
arkup , , ,
, ARIMA .
ARIMA,
.
Box-Jenkins- ARIMA ,
, .
.

ARIMA ,

.
Christopher Sims (1980)
(VAR) . VAR n-, n-
n-1
.
. VAR , ,
, . ,
VAR
(J. Stock M. Watson 2001)

III.
ARIMA

.
.

1- ,

( 2.)

.
1
()
450
400
350
300
250
200
150
100
50
0
1993

1994

1995

1996

1997

1998

1999

2000

2001

2002 12

1.2
1.0
0.8
0.6
0.4
0.2
0.0
1

11

13

15

17

19

21

23

25

27

29

31

33

35

 ( ADF ) 1-
(first order difference) .
3.

0.3
0.2
0.1
0.0
-0.1
-0.2
-0.3
1

10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

7, 12-
.
(RMSE) ARIMA :
dlog(Inf)t = - 0.006 + et - 0.953et-12
(-5.53)

(-58.0)

: dlog(inf) - 1
e - , t
VAR
VAR ,
, .
. ADF
.
(Clements, Hendry 1995) VAR ,
VAR, VAR-
.

1 . VAR-
Akaike, Schwarz-
.

Akaike 2, Schwarz 1

Akaike VAR- 2-

VAR1 3 : (reduced), ,

(recursive, Sims 1980) (structural, Bernanke, Blanchard, Watson, Sims, 1986).

VAR-

(misspecification) .
(impulse
response function) (variance decomposition)
.

cholesky-

( 4) .
4.

0.030
0.025
0.020
0.015
0.010
0.005
0.000
-0.005
-0.010
1

10

11

12

.
2002 12
RMSE- ARIMA 6.73, VAR 7.25 . ARIMA
VAR - . 2
2003
( 5).

X t = A1 X t 1 + A2 X t 2 + L + An X t n

 5.
ARIMA

VAR

25
20
15
10
5
0
-5
-10
2000

2001

2002

2003

ARIMA
VAR

1
1.8
1.1
1.4

2
0.3
0.1
0.2

3
1.5
1.7
1.6

4
-0.4
0.3
-0.1

5
-3.1
-1.1
-2.1

2003
6
7
-2.8 -2.0
-0.5
1.2
-1.6 -0.4

8
-1.8
4.7
1.5

9
-1.2
6.6
2.7

10
-1.1
6.7
2.8

11
-2.9
5.6
1.4

12
-5.0
4.0
-0.5

ARIMA, VAR .

.

VAR

(Clements, Hendry 1995).

IV.
2003 .
ARIMA, VAR . VAR
,
.
,
.
ARIMA, VAR
. 2003 ARIMA

-5.0 , VAR 4.0

.
2-4
.

 :
Bernanke, Ben S. 1986. .
Carnegie-Rochester- . 25, pp. 49 99.
Blanchard, Olivier J., and Mark W. Watson. 1986.
? in . R.J. Gordon, editor. Chicago: University of Chicago Press.
Clements, M.P. and D.F. Hendry (1995). .
, 10, 127-146
Sims, Christopher A. 1980. , Econometrica. 48, pp. 1-48.
Sims, Christopher A. 1986.
? Minneapolis- , . pp. 2 16.
James H. Stock, Mark W. Watson " " ,
, 2001