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2(267)20062ResearchonFinancialandEconomicIssuesNumber2(GeneralSerialNo1267)February,2006:1,2(11,300071;21,300400):,()(),,,,,,::;;;;:F015:A:10002176X(2005)0220003208,,,,19972004,,,:1997,40%,,GDP,,1997318%-715%,1113%[1];,20041226,,,1226,,,,,,,(),,2070,:,,,,:2005212208:(1973-),,,,,,()[2],,,,[3],,,,,,,,(),,,,,;,,,,,,,,,,,,:()():,,stein(1995)[4]charleskayuileung,Garionchikeunglauyoungmanfaileong(2002),[5]JohnKrainer(2001),(hotrealestatemarket),,,,(coldrealestatemarket),,,,[6]SmirlockandStarks(1985):,[7]1987Karpoff,,[8](2004)GARCH,,,,,,[9],(2003)(SV)(MCMC),,,,[10],B1D1Mccullough(1997),,(P),,(EMH),EMH,,,,,[11]Bong-SooLeeOliverM1Rui(2002),[12]420062267,,,,,:(),Bong-SooLeeOliverM1Rui(2002)(NewYork,TokyoandLondon),(),()[11]:(1);(2);(3),1987,,,Schwert(1990)Gallantetal1(1992),,,,[13][14]SchwertGallantetal1,Hung-GayFungGaryA1Patterson(1999),[15],,()()(),,,,(),,,,,,,,,,,,,,,,()TomasDvorak(2003)(),,,19901998,3%,,,,,,,,,,,,,,,199357,199256%,:,,,;1998,,5:[16](),,,,,,,,11:,1;;,,;;;;;;;,,;,,,,1,,,,,,,,BeanCharles,2003;Bernanke,BenandGertler,Mark,2001;Greenspan,Alan,2002;Bordo,ClaudioandLowe,Philip,2002,,,,,,:,,,,,,,,,620062267:(),(MorrisA1Copeland)1947,581959,,:,,,:,,,,(,2000):(1),(2),,WCED1963,(3),(4)SN(1965):(1):;,;;(2),,(3),,,(4),,,(5),,,(1987),1,2000ChristopherJ1GreenVictorMurinde,,2,,,,,,2,,,,,,19931994,,,19957:1()()()()()()2ChristopherJ1GreenVictorMurinde(P)(BA)(G)(FO)11-111(T)TP-TG-112(C)CP-CGCFO113(I)IP-IGIFO(S)SP-SGSFO21211(K)KP-KGKFO212(L)LPLBALG-213(M)MPMBAMG-214(F)--FGFFO(W)WPWBAWGWFO:(),,,,,,,2070,,203040,,,,,,;,GDP,,,,,,,,,,,GDP,,;,,,,820062267,,,,,(),,,,,,,,,,,,333,,,:,,,;,9:,,(),:,,,,,:[1]1[M]1,1999151[2]11993-2003[J]1,2004,(9)1[3]1[J]1,2004,(8)1[4]Stein,J1PricesandTradingVolumeintheHousingMarket:AModelwithDown-PaymentEffects[J]1QuarterlyJournalofEconomics,1995,110:379-4051[5]CharlesKaYuiLeung,GarionChiKeungLauandYoungmanFaiLeong,TestingAlternativeTheoriesofthePropertyPrices-TradingVolumeCorrelation[J]1JournalofRealEstateResearch,2002,Vol123,No131[6]JohnKrainer1ATheoryofLiquidityinResidentialRealEstateMarkets[J]1JournalofUrbanEconomics,2001,49:32-531[7]Smirlock,M1,L1Starks1AFurtherExaminationofStockPriceChangesandTransactionsVolume[J]1JournalofFinancialResearch,1985,8:217-2251[8]Karpoff,J1M1Therelationbetweenpriceschangesandtradingvolume:Asurvey[J]1JournalofFinancialandQuantitativeAnalysis,1987,22:109-1261[9],1GARCH[J]1,2004,(7)1[10],1[J]1,2003,(3)1[11]B1D1Mccullough1AnAnalysisofStockMarketTransactionsData[J]1TheQuarterlyReviewofEconomicsandFinance,Fall1997,Vol137,No14,887-9031[12]Bong-SooLee,OliverM1Rui1Thedynamicrelationshipbetweenstockreturnsandtradingvolume:Domesticandcross-countryevidence[J]1JournalofBanking&Finance,2002,26:51-781[13]Schwert,G1W1Stockvolatilityandcrashof87[J]1ReviewofFinancialStudies,1990,3(1),77-1021[14]Gallant,A1R1,Rossi,P1,Tauchen,G1Stockpricesandvolume[J]1ReviewofFinancialStudies,1992,5:199-2421[15]Hung-GayFung,GaryA1Patterso,Thedynamicrelationshipofvolatility,volume,andmarketdepthincurrencyfuturesmarkets[J]1JournalofInternationalFinancialMarkets,InstitutionsandMoney,1999,9:33-591[16]TomasDvorak1Grosscapitalflowsandasymmetricinformation[J]1JournalofInternationalMoneyandFinance,2003,22:835-8641[17]BeanCharles1AssetPrices,FinancialImbalancesandMonetaryPolicy:AreInflationTargetsEnough?inA1RichardsandT1Robinson,eds1[R]1Assetpricesandmonetarypolicy1Sydney:ReserveBankofAustralia,2003,48-761[18]Bernanke,BenandGertler,Mark1ShouldCentralBanksRespondtoMovementsinAssetPrices?[J]1AmericanEco2nomicReview,May2001(PapersandProceedings),91,2:253-571[19]Bordo,ClaudioandLowe,Philip1MonetaryPolicyandAssetPrices:DoesBenignNeglectMakeSense?[J]1InternationalFi2nance,December2002,5(2):139-641[20]Greenspan,Alan1OpeningRemarks,inrethinkingstabilizationpolicy1KansasCity,MO:FederalReserveBankofKansasCity,2002,1-101(:)0120062267
本文标题:宏观资金流量观测模型新资金流量矩阵①
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