我国国债发行规模影响因素的VAR模型分析

基于向量自回归(VAR)模型,运用单位根检验、Granger因果关系检验、脉冲响应函数、方差分解、等计量经济分析方法,对1981-2007年影响我国国债发行规模(NDS)的因素进行实证分析,说明了财政赤字规模(FD)和信贷规模(LS)的变化是影响国债发行规模变化的重要因素,两者对国债发行都产生正面效应,而且后者的作用更为显著,但两者对国债发行规模变化的影响都会随着时间延长而逐渐衰减。

Analysis of Influencing the Issue Scale of National Debts Factors by Using the VAR Model

Based on the Vector Autoregressive(VAR) Model,this thesis uses the unit root test,Granger causality test,impulse response function,variance decomposition,and equality measurement econometric analysis,to do empirical analysis of factors which had important impacts on treasury bonds(NDS) during1981-2007.The results show that changes of financial deficit(FD) scale and the credit scale(LS) are important factors affecting the scale of treasury bonds.Both of them have a positive effect on the national debt,and th...