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C 0.025 0.D(LOG(CPIR/CPIE)) –0.834 0.D(LOG(PRODR/PRODE)) –0.298 0.CE(–1) –0.126 0.R 0.P value F стат. 0.Таблица П.Результаты оценки поведенческой модели Зависимая переменная: D(LOG(ERRE)) Период (скорректированный): 1999:3–2003:Количество наблюдений: 17 после корректировки Переменная Значение коэф. P value t стат.

C 0.037 0.D(LOG(CPIR/CPIE)) –0.480 0.D(LOG(RGDPR/RGDPE)) –0.173 0.D((RRR–RRE)) 0.008 0.D(LOG(EX+IMP)) –0.118 0.D(LOG(NFA)) 0.019 0.R 0.P value F стат. 0.Таблица П.Результаты проверки на наличие коинтеграционных соотношений модели портфеля активов Период 1999:4–2003:Количество наблюдений: 17 после корректировки Проверка наличия коинтеграционных соотношений Собств. значе 5% крит. 1% крит.

Гипотеза Статистика ние знач. знач.

При помощи trace статистики нет 0.921 100.678 39.89 45.не более 1 0.886 57.426 24.31 29.не более 2 0.669 20.472 12.53 16.не более 3 0.093 1.665 3.84 6.Trace тест показывает 3 коинтеграционных соотношения на 5% м и 1% м уровнях При помощи максимального собственного значения нет 0.921 43.252 23.800 28.не более 1 0.886 36.954 17.890 22.не более 2 0.669 18.808 11.440 15.не более 3 0.093 1.665 3.840 6.Max eigenvalue тест показывает 3 коинтеграционных соотношения на 5% м и 1% м уровнях LOG(ERRE) LOG(MONEYR) LOG(DC) LOG(NFA) Коэффициенты 1.000 –0.216 –0.171 –0.Стандартные –0.113 –0.088 –0.ошибки Таблица П.Результаты оценки модели портфеля активов Зависимая переменная: D(LOG(ERRE)) Период (скорректированный): 1999:4–2003:Количество наблюдений: 16 после корректировки Переменная Значение коэф. P value t стат.

C 0.092 0.D(LOG(MONEYR)) 0.165 0.D(LOG(DC)) –0.031 0.D(LOG(NFA)) 0.278 0.D(RE4ERRE) –0.231 0.D(LOG(RGDPR)) –0.024 0.CE(–1) –0.676 0.R 0.P value F стат. 0.Таблица П.Результаты оценки модели портфеля активов Зависимая переменная: D(LOG(ERRE)) Период (скорректированный): 1999:4–2003:Количество наблюдений: 16 после корректировки Переменная Значение коэф. P value t стат.

C 0.029 0.D(LOG(RAS)) –0.116 0.D(LOG(FAS)) –0.037 0.D(RE4ERRE) –0.147 0.D(LOG(RGDPR)) –0.113 0.R 0.P value F стат. 0.Литература 1. Abuaf N., Jorion P. Purchasing Power Parity in the long run // Journal of Finance. 1990. № 45(1). P. 157–174.

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