通货膨胀、失业与劳动力变动率的关系 在法国：协整检验

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摘要翻译：
在发达经济体中，通货膨胀、失业和劳动力变化率之间存在线性和滞后关系，p(t)=A0UE(t-t0)+A1DLF(t-t1)/LF(t-t1)+A2，其中A0、A1和A2是经验的国别系数。法国的关系为a0=-1,a1=4,a2=0.095,t0=4年,t1=4年。对于GDP平减指数，它提供了1971年至2004年期间四年的均方根预测误差(RMFSE)1.0%。对这种关系进行了协整检验。关系中涉及的三个变量都被证明是一阶积分。使用了两种协整检验方法。首先是基于单位根检验的Engle-Granger方法在线性回归残差检验中的应用，其中还包括一些规范检验。第二种方法是基于VAR表示的Johansen协整秩检验，通过一组适当的检验也证明了该方法的有效性。这两种方法都证明了变量是协整的，前人研究中揭示的长期均衡关系与拟合优度和RMSFE的统计估计是一致的。通货膨胀与劳动力之间的关系以及失业与劳动力之间的关系在适当的时间间隔内分别进行了检验，1995年法国银行推出的货币政策没有扰乱长期联系。所有个体关系在相应区间内协整。对VAR和向量误差修正(VEC)模型进行了估计，在四年期内，GDP平减指数（降至0.9%）和CPI(~1.1%)的RMSFE都在回归研究的结果上得到了边际改善。
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英文标题：
《Relationship between inflation, unemployment and labor force change rate
  in France: cointegration test》
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作者：
Ivan O. Kitov, Oleg I. Kitov, Svetlana A. Dolinskaya
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
--

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英文摘要：
  A linear and lagged relationship between inflation, unemployment and labor force change rate, p(t)=A0UE(t-t0)+A1dLF(t-t1)/LF(t-t1)+ A2, where A0, A1, and A2 are empirical country-specific coefficients, was found for developed economies. The relationship obtained for France is characterized by A0=-1, A1=4, A2=0.095, t0=4 years, and t1=4 years. For GDP deflator, it provides a RMS forecasting error (RMFSE) of 1.0% at a four-year horizon for the period between 1971 and 2004. The relationship is tested for cointegration. All three variables involved in the relationship are proved to be integrated of order one. Two methods of cointegration testing are used. First is the Engle-Granger approach based on the unit root test in the residuals of linear regression, which also includes a number of specification tests. Second method is the Johansen cointegration rank test based on a VAR representation, which is also proved to be an adequate one via a set of appropriate tests. Both approaches demonstrate that the variables are cointegrated and the long-run equilibrium relation revealed in previous study holds together with statistical estimates of goodness-of-fit and RMSFE. Relationships between inflation and labor force and between unemployment and labor force are tested separately in appropriate time intervals, where the Banque de France monetary policy introduced in 1995 does not disturb the long-term links. All the individual relationships are cointegrated in corresponding intervals. The VAR and vector error correction (VEC) models are estimated and provide just a marginal improvement in RMSFE at the four-year horizon both for GDP deflator (down to 0.9%) and CPI (~1.1%) on the results obtained in the regression study.
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PDF链接：
https://arxiv.org/pdf/0811.0896

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关键词：通货膨胀 协整检验 变动率 劳动力 relationship 进行 unemployment 发达 预测