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3

1. - , ...........................................................5 2.

..................................................................................................................99 3. (SMIM): /

...................................................................113 4.

/ / ...................................................................................155 5. ............179 6. ....................................195 7. ..........................................................203 8. ...........235 9. ..........257 10.

(SBVAR) ...............................................................................................................277 11. The role of the exchange rate in Mongolia: A shock absorber or a source of shocks?

................................................................................................................................341 12. : ,

............................................................................................................361 13.

...............................................................................................................389 14. - : -

................................................................................................................405 15. , :

(DSGE) ......................................................................................................419 16. .................453 17. (DSGE)- ...479 18. Measuring exchange market pressure in Mongolia: EMP index ..........................503 19. : EMP ...........533 20. , : ARIMA

............................................................................................565

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(-0.60) . , , , , . (-0.12) , .

21 World bank Country Profiles- Mongolia

" " - 6

47

4.9 /-2= , -1= , 0=, 1= 2= /

:,

(-0.43), (-0.43) . , / 4.10/. 4.10 /-2= , -1= , 0=, 1= 2= /

:,

-0.12-0.20

-0.23-0.24

-0.28-0.31-0.31

-0.33-0.33-0.33-0.34-0.35-0.36

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-0.44-0.47-0.48-0.49

-0.51-0.54

-0.60

-1.0 0.0 1.0

-

-

-0.33

-0.36

-0.37

-0.39

-0.42

-0.43

-0.43

-1.0 -0.5 0.0 0.5 1.0

,

" " - 6

48

4.3.2. 2010 36.0 12.0 30%- . 1- 9 - 80 - .

(-0.53) . - . , - , - , , , / 4.11/.

- . - , . - , .22 .

22 .

" " - 6

49

4.6. -

- , , , , .

- ,

: , 2006-2009 - - , .

, -

: , 2006-2009 : - 20- , - 20-99 , - 100 - . - 43%-, - 38%-, - 33%- .

0 10 20 30 40 50

%

43

32

17

38

27

14

33

23

11

0

10

20

30

40

50

% (

- 23-32%- , 11-17%- . , - .

. - .

- ,

: , , 2010

- 15%-, 34%- 19%, 62%- - . - .

- - 103 8- .

,

: Encyclopedia of the Nations, 2009

0

10

20

30

40

50

60

70

%

- /

- /

103918370605241302521118621

0 10 20 30 40 50 60

%

" " - 6

51

. (-0.65) . 2010 4 19.9%, - 18.3%, 21.8%, 18.5%- . - 12%- . . 4.11

/-2= , -1= , 0=, 1= , 2= /

:,

, . 1- 3 5 . . . - 1991 1 18- 13 , . - , - , . . 2010 4 45.5

-0.20

-0.33

-0.38

-0.39

-0.41

-0.47

-0.48

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-

-

-

-

" " - 6

52

347.5 , 2.5 - 277.6 . 7.6 , - 111.0 . , , , , . , , , . -, / 4.12/. 4.12 /-2= , -1= , 0=, 1= , 2= /

:,

4.4- , - , .

-1.0 0.0 1.0

-

-

" " - 6

53

4.4 /-2= , -1= , 0=, 1= , 2= / ,

:, /: ; : /

/

-

/

-

/

-

/

-1.01 -0.97 -0.65 -0.58 -0.54 -0.48 -0.47 -0.41 -0.39 -0.38 -0.33 -0.20 -1.22 -0.74 -0.65 -0.74 -0.52 -0.70 -0.46 -0.59 -0.26 -0.33 -0.24 -0.09 -1.18 -1.10 -0.38 -0.58 -0.56 -0.58 -0.68 -0.78 -0.54 -0.64 0.06 0.02 -1.17 -0.94 -0.72 -0.70 -0.43 -0.38 -0.43 -0.15 -0.39 -0.34 -0.06 0.09 -1.16 -1.00 -0.55 -0.41 -0.45 -0.33 -0.41 -0.35 -0.33 -0.29 -0.12 0.16- -1.14 -1.08 -0.68 -0.56 -0.56 -0.44 -0.36 -0.36 -0.40 -0.38 -0.12 0.06- -1.13 -0.83 -0.56 -0.63 -0.48 -0.46 -0.19 -0.23 -0.17 -0.15 -0.04 0.10 -1.12 -1.04 -0.78 -0.62 -0.59 -0.40 -0.33 -0.43 -0.21 -0.27 -0.19 -0.02 -1.08 -1.02 -0.71 -0.49 -0.47 -0.45 -0.20 -0.33 -0.49 -0.27 -0.02 0.08 -1.06 -1.02 -0.59 -0.39 -0.55 -0.29 -0.04 -0.45 -0.24 -0.12 0.00 0.31 -1.06 -1.00 -0.94 -0.88 -1.00 -0.94 -0.76 -0.49 -0.80 -0.63 -0.67 -0.47 -1.04 -1.08 -0.72 -0.58 -0.62 -0.56 -0.20 -0.24 -0.28 -0.08 -0.12 0.10 -1.04 -1.06 -0.53 -0.53 -0.33 -0.37 -0.47 -0.43 -0.39 -0.31 -0.18 0.00 -1.02 -1.01 -0.67 -0.61 -0.57 -0.51 -0.56 -0.43 -0.48 -0.49 -0.53 -0.49 -0.98 -1.10 -0.92 -0.60 -0.80 -0.62 -0.62 -0.50 -0.36 -0.50 -0.52 -0.10 -0.94 -0.76 -0.51 -0.71 -0.45 -0.51 -0.41 -0.59 -0.27 -0.24 -0.16 0.18 -0.94 -0.86 -0.68 -0.58 -0.58 -0.52 -0.58 -0.42 -0.40 -0.34 -0.14 0.02 -0.92 -0.94 -0.55 -0.57 -0.45 -0.35 -0.55 -0.39 -0.39 -0.41 -0.47 -0.25 -0.92 -0.96 -0.96 -0.42 -0.78 -0.70 -0.72 -0.48 -0.08 -0.12 -0.06 0.16 -0.90 -0.90 -0.56 -0.52 -0.40 -0.44 -0.38 -0.36 -0.20 -0.30 -0.10 0.18 -0.76 -0.83 -0.60 -0.35 -0.35 -0.16 -0.25 -0.24 -0.07 -0.08 0.04 0.23 -0.76 -0.45 -0.35 -0.20 -0.43 -0.45 -0.24 -0.39 -0.14 -0.24 -0.20 0.14 -0.69 -0.82 -0.33 -0.49 -0.18 -0.24 -0.31 -0.27 -0.27 -0.10 -0.04 -0.02

" " - 6

54

, , , . , .

- . , / 4.5/. , , . , . , . 4.5 /- / /-2= , -1= , 0=, 1= , 2= /

:,

4.3.3. , - , 2007 - - . - - - , - , , - , , , . - -

/ / - / -1.07 -1.01 -0.97 -1.01- / -1.05 -0.93 -0.94 -0.97 -0.63 -0.72 -0.62 -0.65 -0.58 -0.61 -0.55 -0.58 -0.49 -0.58 -0.55 -0.54 -0.43 -0.52 -0.49 -0.48 -0.45 -0.51 -0.47 -0.47- -0.36 -0.44 -0.42 -0.41 -0.40 -0.36 -0.40 -0.39 -0.33 -0.40 -0.40 -0.38 / -0.29 -0.30 -0.38 -0.33 -0.19 -0.12 -0.29 -0.20

" " - 6

55

//- - . . - /2006 / - , .

, (-0.50) . , . , . / 4.13/. 4.13 /-2= , -1= , 0=, 1= 2= /

:,

, - , , , , , . //- , , . 2007 -, 2009 , - - , , . .

-0.42

-0.44

-0.46

-0.50

-0.54

-0.66

-1.0 0.0 1.0

,

,

" " - 6

56

2011 1 75,691 40,317 98% - . - 33% 12.000 . - , 23. .

, , , , - , . , -, , / 4.14/. 4.14 /-2= , -1= , 0=, 1= 2= /, ,

:,

, , , ,

23 - 60.0 - 10%- . - 31.0 - - 10%-, - 10%- . .

-1.0 0.0

-

-

" " - 6

57

/ 4.6/.

, , , . , , . , -, . - . . 4.6 ,

/-2= , -1= , 0=, 1= 2= /, ,

:, / : ; : /

- , (-0.66) / 4.7/.

/

,

,

-0.66 -0.54 -0.50 -0.46 -0.44 -0.42 -0.70 -0.72 -0.62 -0.52 -0.34 -0.56 -0.75 -0.65 -0.56 -0.43 -0.60 -0.52 -0.80 -0.63 -0.47 -0.63 -0.59 -0.45 -0.45 -0.57 -0.27 -0.33 -0.35 -0.35 -0.74 -0.52 -0.64 -0.42 -0.36 -0.37 -0.70 -0.52 -0.36 -0.50 -0.30 -0.30 -0.63 -0.51 -0.31 -0.69 -0.39 -0.16- -0.68 -0.50 -0.52 -0.46 -0.52 -0.14 -0.64 -0.48 -0.62 -0.58 -0.24 -0.45 -0.63 -0.47 -0.45 -0.41 -0.33 -0.29 -0.61 -0.43 -0.39 -0.45 -0.27 -0.29 -0.47 -0.41 -0.45 -0.65 -0.08 -0.31 -0.43 -0.41 -0.63 -0.22 -0.35 -0.18 -0.52 -0.40 -0.44 -0.48 -0.32 -0.36- -0.48 -0.38 -0.15 -0.15 -0.40 0.00 -0.50 -0.38 -0.41 -0.46 -0.32 -0.28 -0.80 -0.38 -0.68 -0.50 -0.26 -0.64 -0.64 -0.36 -0.14 -0.34 -0.30 -0.42 -0.50 -0.32 -0.36 -0.56 -0.36 -0.36 -0.37 -0.31 -0.27 -0.94 0.04 -0.22 -0.59 -0.28 -0.46 -0.48 -0.17 -0.46 -0.16 -0.22 -0.41 -0.33 -0.20 -0.08

" " - 6

58

, . - , - . . 4.7 , /-2= , -1= , 0=, 1= 2= /,

:,

2007 , 2 , 10 25% . - 99.9%- 10%- - , , .

4.3.4. (-0.37) . (-0.42) . . - - 1993 2005 , // . 2010 6 - . , , , .

(-0.37) .

/ / /- -0.69 -0.63 -0.67 -0.66, -0.61 -0.43 -0.57 -0.54 -0.54 -0.49 -0.47 -0.50 -0.49 -0.49 -0.40 -0.46 -0.49 -0.39 -0.46 -0.44 -0.47 -0.39 -0.39 -0.42

" " - 6

59

24 . , / 4.15/. 4.15 /-2= , -1= , 0=, 1= , 2= /

:,

, , -, . -, / 4.16/. 4.16 /-2= , -1= , 0=, 1= , 2= /, ,

:,

24 - - , , .

-0.26

-0.38

-0.39

-0.39

-0.42

-1.0 0.0

-1.00 -0.50 0.00 0.50

-

-

" " - 6

60

, / 4.8/. -, - - - . 2010 , , , , 80 . , , , . -, . , , - . - - - . 4.8 /-2= , -1= , 0=, 1= , 2= /

:, /: ; : /

-0.42 -0.39 -0.39 -0.38 -0.26 -0.61 -0.51 -0.98 -0.51 -0.49 -0.59 -0.53 -0.22 -0.49 -0.59 -0.54 -0.52 -0.28 -0.33 -0.50 -0.54 -0.44 -0.40 -0.20 -0.36 -0.47 -0.45 -0.51 -0.41 -0.27- -0.46 -0.74 -0.42 -0.72 -0.48 -0.46 -0.38 -0.55 -0.25 -0.15 -0.45 -0.47 -0.49 -0.47 -0.27 -0.44 -0.62 -0.50 -0.58 -0.46 -0.44 -0.36 -0.37 -0.37 -0.20 -0.43 -0.31 -0.27 -0.18 -0.39 -0.42 -0.74 -0.24 -0.56 -0.64 -0.41 -0.33 -0.46 -0.37 -0.37- -0.37 -0.04 -0.31 -0.31 -0.13 -0.36 -0.20 -0.34 -0.38 -0.24 -0.33 -0.25 -0.37 -0.33 -0.18 -0.33 -0.53 -0.20 -0.35 -0.27 -0.27 -0.37 -0.27 -0.21 -0.08 -0.26 -0.46 -0.38 -0.48 -0.30 -0.26 -0.42 -0.44 -0.36 -0.28 -0.22 -0.53 -0.43 -0.55 -0.31 -0.22 -0.18 -0.35 -0.41 -0.37

" " - 6

61

: . (-0.47) (-0.42) / 4.9/. . , , , , . 4.9 /-2= , -1= , 0=, 1= , 2= /,

:,

4.3.5. , 11,230 20 2010 , -, , , , , , . , 2010 2.5 14.7 . 2009 674 2010 773- . 2010 143.2 , 2009 0.3 .

(-0.18) . . , () / 4.17/.

/ / -0.47 -0.40 -0.38 -0.42 -0.47 -0.34 -0.37 -0.39 -0.43 -0.37 -0.37 -0.39 -0.44 -0.34 -0.36 -0.38 -0.28 -0.27 -0.24 -0.26

" " - 6

62

4.17 /-2= , -1= , 0=, 1= , 2= /

:,

, , , - . , -, 25 , / 4.18/. 4.18 /-2= , -1= , 0=, 1= , 2= /

:,

, -, , - , 25

0.24

-0.05

-0.31

-0.58

-1.0 0.0 1.0

,

,

-1.0 0.0 1.0

-

-

" " - 6

63

. , , . , - , . . , . / 4.10/. 4.10 /-2= , -1= , 0=, 1= , 2= /

:, /: ; : /

.

/

,

,

-0.58 -0.31 -0.05 0.24- -1.20 -0.84 -0.44 0.46 -1.18 -0.54 0.36 0.50- -1.06 -0.12 0.27 0.56 -1.04 -0.90 -1.10 0.22 -1.00 -0.62 -0.74 0.14 -0.94 -0.76 -0.53 -0.18 -0.90 -0.96 0.00 0.18 -0.88 -0.70 0.10 0.30 -0.84 -0.55 -0.29 0.00 -0.84 -0.16 0.22 0.46 -0.80 0.00 0.28 0.41 -0.68 -0.25 -0.10 0.15 -0.51 -0.39 0.10 0.24 -0.33 -0.01 0.14 0.43 -0.25 0.15 0.25 0.32 -0.24 -0.27 0.06 0.27 -0.04 -0.51 0.22 0.76 -0.02 -0.36 -0.08 0.44 -0.02 -0.33 0.02 0.25 0.01 -0.13 0.03 0.28 0.04 -0.35 -0.04 0.08 0.65 0.00 0.67 0.57

" " - 6

64

/ 4.11/. . . 4.11 /-2= , -1= , 0=, 1= , 2= /,

:,

4.4 , .

, , / 4.19/. , . 4.19 /-4 = , -3 = , -2 = , -1= , 0 = /

:,

/ / , -0.61 -0.54 -0.60 -0.58, -0.38 -0.27 -0.27 -0.31 -0.08 -0.01 -0.05 -0.05/ 0.17 0.35 0.21 0.24

-1.08

-1.32

-1.32

-1.39

-1.49

-1.50

-1.58

-1.60

-1.60

-1.62

-1.74

-1.84

-2.0 -1.0

,

, , ,

,

" " - 6

65

. , , . 2010 , , . . - //- - 2006 , , - - 2009 , . - 2012 . , , - . , , / 4.20/. 4.20 /-4 = , -3 = , -2 = , -1= , 0 = /

:,

, , -,

-3.0 -2.0 -1.0

-

-

" " - 6

66

. , . , , , . , , , . , - , . , , . / 4.12/.

" " - 6

67

4.12 /-4 = , -3 = , -2 = , -1= , 0 = /, ,

:, /: ; : /

/

,

,

,

,

,

-1.8

4-1

.74

-1.6

2-1

.60

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0-1

.58

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0-1

.49

-1.3

9-1

.32

-1.3

2-1

.08

-2.6

3-2

.49

-2.2

0-2

.33

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4-2

.33

-2.1

2-2

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1-2

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9-2

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-

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6-1

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0

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8-1

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6

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4

-

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8

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1-1

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7-1

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8-1

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8-1

.32

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0-1

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4

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0-1

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.32

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6-1

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6-1

.02

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2

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8-1

.51

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1-1

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.73

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1-1

.08

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1-0

.98

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6

-1

.78

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1-1

.90

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3-1

.73

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7-1

.59

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7-1

.80

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3-1

.47

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8

-1.7

6-1

.41

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4-0

.76

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8-1

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0-0

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3-0

.35

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.67

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5-1

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8-1

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.94

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4

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8-1

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1

-1

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8-1

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4

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2

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7

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" " - 6

68

, , , , . , . , / 4.13/. 4.13 /-4 = , -3 = , -2 = , -1= , 0 = /

:,

4.5 , , .

, / 4.21/.

/ / -1.96 -1.77 -1.80 -1.84, -1.90 -1.65 -1.69 -1.74 -1.68 -1.58 -1.59 -1.62 -1.66 -1.49 -1.65 -1.60 -1.65 -1.59 -1.57 -1.60, -1.78 -1.47 -1.51 -1.58, -1.61 -1.35 -1.53 -1.50 , -1.60 -1.40 -1.47 -1.49 -1.47 -1.32 -1.38 -1.39 -1.55 -1.16 -1.27 -1.32 -1.49 -1.10 -1.36 -1.32 -1.26 -0.89 -1.08 -1.08

" " - 6

69

4.21 /-4 = , -3 = , -2 = , -1= , 0 = /

:,

, , . , / 4.22/. 4.22 /-4 = , -3 = , -2 = , -1= , 0 = /

:,

, , , . , . ,

-1.20

-1.23

-1.24

-1.35

-1.7 -0.7 0.3

-2.5 -1.5 -0.5

-

-

" " - 6

70

, . , / 4.14/. 4.14

/-4 = , -3 = , -2 = , -1= , 0 = /

:,

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" " - 6

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" " - 6

100

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" " - 6

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" " - 6

102

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" " - 6

103

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" " - 6

104

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" " - 6

109

(27) 1- , MathCad . 0.446 2010 - . 2009 - 7 2009 1.90 . . ()- , 1, 2- .

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" " - 6

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VI.

; , ,

.

VII. , [1] Regis Barnichon, [2008], International Reserves and Self-Insurance against External Shocks, IMF, Working paper series 08/149.

[2] Pablo Garcia and Claudio Soto [2006], Lange Hoardings of International Reserves: Are They Worth It?, Central bank of Chile, Working paper.

[3] Laura Alfaro and Fabio Kanczuk [2007], Optimal Reserve Management and Sovereign Debt, Harvard Business School, Working paper 2007-29.

[4] Olivier Jeanne and Romain Ranciere [2006], The Optimal Level of International Reserves For Emerging Market Countries: Formulas and Applications, IMF, Working paper 06/229.

[5] Fernando M.Goncalves [2007], The Optimal Level of Foreign Reserves in Financially Dollarized Economies:The Case of Uruguay, IMF, Working paper 07/265.

[6] J.Onno de Beaufort Wijnholds and Lars Sundergaard [2007], Reserve Accumulation objective or by-product?, European Central Bank, Working paper 73.

[7] Jaewoo Lee [2004], Insurance Value of International Reserves: An Option Pricing Approach, IMF, Working paper 04/175.

[8] Jun Il Kim [2008], Sudden Stops and Optimal Self-Insurance, IMF, Working paper 08/144.

[9] Andrew Berg and Catherine Pattillo [1999], Are Currency Crises Predictable?: A Test, IMF, Working paper 46/02.

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112

(SMIM): /

.-1

doojav_ganochir@yahoo.com

, , (SMIM)- . . (i) . (ii) (SIMOM, SMIM )- . (iii) (SIMOM, SVAR SMIM)- 12 35-50 (fan-chart)- , .

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" " - 6

113

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" " - 6

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" " - 6

115

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116

: (10) : 2 (11) : (12) : / (13) : 2 2 (14) 0 0 (15) (16) : 0 0 (17) 2 2 (18) (19) , : (20) (21)

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" " - 6

117

(Bernanke (1999)). , ( markup ), ( ), ( ) . . 4 (, , )- . Juselius (1992), Mertin (1995), Hendry (1999) Sekine (2001) . Johansen , . , ( , markup)- Juselius (1992) Mertin (1995) (VEC)- . p-star , rkup . , , , , , . arkup,. Markup de Brouwer Ericsson (1998) , Tanaka Kimura (1998), Sekine (2001) . (unit labor cost)- de Brouwer Ericsson (1998) markup- . [1] P W P P - ( - ), W- , P- ( ). 3 (p,w, p)- VAR Johansen- . 1- - . VE Lag Exclusion Wald Test- 3- . Johansen- . , 1 . rkup . [2] markup p 0.45w 0.12p , . , 2 .

" " - 6

118

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" " - 6

119

[3] 2003-2007 2008 2008 2 2009 ( 1- A). , 4 . 20.SMIM , p-star 5 . , . . , ( ), . - , , . 2 0 . () , (Sargent Wallace (1981)). , , . 2000 . , Sahay Vegh (2002) 94 . Luis Catao Marco E.Terrones (2003) 107 42 , , . Sargent Wallace (1981) . (Dornbusch, Sturzenegger Wolf (1990), Calvo Vegh (1999)) .

4 .- (2008 2009), , : ? . 5 ( ) .

" " - 6

120

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" " - 6

121

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" " - 6

122

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" " - 6

123

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" " - 6

124

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" " - 6

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