我国货币乘数研究.pdfVIP

摘 要 1996 年以来，中国人民银行一直采用货币供应量作为我国货币政策的中介目标。货币 供给量由两个因素决定，即货币乘数和基础货币。一般来说，基础货币基本上可以由中央 银行控制；这样货币供给量的可控性在很大程度上取决于货币乘数是否稳定可测，因此货 币乘数的研究就显得非常重要。 本文首先对国内外有关货币乘数研究文献进行了整理，然后分析我国 1994Q1-2007Q4 货币乘数变动趋势，揭示了我国货币乘数在货币供应量控制中的重要性，并采用协整分析 方法验证了货币乘数的稳定性。接着采用因素组合模型方法建立我国货币乘数的模型。在 深入分析货币乘数各决定因子的影响因素的基础上，分别对其建立回归模型进行协整分 析。为了检验因素组合模型的预测效果，我们还同时建立了 ARMA 模型对货币乘数进行 预测；通过比较，我们认为因素组合模型更加适合用于实际预测；并分析了影响模型预测 精度的一些重要因素。最后根据前文分析给出了论文的结论及政策建议。 关键词：货币乘数 协整分析 因素组合模型 ARMA 方法 I Abstract Since 1996, The People’s Bank of China has taken the money supply as the intermediate target of monetary policy. As we know, Money supply lies on monetary multiplier and base money. Generally speaking, the Central Bank can control base money, so the ability to control money supply is up to whether monetary multiplier is stable and predictable. This is the main issue to be discussed in this thesis. Firstly, this paper investigates literatures on monetary multiplier home and abroad, and then analyzes the behavior of monetary multiplier in China over the period 1994Q1-2007Q4, reveals the importance of monetary multiplier in money supply process, and tests the stability of monetary multiplier by cointegration analysis. Secondly, we try to establish a monetary multiplier component forecasting model. After analyzing determinant of money multiplier at large, we employ conintergated equation for them respectively. Furthermore, we set up ARMA model to compare the predicting accuracy of money multiplier with component forecasting model, we find that usually the component forecasting model performs better, and then we point out the factors causing the distortion