中国货币需求函数的实证分析.pdfVIP

中国货币需求函数的实证分析 ——基于两阶段(1978-1993、1994-2004)的动态检验 蒋瑛琨，赵振全，刘艳武 (吉林大学 数量经济研究中心，吉林 长春 130012) ( 吉林大学 数量经济研究中心，吉林 长春 130012) ( 中国人民银行总行 货币金银局，北京 100800) Empirical Analysis for Chinese Money Demand Function ——Dynamic Testing Based on Two Stages(1978-1993 1994-2004) JIANG Ying-kun ，ZHAO Zhen-quan ， LIU Yan-wu (Center for Quantitative Economics, Jilin University, Changchun 130012, China) (Center for Quantitative Economics, Jilin University, Changchun 130012, China) (the People’s Bank of China, Monetary Gold and Silver bureau, Beijing 100800, China) 摘要：本文利用协整理论和误差修正模型估计了两个阶段(1978-1993 和 1994-2004)中国静态和 动态货币需求函数。实证结果表明，M1 、M2 与收入、利率、价格预期、货币化程度变量之间存在 长期稳定的协整关系。货币化程度的引入有助于建立更为精确合理的货币需求函数。第一阶段 M1 和 M2 的短期动态方程比较稳定，而第二阶段稳定性较差。中国选择货币供应量作为货币政策中介 目标是不得已的选择，M1 比M2 更适合作为货币政策的中介目标。 关键词：货币需求函数 协整 误差修正模型 阶段 货币化程度 Abstract: Cointegration theory and error correction models are used to estimate Chinese static and dynamic money demand function of two stages(1978-1993 1994-2004). The empirical results show that, there exists a long-term and steady cointegration relationship between M1/M2, income, interest rate, expected price and monetary degree variable. The introduction of the monetary degree contributes to setting up more accurate and rational money demand function. The short-term dynamic equations of M1 and M2 in stage one are steady, but the equations of them in stage two are less steady. This indicates that money supply is not the best selection for the intermediary goal of monetary policy, and as the intermediary goal M1 is superior to M2. Keywords: money demand function; cointegration; error correction models; stages; monetary degree