国际资本流动下我国货币需求函数稳定性检验

文章运用协整和误差修正模型对1982~2004年间我国长期静态和短期动态的货币需求函数进行了实证研究。研究结果表明,我国长期货币需求与其决定变量之间存在稳定的协整关系,短期动态货币需求函数稳定性较差,M2需求函数的稳定性不及M1需求函数;在长期货币需求函数中,外国利率与M2之间相关性较M1显著;而在短期货币需求函数中,本币利率与M2之间的相关性较M1显著。其政策含义是,短期操作应提高利率调控当前经济过热,长期选择则是货币供应量不再适宜作为我国货币政策的中介目标,通胀目标制值得借鉴。     

我国货币需求的协整分析及其货币政策建议

本文运用协整以及弱外生和短期因果关系检验 ,对我国货币需求的长期稳定性进行实证 ,由此而产生的主要结论为 :我国货币需求的长期稳定性 (协整 )依赖于时间趋势 ,货币政策目标变量为M1,实际货币政策效应主要体现在促进经济增长。我国货币需求和利率是关于协整向量的弱外生变量。基于上述结论所提出的政策建议为 :当前的货币政策重点应转向于防范通胀     

中国货币需求:实证研究及政策含义

本文用协整和误差修正模型对中国1985～2009年以来的长期货币需求和短期货币需求进行了分析。分析结果发现货币需求的价格弹性大大低于理论的预期;短期价格水平变化和货币数量的变化甚至可能存在负相关关系;利率水平变化对货币需求的影响并非像人们普遍认为的那样无足轻重。这些发现说明中国以消费或零售价格指数为中介指标,以货币数量控制为主要调控目标的货币政策需要进行调整。     

中国货币政策中介目标选择的实证研究

通过采用单位根检验、协整检验以及格兰杰因果检验的方法,对货币供应量和利率同经济增长的关系进行研究,进而对我国现行货币政策中介目标选择的合理性进行分析.实证结果表明,货币供应量与货币政策最终目标之间存在长期稳定的均衡关系,而利率与最终目标之间并无显著影响,从而说明我国目前以货币供应量作为中介目标是合理的,而利率尚不具备可选择性.     

中国股市市值对货币需求影响的实证分析

文章使用1994年1季度至2007年2季度数据,应用协整理论和误差修正模型估计出加入股市市值变量的货币需求函数,得出初步的结论是:我国股市市值、国内生产总值、实际利率、预期通货膨胀率与货币需求之间具有长期稳定的协整关系。股市市值在长期内会增加货币需求。而在短期动态方程中,滞后两期的股市市值一阶差分对货币需求的系数为负值,表现出资产替代效应。     

中国货币需求:资产价格及政策含义

货币需求是被理论界和政策制定者长期关注的重要理论和实践问题,是货币政策决策的一个重要参考变量。货币需求的长期均衡和短期均衡关系反映了收入水平、利率、消费价格水平以及资产价格水平和货币需求之间的重要关系。这些关系也是确定货币政策时所需要考虑的重要内容。本文对中国的长期货币需求和短期货币需求1985~2010年年度数据进行了协整和误差修正模型分析。结果发现:资产价格(房地产价格水平)对货币数量在长期和短期都有着十分重要的影响;利率水平在长期仍是货币需求的重要影响因素;消费价格的长期货币需求弹性较低,短期和货币需求没有关系;当货币数量失衡时,向长期均衡进行调整的速度很慢。由此,中国的货币政策在中介指标、操作指标以及货币政策工具等方面都需要做出适当的调整。     

中国股市市值对货币需求影响的实证分析

文章使用1994年第一季度至2007年第二季度数据,应用协整理论和误差修正模型估计出加入股市市值变量的货币需求函数。得出初步的结论是:我国股市市值、国内生产总值、实际利率、预期通货膨胀率与货币需求之间具有长期稳定的协整关系。股市市值在长期内会增加货币需求。而在短期动态方程中,滞后两期的股市市值一阶差分减少了货币需求增长。因此,中央银行在制定货币供给政策时应该考虑到股票市场在长期内和短期内对货币需求的影响,使货币供给和货币需求相适应。     

我国基于协整和误差修正模型的城乡储蓄问题的研究

储蓄是宏观经济分析中的重要因素,本文通过对我国城乡居民储蓄存款影响因素的分析,建立了城乡居民储蓄增加额与收入、利率、通货膨胀率之间的协整模型和误差修正模型,并对模型进行参数估计及检验。结果表明,收入对居民储蓄的影响在长期和短期中均为最大;利率和通货膨胀率在长期中对居民储蓄有显著影响,但影响程度较小,而在短期中没有通过显著性检验。     

江苏省城乡收入差距不断扩大对消费的影响

选取江苏省1992—2011年城乡居民收入与消费的数据,运用协整检验与误差修正模型研究城乡实际人均消费与人均收入的长期与短期关系。实证分析发现,城乡居民消费与收入之间均存在长期均衡关系,但城乡收入差距通过降低全省的长期消费倾向和短期的消费需求收入弹性,导致居民消费率不断下降。因此,为保证全省经济的持续稳定快速增长,提高居民消费率,应该采取一系列措施控制日益扩大的城乡收入差距。     

中国货币需求均衡水平调节的实证研究

通过构建以收入、股票市场市值、利率、预期通货膨胀率以及汇率为自变量的货币需求计量模型,本文运用协整检验、误差修正模型和脉冲响应函数,以我国1994年第一季度至2009年第二季度的季度数据为样本,对我国货币需求的均衡水平调节状态进行了实证研究。研究表明,以上变量与实际货币需求存在长期稳定的均衡关系,货币需求在短期内存在向长期均衡水平调整的自发调节机制,各自变量对货币需求的影响程度各异且具有不同的动态过程。最后,根据实证结果提出了一些政策建议。     

Stability of money demand function revisited in China

As China's economic reforms have undergone significant structural changes after 1979, it has been rather difficult to formulate a stable money demand function over the period following that year. While previous literature on the long-run relationship of money demand in China shows the existence of stable money demand, this article revisits the stability of the China money demand function over the period after 1979. To employ the unit root tests and the cointegration tests with structural break, the empirical evidence demonstrates that economic and financial deregulation did affect the stability of demand for money in China over the period 1977 to 2002. Moreover, the estimated long-run income and interest elasticity are respectively 1.01 (1.11) and ?0.14 (?0.08) using the real M1 (M2) equation. In addition, real income and the interest rate are found to be weakly exogenous. We overall do find structural breakpoints mainly in 1980 and 1993, and they look to match clearly with corresponding critical financial and economic incidents.     

Long-run estimates of money demand: new evidence from East Asian countries and the presence of structural breaks

Conventionally, the money demand function is estimated using a linear regression of the logarithm of money demand on a number of variables. In this article, we aim to estimate the long-run properties of money demand specification for a number of East Asian economies and within a panel framework with the presence of structural breaks. Various country-specific coefficients are allowed to capture inter-country heterogeneities. Consistent with theoretical postulates, it is found that (a) the demand for money in the long-run positively responds to real income and inversely to the interest rate spread, inflation, the real effective exchange rate and the US real interest rate; (b) the long-run income elasticity is greater than unity; and (c) both the currency substitution and capital mobility hypotheses hold. The empirical findings in this article can provide useful policy guidelines to the East Asian countries’ central banks in their quest for price stability. If one of the primary objectives of these countries is to minimize price instability, they should avoid creating unnecessary disequilibrium in the money market, while the employment of cointegration with the presence of structural breaks clearly recommends to central banks to use the supply of money to attain price and macroeconomic stability.     

中国经济转型与货币需求

本文采用"从一般到特殊"的动态建模方法对中国经济转型过程中的货币需求函数进行了再估计,通过引入市场化进程相对指数作为衡量经济转型的制度变量考察货币需求、经济增长、通货膨胀、利率和经济转型之间的相互关系。结果发现,尽管1978—2007年间30年的改革开放使得中国的经济体制和金融体系发生了较大的转型,但通过引入适当的制度变量,仍然可以得到稳定的货币需求函数。本文建立的货币需求动态模型证实了经济体制的市场化转型无论长短期都是拉动货币需求增加的因素,通货膨胀是解释货币量的有效外生解释变量,短期内利率变量对实际货币需求影响不显著,但其确实显著地进入了长期货币需求关系。     

Interest Rates and Monetary Velocity in Australia and the United States*

Two problems have become evident in recent work on the demand for money. One is the implausibly long lags in the demand for money function, the other is a tendency for short-run instability during the 1970s. This paper argues that these problems stem from a point raised by Milton Friedman in 1959 but neglected subsequently: namely, the failure of reference cycles in interest rates to conform in timing with cycles in velocity. The cyclical association between interest rates and velocity is examined for both Australia and the US using cross-spectral methods, and evidence is found of the timing relationships which puzzled Friedman and led him to doubt that interest rates significantly affected the demand for money. After considering the implications of these findings, it is concluded that many models of the demand for money appear to be mis-specified, and the two problems mentioned above are symptomatic of this. A different approach to modelling the demand for money is outlined, in which a short-lead relationship in the money market is substituted for the long lags found by other researchers.     

Demand for money in Bangladesh: a cointegration analysis

The aim of this study is to estimate the demand for real broad (M2) money in Bangladesh using the most recently developed autoregressive distributed lag approach to cointegration analyses. The empirical results show that there is a unique cointegrated and stable long-run relationship among real per capita broad money demand, real per capita income, domestic interest rates and unofficial exchange rate (UM) premiums which act as a surrogate for foreign interest rates. With money as the dependent variable, the results show that the income and interest elasticities are positive while the UM premium elasticity is negative. These results suggest that distortions in the financial and foreign exchange markets should be reduced in order to increase financial saving or monetary accumulation. Our results also reveal that the demand for money in Bangladesh is stable despite the changes in financial and exchange rate policies between 1975 and 1995.     

Estimating money demand functions for South Asian countries

In this paper, we estimate a money demand function for a panel of five South Asian countries. We find that the money demand and its determinants, namely real income, real exchange rate and short-term domestic and foreign interest rates are cointegrated both for individual countries as well as for the panel, and panel long-run elasticities provide robust evidence of statistically significant relationships between money demand and its determinants. Our test for panel Granger causality suggests short-run causality running from all variables, except foreign interest rate, to money demand, and we find evidence that except for Nepal money demand functions are stable.      

MONETARY TARGETING IN WEST GERMANY,HOLLAND, AND SWITZERLAND

Links between fluctuations in domestic money supplies and subsequent fluctuations in rates of real output have been less visible in Western Europe than in the United States. This paper discusses some of the causes and investigates the stability of the demand for money in West Germany, the Netherlands and Switzerland. In all three countries, temporary changes in short-term interest rates temporarily affect the demand for money. These temporary changes in the demand for money are reflected in temporary blips in the monetary statistics, as agents substitute among various monetary assets. The hypothesis that aggregate demand responds only to longer-lasting changes in interest rates is tested by a two-step procedure. First, the official data on European money supplies are corrected for temporary disturbances caused by temporary changes in domestic interest rates. Second, changes in real activity are regressed on a measure of monetary stimulus, which takes into account the correction for temporary disturbances. This two-step procedure avoids some of the bias present in ordinary estimates of the demand-for-money function. The results show that the links between changes in money and subsequent changes in output are somewhat more tenuous in West Germany, the Netherlands, and Switzerland than in the U.S. but significant effects do exist. These effects are more easily documented when corrected time series for the European money supplies are used.     

Stock prices and long-run demand for money: evidence from Malaysia

This paper investigates the money demand function for Malaysia in the 1971-1996 period using the multivariate cointegration and error correction model methodology. The results suggest that a stable long-run relationship exist between real M2, the interest rate differential, income and stock prices. Stock prices have a significant negative substitute effect on long-run as well as short-run broad-money demand (M2) and its omission can lead to serious misspecification in the money demand function. The analysis from the vector error correction model (VECM) and the Toda & Yamamoto (1995) causality tests find that money is endogenous and that there is at least a unidirectional relationship between stock prices and real M2. Stock prices Granger cause real M2 indirectly through income between interest rates and stock prices and stock prices and money stock. This paper comes to the conclusion that due to the endogeneity of money, M2 cannot be completely controlled by Malaysia's central bank. Therefore, in formulating future monetary policy, the response of money demand to stock prices should be considered.     

Long-run money demand in OECD countries: what role do common factors play?

This article examines the long-run money demand function for 11 OECD countries from 1983Q1 to 2006Q4 using panel data. The distinction between common factors and idiosyncratic components using principal component analysis allows for the detection of cross-member cointegration and the determination as to whether national or international sources are responsible for the non-stationarity of money and its determinants. Indeed, the finding that the common factors are I(1) while the idiosyncratic components are I(0) indicates that cross-member cointegration may exist and non-stationarity in the variables is primarily driven by common international trends. Furthermore, it is found that the impact of income on money demand is positive, whereas it is negative for the interest rate, exchange rate and stock prices. Except for the income elasticity of money demand, all estimated long-run coefficients are larger for the common factors of the variables than for the variables themselves. This article provides evidence that the exchange rate is an important determinant of money demand, whereas the results for the stock prices are ambiguous. Finally, the results of a panel-based error-correction model suggest that several domestic money stocks converge to a common international equilibrium relationship between the common factors.