中国货币需求函数的协整分析

本文从目前中国货币需求现状出发，修正了1978年以来中国的货币需求函数，并运用协整分析对相关变量的年度数据（1978-2004）进行实证分析，得出以下结论：在长期内，实际M1余额、实际GDP、一年期定期存款利率和货币化进程指数间存在协整关系；实际M2余额、实际GDP、商品零售物价指数和货币化指数间存在协整关系。在短期货币函数中对货币需求的主要影响因素包括实际GDP和货币化进程．实际M1向均衡水平调整的速度要大于实际M2的调整速度，另外，短期货币需求函数不稳定。     

中国货币需求的实证研究

货币需求对货币政策的具体实施至关重要.用协整检验方法对中国1979～2003年间的长期货币需求进行检验,检验结果说明M1实际余额与实际GDP和1年期存款利率存在同积关系,M2与实际GDP和1年期存款利率以及通货膨胀率存在同积关系,这表明实际货币余额与实际GDP,利率或通货膨胀率之间存在长期稳定关系.用误差纠正模型对M1和M2的短期货币需求函数进行估计,表明在短期狭义货币的变化对收入的短期波动、上期通货膨胀率、上期货币需求的短期波动和ECM敏感,而广义货币需求的波动在短期仅受收入的短期波动和通货膨胀率的影响.     

人民币汇率变动若干影响因素的实证分析

本文采用协整和脉冲响应函数分析的方法,就国际贸易顺差、利率、通货膨胀率和外汇储备对人民币汇率走势的影响进行实证分析.检验结果表明,从长期看,上述因素均与人民币汇率之间存在稳定的均衡关系,贸易顺差越大、利率越高、外汇储备越多的情况下会促使人民币升值,但通货膨胀会促使人民币贬值.从误差修正模型看,误差修正项均具有反向调整能力,存在短期到长期的动态调整过程.从脉冲响应函数图看,国际贸易顺差、实际利率和外汇储备对汇率的冲击始终为负,通货膨胀对汇率的冲击始终为正.     

基于协整分析法的我国各省货币需求函数研究

本节通过建立各省货币需求的误差修正模型来反映货币需求与GDP、利率、通货膨胀预期的长期均衡及短期动态关系。     

我国货币需求与收入分配差距的理论与实证分析

本文研究了货币需求与收入分配差距的传导机制问题。收入分配差距通过三条途径影响货币需求:税收途径、消费途径以及货币流通速度途径。收入分配差距会通过税收途径和消费途径减少货币需求,但通过货币流通速度途径会增加货币需求。实证研究发现,实际货币需求与收入分配差距指标、实际收入以及实际利率之间存在长期稳定的均衡关系,而且收入分配差距越大,货币需求越小。通过误差修正模型发现,存在短期到长期的动态调整过程。通过脉冲响应函数分析,发现收入分配差距对货币需求的冲击波动较大。并进一步对我国收入分配差距影响货币需求的消费途径以及货币流通速度途径进行了检验,检验结果符合理论分析。     

中国货币需求函数的误差修正模型估计:1995-2004

本文应用误差修正模型对中国1995～2004年各季度的相关数据，对货币需求函数进行了估计，结果说明：1995年以来的实际货币余额一直与GDP、一年期存款利率和预期通货膨胀率之间保持着协整关系，这一实证分析的结果说明十年以来中国货币需求函数的中长期关系相对稳定。同时建立的误差修正模型表明，中国利率和通货膨胀率的变化对M1增长率的影响并不显著，而且M2实际余额的短期调整速度要低于M1实际余额的短期调整速度。     

我国货币需求的协整和向量误差修正分析

根据协整理论和向量误差修正模型，利用1978—2004年的年度经济数据对中国的货币需求函数进行了实证分析。实证结果表明：无论是狭义或广义的实际货币余额需求与实际国民收入和利率之间均存在协整关系，即长期均衡关系。从而说明我国的货币需求函数是长期稳定的；货币供给短期具有非中性，是经济增长的短期Granger因；货币需求的利率半弹性为正，利率并不能真实反映持有货币的机会成本。     

基于修正的广义货币模型的人民币汇率决定研究

本文在广义货币模型的基础上引入了贸易品与非贸易品占比来构建一国的汇率决定模型,利用中美两国的季度数据来进行实证分析。研究结果表明,长期内,相对收入水平的上升是造成人民币汇率升值的因素,而相对货币供给、相对利率水平以及相对贸易品与非贸易品占比的增加会导致汇率贬值;短期内,当汇率偏离均衡点时向量误差修正模型会促使其向均衡汇率移动,短期波动主要由自身造成,国名收入、利率水平、货币供给量和贸易品与非贸易品占比造成汇率波动的能力依次由高到低。本文的研究结论对于货币政策的制定和利率改革以及如何保持汇率稳定有着一定的启示意义。     

央行如何实现汇率政策目标——基于在岸-离岸人民币汇率联动的研究

本文采用门限误差修正模型,将外汇市场2010年11月至2015年11月期间在岸与离岸人民币汇率联动关系划分到两个区制。作者发现:⑴当在岸-离岸汇差小于门限值时,市场处于“均衡区制”,在岸汇率对离岸汇率具有引导作用,市场自我调节机制重建长期均衡关系速度较快。⑵当在岸-离岸汇差大于门限值时,市场处于“偏离区制”,离岸汇率呈现均值回归特征,在岸市场呈现“追涨杀跌”特征,人民币汇率失衡严重。在岸市场的投机性使汇差进一步扩大,通过市场机制重建长期均衡关系需要的时间更长。⑶若中央银行以维持外汇市场“均衡区制”作为汇率政策目标,有效推动“偏离区制”向“均衡区制”回归,则可引导市场预期,使市场自我调节机制更好地发挥作用。     

陕西省货币需求分析与实证研究

本文在对陕西省货币需求相关统计数据分析的基础上,采用单位根检验、协整检验并建立误差修正模型的方式,对陕西省货币需求总量与机会成本变量、规模变量之间的函数关系进行实证研究。结果表明陕西省货币需求与收入、利率以及预期通胀率之间存在长期的稳定关系,而在短期动态模型中,收入与利率的调节功能较显著。     

Investigating M3 money demand in the euro area

Euro area monetary growth has exceeded its target since 2001. Likewise, recent empirical studies did not find evidence in favour of a stable long-run money demand function. In contrast to the bulk of the literature, we are able to identify a stable long-run money demand relationship. This result is obtained when the analysis is done without the short run homogeneity restriction between money and prices. The basic equation can be improved by allowing for asymmetric adjustment. In a low inflation environment, opportunity costs of holding money have decreased. Thus, the apparent monetary overhang is reconciled within standard models.     

中期和长期国债收益率的非线性协和关系及动态调整

本文分析探讨一种用于揭示非平稳时间序列非线性调整过程的模型——两机制门限协和模型,深入研究了该模型的参数估计、检验统计量,并通过自助法模拟计算其检验统计量临界值及P值。鉴于我国中期和长期国债收益率之间存在协和关系,但由于经济主体调整行为的不连续性,这种协和关系往往表现为非线性调整过程,利用传统线性向量误差修正模型无法揭示这种调整过程。为此,本文利用两机制门限协和模型研究我国的中期和长期国债收益率的非线性调整过程,研究结果表明:我国中期和长期国债收益率存在门限非线性协和关系,并可用该模型验证期限结构理论。     

The dynamics of economic growth,oil prices,stock market depth,and other macroeconomic variables: Evidence from the G-20 countries

This paper examines the linkages between economic growth, oil prices, depth in the stock market, and three other key macroeconomic indicators: real effective exchange rate, inflation rate, and real rate of interest. We employ a panel vector autoregressive model to test Granger causality for the G-20 countries over the period 1961–2012. A novel approach to this study is that we clearly demarcate the long-run and short-run relations between the economic variables. The results show a robust long-run economic relationship between economic growth, oil prices, stock market depth, real effective exchange rate, inflation rate, and real rate of interest. In the long run, real economic growth is found to respond to any deviation in the long-run equilibrium relationship that is found to exist between the different measures of stock market depth, oil prices, and the other macroeconomic variables. In the short run we find a complex network of causal relationships between the variables. While the empirical evidence of short-run causality is mixed, there is clear evidence that real economic growth responds to various measures of stock market depth, allowing for real oil price movements and changes in the real effective exchange rate, inflation rate, and real rate of interest.     

Some dynamic theory of macroeconomic policy effects on income and prices under the government budget restraint

Consider a macroeconomic model with constant capacity, an inflation adjustment process depending on excess demand, a government budget restraint, and plausible assumptions. Steady-state equilibrium paths have constant (possibly zero) inflation rates. Stability is assured if the endogenous policy variable is money, government purchase, or the tax rate; if it is government debt instability is assured (contrary to Blinder-Solow). Exogenous increases in money or government purchases raise prices in the short and long run. An open market purchase raises prices in the short run, but if money is endogenous it reduces money and prices in the long run.     

The Asymmetric Wealth Effect in the US Housing and Stock Markets: Evidence from the Threshold Cointegration Model

Previous studies commonly use a linear framework to investigate the long-run equilibrium relationship between the housing and stock markets. The linear approaches may not be appropriate if adjustments from disequilibrium are asymmetric in both markets. Nonlinear adjustments are likely to be observed since the two markets respond rather differently to negative shocks where the stock market is more volatile but price rigidity is found in the housing market. In this paper, we firstly propose two hypotheses on the long-run equilibrium relationship of the US housing and stock markets, and then employ the threshold cointegration model to investigate the potential asymmetric relationships between the two markets. Our empirical results reveal that cointegration exists among the markets, but adjustments toward its long-run equilibrium are asymmetric. Further evidence points out that a rapid mean reversion occurs in one regime where the stock price outperforms the housing price, and no significant reversion is found in the other regime, supporting the hypothesis of the existence of an asymmetric wealth effect among the two markets in the US. Furthermore, evidence from the asymmetric vector error correction model shows that significant error corrections toward the equilibrium exist in the short run only when the stock price exceeds the real estate price by the estimated threshold level, reassuring the finding of the asymmetric wealth effect.     

An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market

This paper compares the pricing of credit risk in the bond market and the fast-growing credit default swap (CDS) market. The cointegration test confirms that the theoretical parity relationship between the two credit spreads holds as a long-run equilibrium condition. Nevertheless, substantial deviation from the parity can arise in the short run. The panel data study and the VECM analysis both suggest that the deviation is largely due to the higher responsiveness of CDS premia to changes in credit conditions. Moreover, it exhibits a certain degree of persistence in that only 10% of price discrepancies can be removed within a business day.     

House prices,bank instability,and economic growth: Evidence from the threshold model

This paper examines the effects of house prices on bank instability when gauged at various levels of income growth. Bank stability may respond differently to house price changes or deviations from fundamental values in an economic boom environment than in a bust circumstance. A threshold estimation technique developed by Hansen (1999) is applied to a panel of 286 U.S. Metropolitan Statistical Areas (MSAs) over the period 1990Q1–2010Q4. We consider two house price indicators: the house price changes and the house price deviations from long-run equilibrium. The results suggest the existence of income growth threshold effects in the relationship between house prices and bank instability. Specifically, there are two income growth thresholds when using the house price changes and one income growth threshold when the house price deviations are applied. Robustness results using the non-MSAs sample from 1995Q1 to 2010Q4 provide further evidence of income growth threshold effects.     

Commercial Property Rent Dynamics in U.S. Metropolitan Areas: An Examination of Office, Industrial, Flex and Retail Space

This paper is concerned with the market rental rate for space offered by commercial property and how that rental rate evolves over time. Rental rates reflect the value of the services provided by the property and can have a significant impact on the ability of its owners to make monthly debt obligations. We investigate commercial property rent dynamics for 34 large metropolitan areas in the U.S. The dynamics are studied from the second quarter of 1990 through the second quarter of 2009 and the results are compared across four property types or uses (office, industrial, flex, and retail). There is substantial heterogeneity in both the long and short run responses to changing demand and supply conditions. In general, the office market is the slowest to adjust back towards equilibrium while industrial and flex markets adjust back to the long run equilibrium very quickly. For industrial and office types, the speed of adjustment is substantially faster within quality segments and is strongest for grade A properties.     

外汇储备规模的宏观经济影响因素分析——基于中国、日本的比较研究

基于1999年一季度至2008年三季度的中日两国数据,本文运用协整检验方法分析了影响两国外汇储备规模的宏观经济因素和变量间的长期均衡关系及短期波动关系。研究表明:(1)从长期来看,对外贸易规模、名义有效汇率、经济总量三个宏观经济变量都影响着中日两国外汇储备的长期均衡规模,且两国外汇管理制度的巨大不同解释了协整系数的差异。(2)从短期来看,协整方程对两国外汇储备短期波动的调整作用均较为显著,而对于中国而言,宏观经济变量的滞后影响的作用时间更长。     

Stock prices and demand for money in China: New evidence

This paper investigates the relationship between stock prices and the real money demands for China within a cointegrated framework. This study reports two important results. First, test results reveal that a stable long-term relationship exists between broad money (M2) and its determinants including real income, foreign interest rate, and stock prices. Second, stock prices have a significant substitute (positive) effect on long-run broad-money (M2) demand and its omission can lead to serious misspecification in the money demand function in both the short- and long-run. Finally, we demonstrate that long-run income elasticity is not significantly different from unity with the inclusion of stock prices in the money demand equation.