关于我国货币需求及其影响因素的经验分析

本文运用协整分析方法证明了我国货币需求与实际收入、储蓄存款利率、消费物价指数之间存在长期均衡关系,并得出体现这种长期均衡关系的协整回归方程。继而在协整关系基础上建立了描述我国货币需求短期动态变化的误差修正模型。结果显示,由于短期因素的扰动,实际收入对货币需求的影响减弱,储蓄存款利率对货币需求的影响存在时滞,消费物价指数对货币需求的影响异常增长。     

股市对货币需求影响的实证分析

随着股票市场对货币政策及货币需求作用的日益显现,学者在研究货币需求时开始关注并引入股票市场对货币需求函数的影响。而一般作为股票市场的代表量就是股票的市值,本文在前人分析的基础上着重研究股票市值对不同层次货币需求的影响,并试图给出具体的影响程度,以期为利益相关者做决策提供一些切实可行的意见。     

经济开放条件下的货币需求函数:中国的经验

本文对开放条件下的货币需求函数进行了理论与经验分析,首先构建了一个开放条件下的货币需求模型,然后利用中国1994～2004年的季度数据估计了包含人民币有效汇率与国外利率的货币需求函数,结论显示人民币有效汇率指数的上升通过货币替代效应与资本流动效应显著减少中国经济主体对狭义货币与广义货币的持有。最后本文从理论与经验分析结果出发,为中国开放条件下货币政策的制定与实施提出了相关的政策建议。     

我国货币需求影响因素研究

随着我国市场经济迅猛发展,货币需求逐年递增,文章特对我国货币需求影响因素进行研究。首先,整理广义货币余额、国内生产总值、一年期定期存款利率、消费物价指数、各期股市市值等有关统计数据,并对数据进行预处理。然后,定义经济指标并构建货币需求模型。其次,ADF平稳性检验后对非平稳序列进行差分序列检验,再检验被解释变量与解释变量间是否存在协整关系,建立误差修正模型并得到相关估计结果。最终表明,收入水平、利率和股市变动对货币需求有着重要影响。     

货币供应量对股票市场的影响研究

本文运用协整检验、格兰杰因果关系检验、误差修正模型等计量经济方法，对中国货币政策是如何影响股市的这一课题做了系统的深入的实证研究。通过分析，得出了如下重要结论：1)在中国，从年度来讲，货币供应量对股市运行有很大影响，每年新增的M0(M1)增减方向与股市涨跌方向基本同步。2)自1995年1月以来，上海股市已经是一个弱有效的市场，利用其自身的历史价格信息无法对未来做出预测。3)M1确实对股市价格的变化有影响，利用M1的信息可以增强对我国股市的预测能力。但M1与股市价格之间并不存在长期的协整关系。4)股市价格的变化会引起M0的变化。这些结论对投资者尤其是机构投资者来讲，有很强的实用价值。同时，对货币当局调控股市也有一定的借鉴意义。     

我国股票市场对货币需求影响的实证分析

本文运用协整分析、向量误差修正模型、脉冲响应函数和方差分解等计量方法对我国股票市场对货币需求的影响进行了实证分析,发现股票市场对M1有比较显著的正向影响,股票市场对货币需求的交易效应比较明显,央行在制定货币政策时应关注股价。     

需求量与GDP之间关系的协整分析与误差修正模型研究

本文运用协整和误差修正模型建立中国天然气需求的预测模型，并将中国天然气消费的长期均衡引入到短期预测模型。通过模型结构分析，得出影响天然气需求量波动的长期均衡控制因素（国内生产总值）和短期波动（国内生产总值，以及上一期天然气消费量），并针对我国天然气未来供需严重不平衡的局面，提出一定的建议和对策。     

中国货币需求的实证分析：协整关系和误差纠正模型

货币需求是制定货币政策的出发点．稳定的货币需求函数长期以来就被看作货币政策实施的前提条件。我国自1994年开始按季度向社会发布货币供应量．1995年尝试把货币供应量纳入货币政策中介目标体系．1996年正式把货币供给量作为的中介目标．因此分析货币需求并建立中国的货币需求函数．对于央行货币政策的制定和实施有着重要意义。本文运用时间序列分析方法中的协整理论．分析了中国的狭义货币需求．发现狭义货币供给量、实际GDP、股票交易额和利率之间存在长期均衡关系．并在此基础上建立了短期货币需求模型．最后根据有关实证结论提出政策启示。     

基于经济转型与开放条件下的货币需求函数研究

货币需求函数是货币需求与影响货币需求变动的变量之间的相应关系式。本文主要对我国货币需求函数在现今经济转型与开放条件的基础上,进行了相关理论的分析与研究,以期实现对我国货币需求规律更全面的认知和理解,其研究对我国货币政策实施与经济发展具有一定的参考价值。     

股票价格对货币需求影响的实证分析

本文运用协整检验研究了股票价格与货币需求M1及M2之间的长期关系，并且采用误差修正模型和脉冲图分析了股票市场发生冲击后，货币需求面临的短期调整和长期调整。检验结果表明，股票价格在M1的长期函数中显著，并且与M1有正相关关系。在股票市场发生冲击之后，M1不仅受到了来自其自身及相关变量前三期变化的影响，而且长期均衡关系对M1短期变化的纠正机制也很显著。股票价格与M2同样存在长期正相关关系，但在统计上不显著。在协整关系中，M2受到来自趋势项的影响更大。     

我国货币需求函数的经验分析

本文使用局部调整模型对我国货币需求函数进行了分析,提出在货币需求函数的分析中,应关注市场化利率,以便对持币成本做出合理的解释。     

Currency Substitution and Money Demand in Euroland

This paper tests the stability of the demand for money in the euro-area in the context of an open economy. A sample consisting of quarterly data covering the 1982:2–1999:3 period is considered. The main finding is that the U.S. dollar long-term interest rate plays a significant role in the European money demand relationship. This result holds for different combinations of variables forming the vector auto-regressive system and suggests that international monetary interdependency may be an important factor influencing the ECB monetary policy.This paper draws on an earlier version and was prepared while the author was at the Bank of Portugal (the usual disclaimer applies). It was presented at the 2003 Meeting of the Economic Modelling Network. The author acknowledges Luis Catela Nunes, Carlos Santos, Carlos Robalo Marques, Nuno Alves, and an anonymous referee for their helpful suggestions.     

The Information Contents of Aggregated Money Demand in the EMU

Estimates of aggregated and disaggregated demand-for-money functions in 7 EMU member states show that the aggregated function slightly outperforms the disaggregated functions in explaining the European demand for M3. The aggregated function appears to contain some additional information on money demand in The Netherlands and, to a lesser extent, in France. For the other countries investigated in this study information on aggregated European money demand does not add much to the explanation of demand for money in the individual countries.     

国际热钱流人及对中国经济的影响

作为短期投机资本的国际热钱是导致历次金融危机的主要元凶之一。无论是墨西哥金融危机还是亚洲金融危机都给世界人民敲晌了热钱扰害经济的警钟。由于热钱的隐蔽性和流动性往往很难把握其来龙去脉,给各国监管当局造成很大的困难。中国经济的稳定快速发展使人们担忧热钱会搅动中国经济健康发展的局面。文章首先就热钱对经济可能产生的影响进行理论分析,然后利用计量经济模型分析了影响热钱进入中国的因素以及由此给我国的相关经济变量所造成的影响,并针对热钱带来的负面影响提出趋利避害的应对建议。     

The Stability of European Money Demand: An Investigation of M3H

The paper assesses the stability and predictive performance of a European money demand function as compared to national money demand functions. With respect to the explanatory accuracy, the national functions perform better than the aggregated function. Examination of the residuals of the national money demand equations indicates that currency substitution is not the major cause for the stability of the aggregated money demand function. The aggregate relation mainly seems to reflect German money demand. This conclusion is supported by the instability of aggregated money demand resulting from the exclusion of Germany from the aggregate.     

我国城镇居民消费行为的协整研究及政策建议

文章依据1978-2010年间城镇居民消费与收入的样本数据,运用协整研究方法,对城镇居民的消费行为进行了实证研究.研究表明,城镇居民收入低,消费与收入之间存在长期均衡关系;城镇居民短期消费易受冲击,城镇居民的长、短期消费的乘数都较小,从而客观上形成城镇居民消费对经济增长的贡献率较低的现实;并且城镇居民消费的长期弹性、短期弹性都较小,消费增长过多地依靠收入增长,但其却很低;线性模型和对数线性模型都是可以选择的形式.对此提出了让城镇居民们也能体面地生活的政策建议.     

Cash Management, Payment Patterns and the Demand for Money

We analyse cash management and payments behaviour using 1990–1994 panel data for Dutch households. The results largely confirm the transactions demand for money theory, including an income elasticity of substantially less than one, and they are consistent with the hypothesis of technology resulting in households' economizing on currency balances. The results indicate up to 40 per cent lower transactions balances in the future, which is affirmed by direct questioning on future expectations. The effect on total money outstanding is considerably lower, due to significant amounts of missing money in hoards, which are insensitive to new developments in the payments system.     

汇率升值对就业影响的中日比较

关于就业问题,以往的研究主要从就业总量与就业结构两个角度进行探讨,本文对就业结构的研究进行了拓展,在实证研究中引入汇率,运用协整和误差修正模型对日中两国实际汇率与第三产业产值比重和就业比重之间的关系进行了国别比较。实证结果表明,从长期看日本第三产业就业比重上升与实际汇率升值正相关,而中国的相应变量间不存在类似长期关系。比较分析得出结论:只有在汇率适度浮动,资源在部门间流动壁垒减少这两个条件满足时,汇率升值才会产生资源配置作用,推动劳动向非贸易部门转移,逐步优化就业结构。     

Hot Money Inflows and Renminbi Revaluation Pressure

Despite a series of revaluations, which started in July 2005, hot money has been sporadically sneaking into China in anticipation of further revaluations of the renminbi. In this paper we build a monetary model to show how anticipated revaluations lead to the instability of a pegged exchange rate regime. This model assumes current account convertibility and some degree of capital control, and fundamentally sound domestic policies and economy, as is the case in China. The model demonstrates that market-oriented interest rates can act as an automatic stabilizer to ease revaluation pressures, but cannot resolve them completely because the nominal interest rate has a zero nominal bound. Therefore, the official parity is difficult to defend and the revaluation expectations can be self-fulfilling, in the absence of external intervention. The empirical results of Granger causality tests are consistent with the main findings of our theoretical model. There are a number of policy intervention measures that can extend the life of a pegged exchange rate regime.     

Currency Substitution and the Stability of the Demand for Money in East Asia

Abstract

This paper models and tests the stability of the demand for money in five East Asian countries—Indonesia, Malaysia, Philippines, Singapore, and Thailand—in the context of an open economy. The Johansen multivariate cointegration vector error correction analysis against quarterly data covering the period 1985:1–2001:4 was used. It was found that a stationary long run cointegrating relationship exists between broad money, real income, domestic interest rates, foreign interest rates corrected for exchange rate depreciation, and the expected rate of depreciation of the exchange rate. The results show that US Treasury bills rates and the foreign exchange rate vis-à-vis the US dollar play a significant role in the East Asian countries money demand relationship. This suggests that currency substitution vis-à-vis the US dollar may be an important consideration in the design and implementation of monetary policy in the East Asian countries. Furthermore, the results show that the Asian currency crises impacted the money demand functions negatively in these countries. CUSUM and CUSUMSQ stability tests show no evidence of parameter instability of the money demand functions in three of the five countries throughout the period under investigation.