中国货币供应量与能源价格的实证分析

以2005年1月至2011年12月的货币发行量和能源价格月度数据为样本,采用VAR模型和基于该模型的脉冲响应、方差分解、误差修正和格兰杰因果检验等实证方法分析二者之间的短期及长期均衡关系,结论表明:货币发行量(M2)和能源价格具有显著的长期协整关系;但短期内,与货币发行量对能源价格的影响程度相比,能源价格对货币发行量的影响程度较强,即在短期内货币发行量的变动没有显著地传导到能源价格变动上。

Chinese Empirical Analysis Between Money Supply and Energy Price

Based on the monthly data of M2 and energy price from January 2005 to December 2011,this paper adopts the econometric model VAR and some popular methods from Eviews6.0 like Impulse Response、Variance Decomposition、VEC and Granger Causality to explore the relationship between M2 and energy price in the long run and short run,but a surprising conclusion comes as follow: Money supply and energy price are co-integrated in the long term,but compared with the impact on energy price that money supply has,the impact on money supply that energy price has is stronger,that is M2 has no clear impacts on the price fluctuation of energy.