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,并运用协整分析对中国相关变量的年度数据(1978—2004年)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。

The Conintergration Analysis of Money Demand in China

this paper studies the money demand function from the money demand circumstance in China now,modifying the money demand function from1978 to 2004,with the conintergration test to analyze the related annual data.Finally,we get these results:In the long-run,there exists conintergration relationships among the real M1 balance,real GDP,nominal interest rate and M2/GDP;there also exists conintergration relationships among the real M2 balance,real GDP,price level and M2/GDP;In the short-run,the main factors of money demand function includes the real GDP and M2/GDP,the adjustment speed of the demand for M2 to long-run equilibrium is more slowly than that of M1.At last,the short-run dynamic money demand functions are unstable.