摘要
基于VAR模型的脉冲响应函数法和预期方差分解法,分析了我国2000年至2013年期间的货币需求与相关经济因素之间的动态影响特征。研究表明狭义货币、广义货币分别与相关的经济变量存在长期的均衡关系。狭义货币、广义货币对GDP的冲击分别呈现抑制效应、对SV的随机冲击主要呈现正效应、对R的随机冲击主要呈现抑制效应、对CPI的冲击呈现正效应和抑制效应交叉出现的现象。狭义货币、广义货币新息冲击对其自身预测均方误差的贡献度最大。新息冲击对狭义货币预测均方误差的贡献依次为:一年期定期存款名义利率(R)、沪深两市A股总市值(SV)、国内生产总值(GDP)、消费者物价指数(CPI)。新息冲击对广义货币预测均方误差的贡献依次为:国内生产总值(GDP)、消费者物价指数(CPI)、一年期定期存款名义利率(R)、沪深两市A股总市值(SV)。根据实证结论,得出相关经济变量对货币需求的影响,并据此提出有利于完善货币政策的建议。
Based on the VAR model impulse response function and variance decomposition method , the characteristics of the dynamic affects between the demand for currency and the relevant economic factors in China during 2000 to 2013 were analyzed .The results show that a long‐term equilibrium relationship is kept currency and relevant economic variables .Counteraction test shows that M1 ,M2 respectively ,there is .Impulse response path displays that :M1 and M2 on the impact of GDP showed inhibitory effect .Ran‐dom shocks M1 for SV showed a positive effect ,and with the extension of the period by period increase pe‐riod .The first six stage stochastic impact of M2 on SV showed a positive effect ,after the presentation of the inhibitory effect .Random shock M1 for R showed inhibitory effect of inhibiting effect ,and in the sev‐enth period of the present is the most obvious .Random impact of M2 on R showed inhibitory effect ;to the tenth period is the weak positive .Inhibitory effect of R on the M1 caused by the impact of the more promi‐nent .The impact of M1 and M2 on CPI showed a positive effect and inhibitory effect of cross imagination . The variance decomposition shows ,M2 M1 ,the impact of new information prediction mean square error of its largest contribution .The impacts of new information prediction mean squared error on M1 contributions are as follows :R ,SV ,GDP ,and CPI .The impacts of new information prediction mean squared error on M2 contributions are as follow s :GDP ,CPI ,R ,and SV .According to the empirical results ,obtained the relevant economic variables to monetary demand ,and puts forward the suggestions for improving the mo‐netary policy .
出处
《河北联合大学学报（社会科学版）》
2015年第3期66-72,共7页
Journal of Hebei Polytechnic University:Social Science Edition
关键词
货币需求
VAR模型
脉冲响应函数
方差分解
money demand
VAR model
impulse response function
variance decomposition
