货币流动性周期与物价波动:基于谱分析的实证研究

Currency liquidity cycle and price volatility : an empirical study based on spectral analysis

近年来,物价波动日益受到货币流动性周期变动的影响。通过应用单谱分析研究了中国货币流动性周期的主周期和次周期构成,采用"谷-谷"法的周期划分进一步分析了未来货币流动性的趋势;运用Granger因果检验和交叉谱分析发现两者存在明显的共变性,货币流动性变动领先于物价波动。一阶滞后时货币流动性周期对物价波动具有单项因果关系,二阶滞后时,因果关系转为双向相互影响;货币流动性周期与物价波动间表现出显著的一致性,对于长周期,货币流动性的增益要远大于物价波动的增加。

This paper examines the constitution of China's monetary liquidity cycle in the primary period and sub-periodand then analyzes the tendency of monetary liquidity. The results of Granger causality test and cross spectrum analysisshow that there is significant covariance between price volatility and monetary liquidity, and that monetary liquidity oc-curs before price volatility. It is also found out that price volatility cycle is consistent with monetary liquidity and thetone-up of monetary liquidity is far bigger than the increase of price volatility for long-term cycle.