中国货币需求的实证研究

The Empirical Study of Monetary Demand in China

货币需求对货币政策的具体实施至关重要。用协整检验方法对中国1979-2003年间的长期货币需求进行检验,检验结果说明M1实际余额与实际GDP和1年期存款利率存在同积关系,M2与实际GDP和1年期存款利率以及通货膨胀率存在同积关系,这表明实际货币余额与实际GDP,利率或通货膨胀率之间存在长期稳定关系。用误差纠正模型对M1和M2的短期货币需求函数进行估计,表明在短期狭义货币的变化对收入的短期波动、上期通货膨胀率、上期货币需求的短期波动和ECM敏感,而广义货币需求的波动在短期仅受收入的短期波动和通货膨胀率的影响。

Monetary demand is very important to the specific implementing of monetary policy. This paper firstly used co-integrating test to test long-term monetary demand of China from 1979 to 2003. The results showed that the real balance of M1 has co-integrated relation with real GDP and annual deposit interest rate, and M2 has co-integrated relation with real GDP, annual deposit interest rate and inflation rate, which means that real monetary balance has long-term stable relation with real GDP, annual deposit interest rate or inflation rate. Then the paper used error correction model to estimate the function of short-term monetary demand of M1 and M2. The results show that in the short run the change of M1 is sensitive to the short-term fluctuation of income, the last-term inflation rate, the short-term fluctuation of last-term monetary demand and ECM, and that in the short run the fluctuation of M2 is only influenced by the short-term fluctuation of income and the inflation rate.