我国货币供给增长率与国内产出增长率之间的影响关系检验——来自MS-VECM模型的新证据

Testing for the Money-Output Relationships: New Evidences from the Vector Error Correct Model with Markov Regime Switching

本文使用具有马尔可夫区制转移的向量误差修正模型,描述和估计了我国国内产出和货币供给的区制状态、转移概率和区制相关性,刻画了货币与产出之间的长期均衡关系和短期波动模式。检验结果表明,我国国内产出水平与货币供给水平之间存在长期均衡关系,它们的增长率序列具有显著的三区制状态,不同产出和货币变量的区制之间具有一定的对应关系。货币供给增长率与产出增长率之间的影响关系依赖经济周期的阶段性,这说明经济周期波动和货币政策作用机制均具有一定程度的非对称性。

By using the vector error correct model with Markov regime switching, this paper describes and estimates the regime state, transition probability and correlations in the regimes between money supply and domestic output in China's economy, we find the new evidences which are supporting the existence of long run equilibrium and short run adjustment in the money and output. There are three regimes in the growth series and the interactions of these series depend on the regimes. This means both the business cycle and the roles of monetary policy are asymmetric at some extents in the process of economic growth.