基于ECM模型的货币供给量与通货膨胀关系研究

Study on the Relationship between Money Supply and Inflation Based on ECM Model

采用协整和误差修正分析技术,考察1994年第一季度～2004年第四季度期间中国的货币供给量增长与通货膨胀率之间的长期均衡关系和短期动态关系.结果表明不同层次货币供给量增长率与通货膨胀率之间都存在协整关系,M2的增长率对通货膨胀率的解释能力最强,误差修正模型显示通货膨胀率具有向均衡值回复的机制,无论哪个层次的货币供给量的增长都是通货膨胀率的Granger原因.研究结果表明我国的通货膨胀仍然是一货币现象,货币政策仍具有最终影响价格水平的能力.

Using the econometric methods,such as co-integration analysis and error correction model,this paper develops a long-term equilibrium relationship and short-term dynamic relationship between money supply growth and inflation in China from the first quarter of 1994 to the fourth quarter of 2004. This study shows there is obvious co-integration relationship between all money supply growth and inflation rate, but increase of M2 has the strongest influence. The error correction models show the inflation rate has mechanism replied to balanced value. No matter at which level money supply growth is, Granger causality of the inflation is the cause. These proven inflation of our country remains a monetary phenomenon. The money policies have the final influence on the level of prices.