金融发展中的货币需求稳定性研究——基于1994～2005年的协整分析

Study on the Demand for Money during Financial Development Period in China

本文以经济改革和金融发展为背景,从经典货币需求理论分析出发,运用协整检验和误差校正模型对我国货币需求的稳定性问题展开研究。分析结果表明,货币需求、国民收入、利率和通货膨胀率之间存在协整关系;我国货币需求主要受收入因素影响而呈现出长期稳定性特征,长期稳定的货币需求对其即期增长的抑制作用不明显,货币需求函数表现出高收入弹性和低利率弹性,而利率的外生性削弱了货币需求对利率的调节作用;基于VEC模型的短期Granger因果检验,支持货币量、利率和货币政策最终目标之间短期均衡关系的存在。

This paper analyzes the demand for money and the missing money during transition period in China since 1994 using co - integration analysis and vector error correction model approach, which explicitly accounts for money demand function. The empirical test reveals that demand for money, income, interest rates are cointegrated. The results show that the demand for money from income is more elastic than that from interest rates. Evidence is found that stability of money demand function in short run is not satisfied. It is difficult for PBC forecasting and using money supply as media target to control macroeconomic fluctuation in China. Results are also found that price stability is supreme final goal than the output growth, which is difference from former goals of monetary policy in China.