中国短期和长期货币需求函数稳定性的实证分析

Empirical Analysis of the Stability of Money Demand Function in China

短期和长期货币需求函数之间的差异不仅能够揭示经济中总供给和总需求之间的影响关系,而且能够显示出经济运行的短期和长期调整机制。利用协整关系检验和向量误差修正模型对中国1990年1月～2004年6月期间的货币需求行为进行了定量研究,在由实际货币需求、通货膨胀率、货币化指数、实际GDP和资产收益率等变量构成的向量VAR模型中,存在惟一的围绕长期均衡进行短期动态调整的稳定均衡关系,这种均衡关系对应着实际需求与名义需求之间的制约和调整。因此稳态均衡关系表明中国货币需求函数具有一定程度的动态稳定性,中国货币政策的工具选取和实际操作不仅具有价格稳定和产出稳定的双重目标,而且也发挥了对价格水平和产出水平的双重调整作用。

The difference between the short-term and long-term demand function of money can demonstrate not only the influence relationship between aggregate demand and aggregate supply, but also the short-term and long-term adjustment mechanism in economy. This paper quantitatively investigates the behavior of the money demand function by using cointegration test and vector error correction model from 1990：01 to 2004：06 in China. The VAR model describes the dynamic behavior of the economic model system of real money demand, inflation rate, money index, real GDP and nominal interest rate. There is only one stable equilibrium relationship among the money demand, and there is a stable short-term dynamic adjustment around the long-term equilibrium in money demand, which corresponds to the constraints and adjustment between the real demand and nominal demand. This empirical evidence supports that the monetary policy＇s targets are the stimulus to the growth and sustain the price stability in choosing monetary policy tools and implementing the monetary policy.