通胀预期与货币需求:实际调整与名义调整机制检验

Inflation Expectations and the Demand for Money:Test of the Real or Nominal Adjustment Process

货币存量调整机制一般可分为两类设定方式:实际调整过程和名义调整过程。在实际调整机制下,预期通胀对货币需求没有独立的影响,而在名义调整机制下,通胀预期自然成为货币需求的一个解释变量。通胀预期在货币需求函数中显著可能并不意味着通胀预期直接影响了货币需求,而是表明了部分调整机制的误设。本文根据预期通胀率在货币需求函数中的显著性,比较了货币持有量名义调整和实际调整机制假说对我国的解释能力,认为名义机制比实际机制更好地描述了中国的经验。我们在一个状态空间中联合估计预期通胀以及货币需求方程,避免了传统“两步法”的不足。

Stock adjustment models of the demand for money have employed either the real or nominal adjustment process. Inflation expectation plays no independently role on money demand in real adjustment process, however, it does in nominal process. The significant inflation variable in money demand function may reveal the misspecification of stock adjustment models. This paper tests the real or nominal adjustment process according to the significance of inflation expectation variables in money demand functions. The nominal process is not rejected , while the real process is statistically rejected strongly. We estimate inflation expectation and money demand function jointly in a state space model. This overcomes the shortcomings of the traditional 'two-step' method.