摘要
对货币供给与价格关系的研究,可用来检验货币政策的效应及货币是否中性。而研究经济变量关系的前提必须要明确各变量的真实数据生成过程。改革开放以来我国经济发展迅速并取得了巨大成就,但与此同时也经历几次大的波动。这些波动及相应的带有反周期特征的政策的实施,均可能使价格、货币供给等经济变量的数据生产过程发生结构突变。因此本文首先对序列的结构突变问题进行了分析,并在此基础上运用VAR模型、脉冲响应函数、方差分解及Granger因果检验等计量方法对我国货币供给与价格之间的关系进行了实证分析,得出了一些有益的结论。
The studies on the relationship between money supply and price are helpful to test the effect of monetary policy and the neutrality of money. But it is important to identify the actual data generating process of each Variable before studying their relationship. Since 1978, great achievements have been made in economy. However, the economy had suffered several serious fluctuations in the process. These fluctuations and some relative policies with anti-cycle characters had been carried into execution, which may lead to structural change of the data generation process of economic variables （e.g. price, money supply） . Therefore, the paper, beginning with the structural change of series, offers an empirical analysis on the relationship between money supply and price through such methods as VAR model, impulse response function, variance decomposition and Granger cause-effect test, and draws some useful conclusions.
出处
《当代经济管理》
2006年第5期83-88,共6页
Contemporary Economic Management
基金
天津商学院青年科研基金项目
项目名称"我国货币政策有效性的实证研究"(041112)
