我国货币—产出非对称影响关系的实证研究

Empirical Analysis of Asymmetric Money-Output Causality in China:Based on the Smooth Transition Vector Error-Correction Model

货币与产出之间的非对称影响关系研究,近年来在宏观经济学领域受到了广泛的关注。本文运用平滑迁移向量误差修正(STVECM)模型,对1989—2007年我国货币与产出之间是否存在非对称影响关系展开实证分析。引入年产出增长率、年货币增长率以及年通货膨胀率的年度变化作为转移变量,线性检验表明我国货币、产出和价格系统存在显著的非线性;通过模型估计识别了我国货币—产出关系的经济和/或政策状态相依性;运用非线性Granger因果关系检验进一步证明了两者之间是一种非对称关系。概括来说,我国货币对产出的影响关系具有明显的非对称性,其依赖于经济周期的高速增长和低速增长阶段、货币供给的高速增长和低速增长阶段以及通货膨胀率的加速和减速阶段。

The study on the asymmetric money-output causality has been widely taken interest in the microeconomics field recently. This paper uses a smooth transition vector error-correction model （STVECM） to study whether there is an asymmetric money-output causality in China over 1989-2007. By including lagged yearly growth rates in output, lagged yearly growth rates in money, and lagged yearly changes in the annual inflation rate as transition variables, linearity test results show the evidence of nonlinearity in the output, money and price system. By model estimation, the economy and/or policy state-dependence of the China＇ s moneyoutput causality is identified. And the asymmetry is approved by nonlinear Granger causality test. Broadly speaking, the moneyoutput causality of China has strong asymmetries which depend on the high and low growth stages of business cycle, the h.igh and low growth stages of money supply, and the accelerating and decreasing stages of inflation rate.