中国的货币需求与资产替代：1994-2008

Money Demand and Asset Substitution in China

本文采用"从一般到特殊"的建模方法并利用PcGets软件,实证考察了在这种新的环境下,广义货币需求、物价、产出、利率、汇率以及股票价格之间的有机联系。研究结果表明,只要适当地考虑资产替代并利用科学的计量方法,我们依然可以得到相当稳定的广义货币需求函数。在最终的误差修正模型中,收入弹性小于1。当期的通货膨胀对实际货币需求有着十分显著的负相关影响。货币需求对利率并不敏感,这反映出利率没有完全市场化的事实。汇率的变化率并没有显著地影响货币需求,但是2005年以来的人民币升值预期确实引致了更多的货币需求。尽管近年来资本市场经历了很大的发展,但是股票价格无论在我们的长期还是短期模型中都还不显著,实物资产过去是目前仍是中国居民资产组合中十分重要的组成部分。

Recent changes in China financial system, especially the ongoing interest rate liberalization, gradual movement toward more flexible exchange rate regime, and rapid development of capital markets have substantially changed the environment in which monetary policy operates. This paper examines empirically relationship between broad money, consumer prices, real output, interest rates, exchange rate, and stock prices in light of recent changes. This has been done following the General-to-Specific methodology as implemented in the PcGets. We confirm that a stable broad money demand function can still be set up by taking proper account of asset substitution. The income elasticity is smaller than unity in our estimated error correction model. Current inflation has significant negative impact on the real money demand. Money demand is not very sensitive to interest rates, reflecting the fact that some interest rates haven＇t been fully liberalized. Changes of the exchange rate do not significantly affect money demand, but expectations of RMB appreciation since 2005 appears to induce more money demand. Stock prices are statistically insignificant in our short- and long-run models although capital markets have experienced a rapid development. And real assets have been and still are a very important component of the household＇s portfolio in China.