货币供给内生性、外生性与M2退势平稳——M2动态增长路径分析

Endogenous-Exogenous Money Supply and Trend-Stationary Process of M2——Dynamic growth path analysis of M2

本文发现M2是一个退势平稳过程,而非单位根过程。尽管M2具有较强的内生性,但同时也受外生货币政策因素冲击或影响。内生因素和外生因素共同作用使M2围绕一条稳态增长路径上下波动;并且M2偏离稳态增长路径会造成产出波动。于是本文利用2000年至2007年的M2月度数据,分别建立SARMA模型和含月度虚拟变量的组合模型,对这条动态增长路径进行拟合。利用2008年的最新数据评价模型的预测能力时,我们发现M2仍然处在这条动态增长路径上。

We find M2 is not a process with unit - root but a Trend - stationary. Although M2 is endoge- nous to some content, exogenous factor also influences it. M2 fluctuates in a path of stabilizing increase under the influence of endogenous and exogenous factor, its bias to the path of stabilizing increase would cause fluctuate of production. We give a SARMA and a combination model with the monthly dummy vari- able to estimate the equilibrium path with the M2 data from 2000 to 2007. Then we compare the eglcien- cy for forecasting of two models by the data in 2008. We find M2 is still in the path of stabilizing increase.