理性预期学派货币中性理论在中国的实证检验

Empirical Test on Monetary Neutrality in China

利用中国1994年以来的经济数据,通过建立ARIMA模型和二阶段OLS模型对理性预期学派货币中性理论进行了检验。实证结果显示,短期内中国预期的货币供给冲击与非预期的货币供给冲击对产出都有显著影响,且非预期的货币供给冲击对产出影响更明显;但从长期看,预期货币与非预期货币对产出的正负效应相互抵消,中国货币政策表现为长期渐近中性。

ARIMA model and two-stage OLS method are employed to test impact of expected money supply and non-expected money supply on GDP from 1994 in China.The empirical results show both expected money aggregate and unexpected money aggregate have significant effects on output in the short run and non-expected money aggregate have more significant impact on output.In the long run,the positive and negative effects of expected monetary and non-expected money on output are offset.Monetary policy in China shows neutral in the long-term.