基于波动率的货币与产出关系检验--来自分位数回归模型的新证据

本文使用1991年1月到2012年3月的样本数据对货币波动率和实际产出波动率之间的关系进行了检验。首先,应用GARCH模型度量货币波动率和产出波动率,进而对二者进行了Granger因果关系检验,发现我国货币供给增长率及其波动率对实际产出增长率及其波动率具有解释和预测能力。其次,使用分位数回归模型研究产出波动率在较小(低分位数)和较大(高分位数)时对货币供给量M0和M1波动率的不同反应程度。最后,提出了稳定产出增长,防止产出剧烈波动的货币政策建议。

his paper examines relationship between the money volatility and real output volatility using the monthly data from January 1991 to March 2011. Firstly, GARCH models is used to obtain the volatility sequences of money supply and real output, and then a Granger causality test is used to find that the money supply volatility is Granger cause of real output volatility direct- ly. Then, by using quantile regression model, the paper finds that real output volatility has different responses to money volatility on different quantile. Finally, monetary policy advices are supplied to promote economic development and keep output stable.