断点检定与价格预警——基于中国货币供应量结构变化的实证研究

Breakpoint Test and Pre-warning of Price Dramatic Fluctuation:Evidence from the Structural Change of China’s Money Supply

为了揭示货币供应量结构变化的断点检定具有价格预警的作用,运用1999年12月至2012年4月中国流通中的货币、狭义货币、广义货币数据进行结构变化的内生断点检验,分析货币供应量的结构变化对价格产生影响的机理。在此基础上,结合CPI价格指数验证断点检定的价格预警功效。结果显示:各个层次的货币供应量序列是分段平稳的,在99%、97.5%、95%置信水平上检出的7个内生断点均具有优良的价格预警效果。因此,基于货币供应量结构变化的断点检定以及预警价格的波动,在理论和实践上都是可行的。

We examine the impact of money supply on the overall price by investigating the breakpoints of structural change of money stock. Compared with CPI from December 1999 to April 2012, the study shows there are dramatic price fluctuations in 1 to 5 months after the emergence of the seven breakpoints been founded by the endogenous breakpoint tests on M0, M1 and M2 at 1%, 2. 5 % or 5% critical level. Therefore, it can take the key role for the early warning of the overall price ups and downs in the future and the evaluation for the effect of monetary policy to test the breakpoints of structural change of money supply.