货币市场与商品市场共同均衡下的货币需求建模与预测

Modelling and Forecasting the Money Demand Under the Balance of Money Market and Commodity Market

在货币市场与商品市场共同均衡下研究货币需求建模与货币需求预测问题．首先利用1980－1996年的季度数据给出了Johansen检验的经验结果，得到两个协整向量，分别对应货币市场和商品市场相关经济变量之间的长期稳定关系；然后建立了误差矫正模型，并比较了单方程估计和我们的两个市场共同均衡下的联立方程估计的预测能力．

This paper mainly deals with the medelling and the forecasting of the money demand under the balance of money market and commodity market. Unlike the popular single equation ECM method, we imbed the money market in a system containing commodity market for investment, this full system approach results in a substaintial improvement in the prediction of the money market. By using of the Johansen reduced rank regression approach, we get two cointegration vectors corresponding to the long stable relationship among variables in money market and commodity market. To improve the predicting accuracy of money demand, we also use the wavelet networks method and neural network method to set up some nonliear ECM models, the finding is that usually the nonliear ECM medels per form well.