我国货币增长能够预测通货膨胀和经济增长吗

Does Money Growth Help to Predict Inflation and Output Growth

本文首次使用频域格兰杰因果关系检验方法和2001年以来的月度频率数据,对我国各层次的货币增长与通货膨胀和经济增长在各频段的互动关系进行了研究,并对研究结果进行了稳健性检验。研究结果表明:我国各层次的货币增长分别能在不同的频段为通货膨胀和经济增长提供预测信息,而各层次的货币增长在某些频段上是由通货膨胀或经济增长内生决定的,这些结果在一定程度上可以包容不同文献使用时域分析方法所得到的不同甚至相反的研究结论。本文研究结果显示了货币当局根据中介目标与最终目标在不同频段之间的关系制订货币政策的重要性。

Using a methodology of Granger causality test in the frequency domain and monthly data from 2001 to 2012, this paper provides new empirical evidence on the relationship between various types of money growth, inflation and economic growth at different frequency bands in China. Also, the robust tests about the results are provided. The results indicate that different measures of money growth have large predictive power for the future inflation and economic growth at different frequencies. The results also indicate that various types of money growth are determined endogenously by inflation and economic growth at some frequencies. The findings are also compatible with different or even opposite conclusions drawn from different research using time domain analysis method. These results highlight the importance of considering the relationship varies across frequencies between various intermediate target and final target when making monetary policy.