弹性价格货币模型的实证检验——基于跨国面板数据的分析

Empirical Study on Flexible-price Monetary Model

弹性价格货币模型是探究汇率变动的经典模型之一,但其实证检验文献却十分匮乏。本文基于四步面板检验和区制转换面板模型,将结构突变,异质性和截面相关性同时纳入考虑,使用全球77个国家1975年至2017年的年度数据,从实证角度验证了弹性价格货币模型的适用性。本文研究发现高、中、低收入国家货币模型中主要变量序列的非平稳特征,并且发现上述国家名义汇率波动与其相对货币供应量、相对收入水平间长期协整关系的证据;自举法面板因果关系检验和区制转换面板模型的结果显示在中等收入和低收入国家中,货币供应量对于货币的贬值促进影响更大,而在高收入国家中,经济增长对于货币的升值促进影响更大。据此,本文认为,由于中国目前正逐步从中等收入国家向高收入国家迈进,为保持人民币汇率的长期稳定,中国需高度注重控制货币供应量的过度增长。

Flexible-price monetary model is one of the most classic models which explain the fluctuations of exchange rate.However,the empirical examination of flexible-price monetary model is rare.This paper uses panel data from1975to2017for77countries to tackle the issue of structural breaks,cross-section dependence and heterogeneity for the monetary exchange rate model on the basis of four-step panel analysis and zone conversion panel model.We find the evidence of the feasibility of flexible-price monetary model on the determination of exchange rate.To be specific,we find the non-stationarity emerging in exchange rates and monetary fundamentals series and the evidence of the long-run co-integration relationship between the nominal exchange rates and monetary fundamentals which is rather convincing and accurate.We have proved that excess money supply tends to depreciate the nominal exchange rate in the lower-income countries and middle-income countries,however,considerable GDP growth tends to appreciate the nominal exchange rate in the higher-income countries.As China belongs to the middle-income countries,we suggest that China should pay more attention to the case of excess money and reduce the money supply for the stabilization of RMB nominal exchange rate.