协整理论前沿及货币政策逆周期调节的建议

The Frontiers of Cointegration Theory and Recommendations for the Countercyclical Adjustment of Monetary Policies

本文从协整应用的角度解读协整理论,尤其侧重于对我国的应用,并基于此提出可能应用于研究我国经济问题的若干方向.为正确直观认识协整,本文首先利用仿真数据直观地展示了协整的定义,接着解析了Engle-Granger两步协整检验的发展及其对我国资本市场的应用案例.我们还解读Granger协整模型的向量误差修正模型(vector error correction model,VECM)表述,继而鉴于我国宏观和金融数据具有的确定性趋势结构变化特征,剖析确定性趋势存在结构变化条件下的协整检验,并且提出在具有结构变化的情况下如何实现正确的协整检验.本文重点解析了由协整理论所延伸的持久性冲击及其长期趋势的分解,还综述了相依性周期的分解,并分析了我国货币、通胀和农产品价格相依性周期的分解结果.由此提出货币政策逆周期调节的政策建议,即M2和人民币贷款余额同比增速提升到15.0%,M2相依周期成分上升至1.1左右,这一货币政策逆周期调节可能的结果为:CPI最高上涨到2.5%左右并且基本没有持续性;进一步,2002-2003年宽松货币政策刺激导致GDP短期周期成分由0.08增长至1.43,对GDP增速贡献1.35%.依据2002-2003年货币政策的刺激效果估计,2024和2025年的经济增长速度有望再提升1个百分点,达到6%左右.另一方面,为引导和鼓励协整前沿对我国的应用,本文基于协整及其延伸提出了对我国应用的系列研究思路,以期促进我国经济学实证研究的深入和创新.

This study provides an interpretation of cointegration theory,emphasizing its practical application and significance within the context of China’s economy.It outlines potential avenues for applying cointegration theory to investigate China’s economic problems.The research commences with an intuitive display of the definition of cointegration through simulated datasets.And then,this paper interpreted the Engle-Granger two-step cointegration test’s evolution and its empirical applications in analyzing China’s capital market.Subsequent to this foundational analysis,the paper delves into the vector error correction model(VECM)as a manifestation of the Granger cointegration framework.Acknowledging the tendency of China’s macroeconomic and financial data to reflect structural changes in deterministic trends,this study examines the applicability of cointegration tests under such conditions and suggests appropriate methodologies to address these complexities.Furthermore,the article advances discussions on the extended theories of cointegration,focusing on the analysis of permanent shocks and their long-term trend decomposition.It also investigates the decomposition of dependent cycles,applying these theoretical expansions to assess the implications on China’s currency,inflation rates,and prices of agricultural products.The study proposes several recommendations for the countercyclical adjustment of monetary policies.It predicts that with certain monetary conditions—specifically a 15.0% growth rate in the M2 money supply and RMB loan balances,a dependent cyclical component of M2 at approximately 1.1,and a consumer price index(CPI)increase to around 2.5%—China could sustain a 6% GDP growth in 2024 and 2025.This projection is based on the historical impact of the 2002-2003 monetary policy easing,which yielded a 1.35%GDP growth due to a surge in the short-and medium-term GDP trend components.Furthermore,in order to shed new lights on the application of the frontier theory about co-integration in China,this paper proposed a series of research insights,aiming to inspire rigorous empirical economic research and foster theoretical innovation in China.