CAJ | 학술논문

本文利用2005年7月到2012年12月的月度数据，使用菲利普斯-奥肯曲线计算预期通货膨胀率，将汇率、股票市场以及预期通货膨胀率纳入货币需求函数模型，通过协整检验、VEC模型以及VAR模型，研究了汇率、股市以及通胀预期对实际货币需求的影响，结果发现汇率、股市收益率以及通胀预期对实际货币需求的影响具有统计显著性，但是影响程度很小。
본문이용2005년7월도2012년12월적월도수거，사용비리보사-오긍곡선계산예기통화팽창솔，장회솔、고표시장이급예기통화팽창솔납입화폐수구함수모형，통과협정검험、VEC모형이급VAR모형，연구료회솔、고시이급통창예기대실제화폐수구적영향，결과발현회솔、고시수익솔이급통창예기대실제화폐수구적영향구유통계현저성，단시영향정도흔소。
This paper uses the monthly data from July 2005 to December 2012, and uses Phillips-Okun curve to calculate the inflation expectations. It builds the money demand function model which includes the exchange rate, stock market, inflation expectations. With the Johansen Cointegration Test, Vector Error Correction (VEC) Model and the impulse response function and variance decomposition, this paper analyzes the influence of exchange rate, stock market and inflation expectations on the real demand for money. The effect of exchange rate, stock market, in-flation expectations on the real demand for money has a little significance for statistics,but the influence is trivial.