河北联合大学学报(社会科学版)
河北聯閤大學學報(社會科學版)
하북연합대학학보(사회과학판)
Journal of Hebei Polytechnic University (Social Science Edition)
2015年
3期
66-72
,共7页
货币需求%VAR模型%脉冲响应函数%方差分解
貨幣需求%VAR模型%脈遲響應函數%方差分解
화폐수구%VAR모형%맥충향응함수%방차분해
money demand%VAR model%impulse response function%variance decomposition
基于V A R模型的脉冲响应函数法和预期方差分解法,分析了我国2000年至2013年期间的货币需求与相关经济因素之间的动态影响特征。研究表明狭义货币、广义货币分别与相关的经济变量存在长期的均衡关系。狭义货币、广义货币对GDP的冲击分别呈现抑制效应、对SV的随机冲击主要呈现正效应、对R的随机冲击主要呈现抑制效应、对CPI的冲击呈现正效应和抑制效应交叉出现的现象。狭义货币、广义货币新息冲击对其自身预测均方误差的贡献度最大。新息冲击对狭义货币预测均方误差的贡献依次为:一年期定期存款名义利率(R)、沪深两市A股总市值(SV)、国内生产总值(GDP)、消费者物价指数(CPI)。新息冲击对广义货币预测均方误差的贡献依次为:国内生产总值(GDP )、消费者物价指数(CPI )、一年期定期存款名义利率(R )、沪深两市A股总市值(S V )。根据实证结论,得出相关经济变量对货币需求的影响,并据此提出有利于完善货币政策的建议。
基于V A R模型的脈遲響應函數法和預期方差分解法,分析瞭我國2000年至2013年期間的貨幣需求與相關經濟因素之間的動態影響特徵。研究錶明狹義貨幣、廣義貨幣分彆與相關的經濟變量存在長期的均衡關繫。狹義貨幣、廣義貨幣對GDP的遲擊分彆呈現抑製效應、對SV的隨機遲擊主要呈現正效應、對R的隨機遲擊主要呈現抑製效應、對CPI的遲擊呈現正效應和抑製效應交扠齣現的現象。狹義貨幣、廣義貨幣新息遲擊對其自身預測均方誤差的貢獻度最大。新息遲擊對狹義貨幣預測均方誤差的貢獻依次為:一年期定期存款名義利率(R)、滬深兩市A股總市值(SV)、國內生產總值(GDP)、消費者物價指數(CPI)。新息遲擊對廣義貨幣預測均方誤差的貢獻依次為:國內生產總值(GDP )、消費者物價指數(CPI )、一年期定期存款名義利率(R )、滬深兩市A股總市值(S V )。根據實證結論,得齣相關經濟變量對貨幣需求的影響,併據此提齣有利于完善貨幣政策的建議。
기우V A R모형적맥충향응함수법화예기방차분해법,분석료아국2000년지2013년기간적화폐수구여상관경제인소지간적동태영향특정。연구표명협의화폐、엄의화폐분별여상관적경제변량존재장기적균형관계。협의화폐、엄의화폐대GDP적충격분별정현억제효응、대SV적수궤충격주요정현정효응、대R적수궤충격주요정현억제효응、대CPI적충격정현정효응화억제효응교차출현적현상。협의화폐、엄의화폐신식충격대기자신예측균방오차적공헌도최대。신식충격대협의화폐예측균방오차적공헌의차위:일년기정기존관명의리솔(R)、호심량시A고총시치(SV)、국내생산총치(GDP)、소비자물개지수(CPI)。신식충격대엄의화폐예측균방오차적공헌의차위:국내생산총치(GDP )、소비자물개지수(CPI )、일년기정기존관명의리솔(R )、호심량시A고총시치(S V )。근거실증결론,득출상관경제변량대화폐수구적영향,병거차제출유리우완선화폐정책적건의。
Based on the VAR model impulse response function and variance decomposition method , the characteristics of the dynamic affects between the demand for currency and the relevant economic factors in China during 2000 to 2013 were analyzed .The results show that a long‐term equilibrium relationship is kept currency and relevant economic variables .Counteraction test shows that M1 ,M2 respectively ,there is .Impulse response path displays that :M1 and M2 on the impact of GDP showed inhibitory effect .Ran‐dom shocks M1 for SV showed a positive effect ,and with the extension of the period by period increase pe‐riod .The first six stage stochastic impact of M2 on SV showed a positive effect ,after the presentation of the inhibitory effect .Random shock M1 for R showed inhibitory effect of inhibiting effect ,and in the sev‐enth period of the present is the most obvious .Random impact of M2 on R showed inhibitory effect ;to the tenth period is the weak positive .Inhibitory effect of R on the M1 caused by the impact of the more promi‐nent .The impact of M1 and M2 on CPI showed a positive effect and inhibitory effect of cross imagination . The variance decomposition shows ,M2 M1 ,the impact of new information prediction mean square error of its largest contribution .The impacts of new information prediction mean squared error on M1 contributions are as follows :R ,SV ,GDP ,and CPI .The impacts of new information prediction mean squared error on M2 contributions are as follow s :GDP ,CPI ,R ,and SV .According to the empirical results ,obtained the relevant economic variables to monetary demand ,and puts forward the suggestions for improving the mo‐netary policy .