摘要
根据协整理论和向量误差修正模型,利用1978-2004年的年度经济数据对中国的货币需求函数进行了实证分析。实证结果表明:无论是狭义或广义的实际货币余额需求与实际国民收入和利率之间均存在协整关系,即长期均衡关系。从而说明我国的货币需求函数是长期稳定的;货币供给短期具有非中性,是经济增长的短期Granger因;货币需求的利率半弹性为正,利率并不能真实反映持有货币的机会成本。
Based on cointegration theory and vector error correction model, this paper conducts an empirical analysis of China＇s demand function for money by utilizing annual economic data between 1978 and 2004. The result indicates that there exists cointegration, i.e., long-run equilibrium, between actual balance of money demand --- either in a narrow sense or in a broad sense --- and national income in real terms as well as exchange rates. That illustrates that China＇s money demand function is securely stable; the money supply in the near term is non-neutral, which has the short-term Granger Causality of economic growth; and the semi-elasticity of money demanding interest rate is positive, indicating that interest rate in effect cannot actually reflect the opportunity cost of money holdings.
出处
《上海金融学院学报》
2007年第2期15-19,32,共6页
Journal of Shanhai Finance University
关键词
协整
向量误差修正
货币需求
cointegration
Vector Error Correction Model （VECM）
money demand
