《金融评论》投稿封面

Size: px

Start display at page:

Download "《金融评论》投稿封面"

浙绪
5 years ago
Views:

1 The Choice of he Inermediae Targe of Moneary Policy in China yqzhang@cass.org.cn

2 MM 994Q-008Q4 VECM M M GDPCPI M M M 007 VECM JEL E5C3E58 The Choice of he Inermediae Targe of Moneary Policy in China Absrac Based on he Vecor Error Correcion models (VECM), his paper has empirically invesigaed he coinegraions and dynamic adjusmens beween China s money sock (M and M, respecively), GDP, CPI and ineres rae, ec. The sample is 994Q-008Q4. The aims of he sudy are o evaluae he effec of he China s moneary policy, and o invesigae ha M or M, which one should be he inermediae arge of moneary policy. The resuls indicae ha he moneary policy is acive and effecive during he sample period. Meanwhile, according o he characerisics of he inermediae arge of he moneary policy, M is more appropriae o be he inermediae arge. Key words: China s money supply, inermediae arge, VECM model JELE5C3E

3 994 M M M M M M M M M M M(%) M(%) NA NA NA CPI M M M 3

4 M M 007 M M M M M M M 00 M M 996 MM M M M M M M M M MM 00 MM GDP M GDP M GDP RPI 004 GDP CPI M GDP CPI M VAR VAR Granger

5 M M M M M Juselius998 Johansen995 M M M M M M Granger M M robus M MGDP M M MM VAR M M MM M M M M M M M M M M M M M 70%M 5

6 M M M M M M M M M M M M M MM M M 996 M M M M M M M M MM m a m = a + a y + a p a R + ε 0 3, a a3 0 m y p R M GDP M M Juselius998 M M GDP Qin003 6

7 m m = a + a y a p + a R + ε , a5 a6 a7 0 y p R M b 3 m = b + b y + b p b R + ε , b b4 0 VECM Sims980VAR Juselius006 Engle Granger987ECM Johansen995 VAR VECM VECM Granger Lükepohl005 VECM 4Johansen995 k X =Π ( X, rend, S ) + Γ X +Φ D + ε, =,, T, ε IN(0, Ω) 4 i i i= X p ε Ω rend S D S X r rk ( Π) = r < r < k I() 0 p r α β Π= αβ VECM 45 k X = αβ ( X, rend, S ) + Γ X +Φ D + ε, =,, T, ε ~ IN(0, Ω) 5 i i i= β α β ( X, rend, S ) I(0) ( X ), rend, S r β α [ mm, y, p, R ] m M m = ln( M / CPI ) m M m = ln( M / CPI ) 7

8 y GDP y = ln( GDPC ) p p CPI CPI R R = R /4 = log( / ) R CPI S = [ Dp 97 ] Dp97 997Q Dp 97 = 0 Dp M M D M M Dp03qDp07Q4 Dp0QDp03qDp07Q4 0 ADFM M I() 4 Hannan-QuinnSchwarzM M M M VAR() M M VAR()ARCH M M VAR() M VAR M VAR VAR4 VAR ARCH LM LM LM LM χ (9) = 3.4[0.94] χ (9) = 5.4[0.79] χ (4) = 7.8 [0.09] χ (9) = 9.9 [0.35] χ (9) = 0.8[ 0.8] χ (4) =.5 [0.64] χ (6) = 4.9 [0.55] χ (6) = 6.3 [0.38] χ (4) = 4.8 [0.30].. CATs in RATs.0 χ (36) = 33.8[0.56] χ (36) = 3. [0.95] χ (9) = 0.5[0.30] χ (7) = 00.8[0.0] χ (7) = 67. [0.64] χ (8) = 6.[0.57] R m: 0.87 y : 0.86 p : 0.96 m: 0.88 y : 0.87 p : 0.96 m: 0.85 m: 0.85 R R R Dennis006 3 M M R R Juselius006 R R VAR() ADF 8

9 Johansen (995) Dennis006 4M M robusjuselius006 3 R LR r r= r= M VAR χ () = 0.0[0.75] () M VAR χ () =.97[0.6] χ = 4.9[0.08] χ () = 3.95[0.4]. R. CATs in RATs.0 4 Johansen M VAR() r race sa. 95% r r r M VAR() r race sa. 95% r r r VAR(4) r race sa. 95% r r Dennis006 ς = βς ( ) ας αςς β αβ (Johansen995) 9

10 5 6 χ α β 5 M VAR() β α ˆβ ˆβ ˆα ˆα m m (-3.4) (-3.0) y y (-5.) (-0.8) (-.9) p 0.0 (-8.9) p (5.9) (6.7) R 5.8 (-6.7) Dp97 (7.4) rend (-54.6) χ () = 0.7 [0.9]. -. χ m VAR() 5 m =.7y 7.9R dp97 7 α M GDP M GDP m VAR() 6 m =.9 y +3.8 p 3.3R dp α GDP CPI 6 M VAR() β α ˆβ ˆβ ˆα ˆα 0

11 m m y p R Dp (-5.6) -3.8 (-6.3) 3.3 (.6) (-3.4) rend y 0.5 (6.6) p -4.5 (-.) (-6.3) χ () = 0.44 [0.50]. -. χ -0. (-.5) 0.07 (4.6) 0. (.8) -0.5 (-.5) 0.7 (5.0) 0.4 (.5) M M M M M M M M 3 M M VAR(4) M M R 994Q-008Q m = 0.9m 3.5R 9 MM R M M M M M M β α ˆβ ˆα -0.5 m.0 m (-4.8) m (-69.4) m (-0.8) 3.48 R (3.6) rend 0.0

12 - Granger Lükephol005 VECM M M Granger 8M M Granger M M Granger M M Johansen Granger VECM M M M M M M M M 007 M M M M M M M M M M M M M M M [] [] 009M M 9 [3] 00 7 [4] [5] 00 3 [6] 00 8

13 [7] Dennis, J. G.006: Cas in Ras, Coinegraion Analysis of Time Series, Version, Esima. [8] Engle, R.F. and C.W.J. Granger (987): Co-Inegraion and Error Correcion: Represenaion, Esimaion and Tesing, Economerica, 55(), [9] Johansen, S. (995): Likelihood-Based Inference in Coinegraed Vecor Auoregressive Models, Oxford Universiy Press. [0] Juselius, K. (998): Changing Moneary Transmission Mechanisms wihin he EU, Empirical Economics, 3(3), [] Juselius K. (006): The Coinegraed VAR Model: Mehodology and Applicaions, Oxford Universiy Press. [] Lükepohl, H. (005): New Inroducion o Muliple Time Series Analysis, Berlin, Springer-Verlag. [3] Qin Duo (003): Deerminans of Household Savings in China and Their Role in Quasi-Money Supply, Economics of Transiion, (3), [4] Sims, C.A. (980): Macroeconomics and Realiy, Economerica, 48(),

untitled

untitled 90 Garbade ilber(1983)garbade ilber Bigman Goldfarb chechman(1983) Maberly(1985) Elam Dixon 1988 Bigman Engle Granger 1987 Johansen 1988 Johansen Juselius 1990 Lai Lai 1991 Ghosh 1993 orenbery Zapaa 1997

《金融评论》投稿 封面

《金融评论》投稿封面