The Choice of he Inermediae Targe of Moneary Policy in China 968 993 5 0073 85957073683550599 yqzhang@cass.org.cn
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 JELE5C3E58 995 007 008
994 M M 994009 6 M M 3 8 6 M M M M M M M(%) M(%) 994 6. 4 34.5 4. 995-3 6.8 3-5 9.5 7. 996 8 8.9 5 5.3 8.3 997 8 6.5 3 7.3.8 998 7.9 6-8 5.3 -.6 999 4 7.7 4-5 4.7 -.4 000 5-7 6 4-5.3 0.4 00 3-4.7 5-6 4.4 0.7 00 3 6.8 3 6.8-0.8 003 6 8.7 6 9.6. 004 7 3.6 7 4.6 3.9 005 5.8 5 7.6.8 006 4 7.5 6 6.9.5 007 NA.0 6 6.7 4.8 008 NA 9. 6 7.8 5.9 009 NA 3.4 7 7.7-0.7. CPI. 3. 007 M.35.30.5.0.5.0.05 94 95 96 97 98 99 00 0 0 03 04 05 06 07 08 M M 3
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 00009 4
M M M M M Juselius998 Johansen995 M M M M M M Granger M M robus M MGDP 994008 M M MM VAR M M MM M M M M M M M M M M M M M 70%M 5
M M M M M M M M M M M M M MM M M 996 M M M M M M 987993 M 988 994 007 M 006 008 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
m m = a + a y a p + a R + ε 4 5 6 7, a5 a6 a7 0 y p R M b 3 m = b + b y + b p b R + ε 3 3 4 3, 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
y GDP y = ln( GDPC ) p p CPI CPI R R = R /4 = log( / ) R CPI S = [ Dp 97 ] Dp97 997Q Dp 97 = 0 Dp97 997 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
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 0 03.6 55.3 0.000 r 45.0 34.5 0.00 r.7 8.4 0.37 M VAR() r race sa. 95% r 0 0.5 56.0 0.000 r 40.4 35.4 0.03 r 7. 8.4 0.073 3 VAR(4) r race sa. 95% r 0 30.8 30.9 0.053 r 4.5 5.3 0.85 Dennis006 ς = βς ( ) ας αςς β αβ (Johansen995) 9
5 6 χ α β 5 M VAR() β α ˆβ ˆβ ˆα ˆα -0.44-0.87 m.0 0.0 m (-3.4) (-3.0) y -.7.0 y -0.009-0.07 (-5.) (-0.8) (-.9) -. 0.30 0.78 p 0.0 (-8.9) p (5.9) (6.7) 7.9-6.88 R 5.8 (-6.7) -0.07 Dp97 (7.4) rend 0.0 0.0-0.0 (-54.6) χ () = 0.7 [0.9]. -. χ m VAR() 5 m =.7y 7.9R + 0.07dp97 7 α M GDP M GDP m VAR() 6 m =.9 y +3.8 p 3.3R + 0.05dp97 8 3 α GDP CPI 6 M VAR() β α ˆβ ˆβ ˆα ˆα 0
m.0 0.0 m y p R Dp97 -.9 (-5.6) -3.8 (-6.3) 3.3 (.6) -0.05 (-3.4) rend 0.0.0 y 0.5 (6.6) p -4.5 (-.) 0.0-0.0 (-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-008Q4 4 3 7 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) -0.9-0.05 m (-69.4) m (-0.8) 3.48 R (3.6) rend 0.0
- 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 [] 004 6 [] 009M M 9 [3] 00 7 [4] 996 3 [5] 00 3 [6] 00 8
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