开放框架下包含资产因素的中国货币需求函数研究

发布时间：2018-05-07 01:00

本文选题：开放框架 + 货币需求　；参考：《经济科学》2011年05期

【摘要】：本文基于2000.01-2009.10的样本数据,首次同时纳入股价因素和房价因素构建了我国封闭和开放框架下的货币需求函数,应用边限检验(Bounds Testing)方法并修正了目前国内这一方法运用中的某些疏漏。结果发现封闭框架下,无论是对M1还是M2,即使纳入资产因素,其长期协整关系依然不存在,但在开放框架下,货币需求函数则具有稳定的长期协整关系和短期动态关系,且资产因素对不同层次的货币需求均产生了明显的冲击效应,且存在一定的差异。其中股票价格指数对M1具有显著的正向影响,而房地产价格指数则仅对M2产生了显著的正向影响。进一步分析发现,开放框架下的汇率因素和利率因素同样对货币需求产生了强烈影响,并由此得出了一些全新的结论。这意味着在研究我国货币需求函数时既要考虑到开放框架下的汇率、利率因素,更要考虑到资产因素对货币需求的影响。
[Abstract]:Based on the sample data of 2000.01-2009.10, this paper constructs the monetary demand function under the closed and open framework of our country for the first time, including stock price factor and house price factor. In this paper, the margin test methods are used to correct some omissions in the application of this method in China. The results show that the long-term cointegration relationship does not exist in closed frame, no matter for M1 or M2, even if the asset factor is included, but under the open framework, the money demand function has a stable long-term cointegration relationship and a short-term dynamic relationship. And asset factors have obvious impact effect on different levels of monetary demand, and there are some differences. Stock price index has a significant positive impact on M1, while real estate price index has only a significant positive impact on M2. Further analysis shows that the exchange rate factors and interest rate factors also have a strong impact on monetary demand under the open framework and draw some new conclusions. This means that when studying the function of monetary demand in our country, we should not only consider the factors of exchange rate and interest rate under the open framework, but also consider the influence of asset factors on monetary demand.
【作者单位】：浙江财经学院经济与国际贸易学院;浙江金融职业学院金融系;
【基金】：国家自然科学基金项目(编号:70772114)资助
【分类号】：F224;F822.0

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