我国货币需求的短期非线性动态调整特征研究——基于MS-VECM方法  

The Study of Short-term Non-linear Dynamics Adjustment of Money Demand in China:Based on MS and VECM Method

作　　者：李福祥[1] 何红霞[2] 

机构地区：[1]西北师范大学,甘肃兰州730070 [2]华侨大学,福建泉州362021

出　　处：《金融研究》2010年第4期64-71,共8页Journal of Financial Research

摘　　要：本文运用马尔科夫状态转移误差修正模型(MS-VECM,Markov switching error-correctionmodel)检验了我国实际货币余额需求在2000年1月-2009年9月期间的短期非线性动态调整特征。研究结果表明我国长期货币需求的收入弹性大于利率弹性;短期货币需求动态调整速度的不同依赖于经济系统所处的不同状态,在波动率较高时期的调整速度较快,而在波动率较低时期的调整速度较慢。This paper investigates possible non-linearity in the dynamics of money demand in China. A long-run money demand relationship is firstly estimated over a sample period from Feb. 2000 to Sept. 2009. There are in- dications of non-linearity in the residuals of the error-correction model. This non-linearity is explicitly modeled using Markov switching error-correction model. The empirical findings of the paper is that the estimated income elasticity of the demand for money is higher than the interest rate elasticity, and the differences in the speed of monetary disequilibria adjustment depend on the prevailing monetary conditions.

关 键 词：货币需求 协整 非线性误差修正模型 马尔科夫状态转移误差修正模型 

分 类 号：F822[经济管理—财政学]