开放经济条件下货币需求的非对称特征  

Asymmetric Characteristics of Money Demand in Open Economy

作　　者：宋金奇[1] 舒晓惠[2] 

机构地区：[1]江西师范大学,江西南昌330027 [2]怀化学院,湖南怀化418008

出　　处：《南方金融》2011年第8期18-22,共5页South China Finance

基　　金：国家社会科学基金项目<非线性时间序列协整理论的非参数方法及其应用研究>(项目编号:11CTJ003);江西师范大学博士启动基金<我国货币政策效果非对称性研究>(项目编号:3147)的部分成果

摘　　要：本文使用1994-2010年的非平稳季度数据,应用门限调整方法研究了开放经济条件下的货币需求,发现货币需求与收入、汇率、利率及通货膨胀之间存在协整关系,M1和M2短期需求函数存在门限调整。门限误差修正模型表明,M1、M2短期需求函数在长期均衡偏离低于门限值时能回复到长期均衡,在长期均衡偏离高于门限值时不稳定;收入、通货膨胀及汇率影响M1和M2的短期需求函数,但利率只影响M1的短期需求函数,不影响M2的短期需求函数。大多数时候货币需求能自我修正,但目前货币需求处于门限以上,限制了以货币供应量为中介目标的货币政策调控效果。This paper studies money demand using threshold adjustment method with Quarterly non-slalionary data of 1994Q1-2010Q2 in the open economy frame. Money demand is co-integrated with income, interest rate, exehange tale and inflation. There is threshold adjustment with short run M1 and M2 demand. Threshold error correcetion model shows thai short run M1 and M2 demand function is not stable if the long-run equilibrium deviation is above the threshoht and should return to the long-run equilibrium when deviation is below the threshold. Income, inflation and exchange rate have impact on short run MI and M2 demand function. Interest rate does not affect short-term M2 demand function but M 1 short run demand function. Most of the time money demand can be self-corrected. Money demand is above the threshold at present, which limits coutrol effects of monetary policy with money supply as the intermediate target.

关 键 词：货币需求 汇率 通货膨胀 门限调整 

分 类 号：F822.0[经济管理—财政学] F224