货币供应、通货膨胀与经济增长的互动关系研究——基于时变参数VAR模型的实证检验  

Research on the Interaction Between Money Supply,Inflation and Economic Growth——Based on Time-Varying Parameter VAR Model

作　　者：钱燕[1] 万解秋[1] 

机构地区：[1]苏州大学商学院,江苏苏州215021

出　　处：《西安财经学院学报》2014年第1期5-10,共6页Journal of Xi’an University of Finance & Economics

基　　金：江苏省普通高校研究生科研创新计划基金资助项目"我国货币政策传导的非线性效应研究"(CXZZ12-0773)

摘　　要：文章以我国1996年1月至2012年12月的月度数据为基础,首次建立了货币增长率、通货膨胀率和经济增长率的带随机波动的时变参数VAR模型(TVP-VAR),以此来考察货币供应、通货膨胀和经济增长之间的互动关系。研究结果表明:货币增长短期内促进经济增长,但长期内对经济增长没有驱动效应;货币增长短期内对通货膨胀的作用不确定,而在中长期时间内货币扩张会引发通货膨胀。经济的增长并没有推动货币增长,经济增长在短期内导致通货膨胀,但在长期内经济增长对通货膨胀的影响基本不存在;通货膨胀对经济增长和货币增长的作用依状态而变化。This paper attempts to characterize the interaction between money supply, inflation and economic growth using monthly data from Jan 1996 to Dem 2012 based on the time-varying parameter VAR model with stochastic volatility. The results show that： money supply will promote economic growth in the short term, but has no effects on economic growth in the long-term. In the short-term the effect of monetary growth on inflation is uncertainty, and in the long-term monetary expansion leads to inflation. Economic growth does not promote monetary growth. Economic growth leads to inflation in the short term, but in the long term impact of economic growth on inflation does not exist. The effect of inflation on economic growth and monetary growth varies by different state.

关 键 词：货币供给 通货膨胀 经济增长 时变参数VAR模型 

分 类 号：F822[经济管理—财政学]