汇率变动与我国货币需求非线性误差修正
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财经研究 2009 年 第 35 卷第 02 期, 页码：87 - 99
摘要
参考文献
摘要
文章引入汇率变动变量对开放经济条件下我国货币需求函数进行研究。经验结果表明:(1)汇率变动是影响我国长期货币需求稳定的关键因素,且汇率变动对我国货币需求有正向的影响;(2)线性误差修正模型描述我国广义货币需求动态并不合适,非线性误差修正模型则能对广义货币需求的短期动态机制进行较好的解释。
[3]ESTR类模型的台劳展开式中最高次项有且只有二次项,而LSTR类模型的台劳展开式中最高次项肯定有三次项或者一次项,因此,如果最高次只出现二次项,则是ESTR模型,而最高次是一次和三次时,选择LSTR模型。详细的证明见Terasvirta(1994)第210页。
[1]王少平,李子奈.我国货币需求的协整分析及其货币政策建议[J].经济研究,2004,(7):9.17.
[2]叶光,张晓峒,聂巧平.中国货币需求的协整分析和结构VECM估计[J].世界经济,2007,(7):38.46.
[3]易行健.经济开放条件下的货币需求函数:中国的经验[J].世界经济,2006,(4):49.59.
[4]张勇,范从来.货币需求函数结构稳定性的实证分析——来自政策变动、经济稳定预期不稳定的证据[J].管理世界,2006,(2):10.17.
[5]高云峰.金融发展中的货币需求稳定性研究——基于1994～2005年的协整分析[J].数量经济技术经济研究,2006,(5):31.40.
[6]蒋瑛琨,赵振全,刘艳武.中国货币需求函数的实证分析——基于两阶段(1978—1993、1994—2004)的动态检验[J].中国软科学,2005,(2):24.33.
[7]宋海林,刘澄.中国货币信贷政策理论与实证[M].北京:中国金融出版社,2003:54.57.
[8]谢安.对我国消费价格指数编制方法的一点看法[J].统计研究,1998,(3):72.74.
[9]王国松,杨扬.国际资本流动下我国货币需求函数稳定性检验[J].财经研究,2006,(10):17.34.
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[14]Dornbusch R.Expectation and exchange rate dynamics[J].Journal of Political Econo.my,1976,84:1161.1176.
[15]Elliott G,Rothenberg T J,Stock J H.Efficient tests for an autoregressive unit root[J].Econometrica,1996,64:813.836.
[16]Granger C WJ,Terasvirta T.Modeling nonlinear economic relationships[M].Ox.ford,UK:Oxford University Press,1993.
[17]Hamburger MJ.The demand for money in an open economy[J].Journal of Monetary Economics,1977,3:25.40.
[18]Jyh.Lin Wu,Yu.Hau Hu.Currency substitution and nonlinear error correctionin Tai.wan’s demand for broad money[J].Applied Economics,2007,39:1635.1645.
[19]Ltkepohl H,Terasvirta T,Wolters J.Investigating stability and linearity of a Ger.man M1money demand function[J].Journal of Applied Econometrics,1999,14:511.525.
[20]Manki w G N.The reincarnation of Keynesian economics[J].NBER Working Paper,1991,No.3885.
[21]Mcgibany J M,Nourzad F.Exchange rate volatility and the demand for moneyin the U.S.[J].International Reviewof Economics and Finance,1995:4411.4425.
[22]Miller M H,Orr D.A model of the demand for money by firms[J],The Quarterly Journal of Economics,1966,80:413.435.
[23]Mundell R A.Capital mobility and stabilization policy under fixed and flexible ex.change rates[J].Canadian Journal of Economics and Political Science,1963,29:475.485.
[24]Sarno L.Adjust ment costs and nonlinear dynamics in the demand for money:Italy,1861.1991[J].International Journal of Finance&Economics,1999,4:155.177.
[25]Sarno L,Taylor M,Peel D A.Nonlinear equilibriumcorrection in U.S.real money balances,1869.1997[J].Journal of Money,Credit and Banking,2003,35:787.799.
[26]Terasvirta T.Modeling economic relationships with smooth transition regressions[A].D Giles,A Ullah.Handbook of applied economic statistics(Eds)[C].New York:Marcel Dekker,1998:507.552.
[27]Terasvirta T.Specification,esti mation and evaluation of smoothtransition autoregres.sive models[J].Journal of the American Statistical Association,1994,89:208.218.
[1]王少平,李子奈.我国货币需求的协整分析及其货币政策建议[J].经济研究,2004,(7):9.17.
[2]叶光,张晓峒,聂巧平.中国货币需求的协整分析和结构VECM估计[J].世界经济,2007,(7):38.46.
[3]易行健.经济开放条件下的货币需求函数:中国的经验[J].世界经济,2006,(4):49.59.
[4]张勇,范从来.货币需求函数结构稳定性的实证分析——来自政策变动、经济稳定预期不稳定的证据[J].管理世界,2006,(2):10.17.
[5]高云峰.金融发展中的货币需求稳定性研究——基于1994～2005年的协整分析[J].数量经济技术经济研究,2006,(5):31.40.
[6]蒋瑛琨,赵振全,刘艳武.中国货币需求函数的实证分析——基于两阶段(1978—1993、1994—2004)的动态检验[J].中国软科学,2005,(2):24.33.
[7]宋海林,刘澄.中国货币信贷政策理论与实证[M].北京:中国金融出版社,2003:54.57.
[8]谢安.对我国消费价格指数编制方法的一点看法[J].统计研究,1998,(3):72.74.
[9]王国松,杨扬.国际资本流动下我国货币需求函数稳定性检验[J].财经研究,2006,(10):17.34.
[10]Alfred A H,Julie T.Acloser look at long.run us money demand:linear or nonlinear error correction with M0,M1,M2?[J].Economic Inquiry.2007,45:363.376.
[11]Arango S,Nadiri MI.Demand for money in open economies[J].Journal of Monetary Economics,1981,7:69.83.
[12]Arize A C,Shwiff S.The appropriate exchange.rate variable in the money demand of25countries:An empirical investigation[J].North American Journal of Economics and Finance,1989,9:169.185.
[13]Bahmani.Oskooee M,Pourheydarian M.Exchange rate sensibility of the demand for money and effectiveness of fiscal and monetary policies[J].Applied Economics,1990,22:917.925.
[14]Dornbusch R.Expectation and exchange rate dynamics[J].Journal of Political Econo.my,1976,84:1161.1176.
[15]Elliott G,Rothenberg T J,Stock J H.Efficient tests for an autoregressive unit root[J].Econometrica,1996,64:813.836.
[16]Granger C WJ,Terasvirta T.Modeling nonlinear economic relationships[M].Ox.ford,UK:Oxford University Press,1993.
[17]Hamburger MJ.The demand for money in an open economy[J].Journal of Monetary Economics,1977,3:25.40.
[18]Jyh.Lin Wu,Yu.Hau Hu.Currency substitution and nonlinear error correctionin Tai.wan’s demand for broad money[J].Applied Economics,2007,39:1635.1645.
[19]Ltkepohl H,Terasvirta T,Wolters J.Investigating stability and linearity of a Ger.man M1money demand function[J].Journal of Applied Econometrics,1999,14:511.525.
[20]Manki w G N.The reincarnation of Keynesian economics[J].NBER Working Paper,1991,No.3885.
[21]Mcgibany J M,Nourzad F.Exchange rate volatility and the demand for moneyin the U.S.[J].International Reviewof Economics and Finance,1995:4411.4425.
[22]Miller M H,Orr D.A model of the demand for money by firms[J],The Quarterly Journal of Economics,1966,80:413.435.
[23]Mundell R A.Capital mobility and stabilization policy under fixed and flexible ex.change rates[J].Canadian Journal of Economics and Political Science,1963,29:475.485.
[24]Sarno L.Adjust ment costs and nonlinear dynamics in the demand for money:Italy,1861.1991[J].International Journal of Finance&Economics,1999,4:155.177.
[25]Sarno L,Taylor M,Peel D A.Nonlinear equilibriumcorrection in U.S.real money balances,1869.1997[J].Journal of Money,Credit and Banking,2003,35:787.799.
[26]Terasvirta T.Modeling economic relationships with smooth transition regressions[A].D Giles,A Ullah.Handbook of applied economic statistics(Eds)[C].New York:Marcel Dekker,1998:507.552.
[27]Terasvirta T.Specification,esti mation and evaluation of smoothtransition autoregres.sive models[J].Journal of the American Statistical Association,1994,89:208.218.
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宋金奇, 雷钦礼. 汇率变动与我国货币需求非线性误差修正[J]. 财经研究, 2009, 35(2): 87–99.
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