不同层次货币供给与消费波动的关联效应比较—来自我国频域的经验证据
投稿时间:2011-04-18  修订日期:2011-06-17  点此下载全文
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作者单位地址
徐海云* 江西财经大学金融与统计学院 江西省南昌市昌北经济开发区双港东大街169号
基金项目: 本文受国家自然科学基金项目“境外机构投资者持投对东道国证券市场的影响:基于全球证券市场数据的研究”(71072083)资助。
中文摘要:本文利用我国改革开放以来的30年来的月度数据,从频域的视角量化及比较分析了三个不同层次货币供给和实质消费波动间的关联效应。谱分析结果表明,(a)我国各层次货币供给与消费波动均存在长短不一的周期波动;(b)随着货币层次的变化,消费与货币供给波动间的相关性沿频率梯度做出规律的响应;(c)佐证了M0与消费相关关系最为密切,其次为M1和M2这一经典命题在我国的成立性;(d)不同层次货币供给与消费波动间的时差存在差异,且亦与波动频率密切相关。最后根据经济学理论及中国国情,针对上述结果的经济含义与成因做了深入的分析与讨论。
中文关键词:谱分析,HP滤波,Granger因果性
 
Comparison of Linkage Effects between Oscillations of Consumption and Money Supply at Different levels: Evidence from Frequency Domain in China
Abstract:In this paper, from the perspective of frequency domain, linkage effects between the oscillations of money supply at three levels and the consumption are quantized and studied comparatively, by using monthly data of 30 years since China's reform and opening up. Spectral analysis shows that (a) the time series of all levels of money supply and consumption have some business cycles with different length of periods, (b) With the change of money level, the correlation between consumption and money supply responses regularly along to the frequency gradient, (c) there is another evidence that the classic proposition is true in China that M0 is most closely associated with the consumption, followed by M1 and M2, (d) the time differences between the different levels of money supply and consumption are different, also relates closely to frequency. Finally, the economic implications and causes of these results are studied and discussed deeply, according to economics theory and Chinese national conditions.
keywords:Spectral analysis, HP filtering, Granger causality
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