中国加权货币总量研究
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摘要
准确选择货币政策中介目标,是实现货币政策目标的前提条件。作为货币政策传导机制的重要环节和中介目标之一,货币供应量历来受到政策制定者的高度关注,当今世界,无论是发达国家还是发展中国家,无论是否将货币供应量作为货币政策中介目标,几乎都在编制货币供应量统计表。货币供应量之所以受到各国的普遍重视,在于它是监测货币对经济作用的重要手段。货币总量是否适度,不仅直接影响物价稳定,而且最终影响国民经济运行。
货币总量的测度方法有两大类,即简单加总法和加权汇总法。简单加总法是不考虑资产的货币性程度,直接将所有的货币性资产价值求和而得到的货币总量。这意味着货币资产的持有者将构成货币总量的各类货币资产看作是完全的替代品。然而根据微观经济学的需求理论,持有不同货币的动机在于不同货币的交易职能和价值储藏手段具有著异性。在现实生活中现金、活期储蓄、定期储蓄的流通速度、媒介功能和变现能力也并不相同。而且近几年来国内外许多学者的实证研究发现简单加总货币总量与GDP、CPI等变量的联系消失,这给货币当局判断经济形势、制定货币政策带来困难。在利率尚未完全市场化的现实情况下,我们不应简单地抛弃货币供应量作为货币政策的中间目标,需要考虑的是。应该如何修正货币供应量,使其成为合格的货币政策中间目标。而加权汇总法是一种有效修正,它是根据不同资产的流动性而赋予各项资产不同权重,充分考虑货币资产的不完全替代性,国外的实证结果已显示它在可测性、可控性和相关性上的优良性质。那么中国的加权货币如何编制呢?加权货币总量在中国是否也会表现出优异性能呢?
本文首先介绍了中美两国受金融创新冲击,简单货币总量逐渐不能满足实证分析而不断改良统计方法的路径实践,对现有货币测度方法在理论上进行梳理评价,指出简单加总方法违背微观经济理论。鉴于加权指数的优点,引入迪维西亚(Divisia)加总方法尝试编制我国货币加权指数,并利用单位根检验、协整检验,格兰杰因果关系检验等方法检测其性质。结果发现以货币政策中介目标的可测性、可控性和相关性为标准,我国迪维西亚货币指数比简单加总的货币总量总体上更具优越性,在可控性上DivisiaM1表现更好,但与GDP关系上DivisiaM2性能更优,而简单相加货币总量与GDP的因果关系消失。建议放弃简单相加的货币总量作为中介指标。逐渐以迪维西亚货币指数取而代之,或者将迪维西亚总量作为货币政策辅助中介指标,并根据经济形势的需要适时进行调整,计算更为精确的加权指数,更好地为货币政策服务。
Choosing the monetary policy intermediate target accurately is a prerequisite to realize the monetary policy goal. As monetary policy conduction mechanism's important link and one of intermediate targets, the money supply always receives the policy maker to take seriously. Regardless of being the developed country or the developing country, regardless of takes the money supply the monetary policy intermediate target the country, does not take the money supply the intermediate target the country, nearly is establishing the money supply statistical table. The reason that the money supply receives various countries universal recognition, to lie in it is monitors the currency to the economical function method. The money supply is whether moderate, not only immediate influence price, but also affects the national economy movement finally.
The monetary aggregate's measure method has two broad headings, namely the simple-summed monetary aggregate and the weighting currency total quantity. The simple-summed monetary aggregate did not consider the property the currency degree, all currency property value summation will obtain directly currency total quantity. This means that the monetary assets the holder will constitute the currency total quantity each kind of monetary assets to regard as will be the complete substitute. However according to the microeconomics the demand theory, has the different currency motive to lie in the different currency the transaction function and the store of value method has the difference. In the real life the cash, the demand deposit, the regular deposit's rapidity of circulation, the medium function and the cash-ability are not different. Moreover in the last few years the domestic and foreign many scholar's variable and so on empirical study discovery simple footing currency total quantity and GDP, CPI relation vanishing, this for the currency authority judgment economic situation, the formulation monetary policy brings the difficulty. In the interest rate not yet completely in the marketability realistic situation, we should not abandon the money supply to take the monetary policy simply the intermediate objective, what needs to consider, how should revise the money supply, causes it to become the qualified monetary policy intermediate objective. But the weighting compiles the law is one kind of effective revision, it is entrusts with each property different weight according to the different property fluidity, considered fully the monetary assets incomplete vicariousness, the overseas real diagnosis result has demonstrated it in measurable, the controllability and the relevant fine nature. How then China's weighting currency aggregate does establish? Weighting currency aggregate in China whether also to display the outstanding performance?
This article first introduced China and US the financial innovation impact, the simple-summed monetary aggregate cannot satisfy gradually the empirical analysis, but improves the statistical method unceasingly the way practice, carries on theoretically to the existing currency measure method combs the appraisal, pointed out that the simple simple-summed method violates the microscopic economic theory. In view of the fact that weighted index's merit, introduces the Divisia method .The simple-summed method attempt to establish our country currency weighted index, and using the unit root examination, the association entire examination, methods and so on Granger examination examines its nature. The result discovery take the monetary policy intermediate target's measurability, the controllability and the relevance as the standard, our country Divisia currency index has the superiority as a whole compared to the simple footing currency total quantity, the DivisiaMl performance is better in the controllability, but the DivisiaM2 performance is more superior with the GDP relations, but adds together the currency total quantity and GDP causal relation vanishing simply. The suggestion gives up the monetary aggregate which adds together simply taking the intermediary target, displaces gradually by the Divisia currency index, or takes the Divisia the monetary policy auxiliary intermediary target, and needs at the right moment to make the adjustment according to the economic situation, calculates the more precise weighted index, serves better for the monetary policy.
货币总量的测度方法有两大类,即简单加总法和加权汇总法。简单加总法是不考虑资产的货币性程度,直接将所有的货币性资产价值求和而得到的货币总量。这意味着货币资产的持有者将构成货币总量的各类货币资产看作是完全的替代品。然而根据微观经济学的需求理论,持有不同货币的动机在于不同货币的交易职能和价值储藏手段具有著异性。在现实生活中现金、活期储蓄、定期储蓄的流通速度、媒介功能和变现能力也并不相同。而且近几年来国内外许多学者的实证研究发现简单加总货币总量与GDP、CPI等变量的联系消失,这给货币当局判断经济形势、制定货币政策带来困难。在利率尚未完全市场化的现实情况下,我们不应简单地抛弃货币供应量作为货币政策的中间目标,需要考虑的是。应该如何修正货币供应量,使其成为合格的货币政策中间目标。而加权汇总法是一种有效修正,它是根据不同资产的流动性而赋予各项资产不同权重,充分考虑货币资产的不完全替代性,国外的实证结果已显示它在可测性、可控性和相关性上的优良性质。那么中国的加权货币如何编制呢?加权货币总量在中国是否也会表现出优异性能呢?
本文首先介绍了中美两国受金融创新冲击,简单货币总量逐渐不能满足实证分析而不断改良统计方法的路径实践,对现有货币测度方法在理论上进行梳理评价,指出简单加总方法违背微观经济理论。鉴于加权指数的优点,引入迪维西亚(Divisia)加总方法尝试编制我国货币加权指数,并利用单位根检验、协整检验,格兰杰因果关系检验等方法检测其性质。结果发现以货币政策中介目标的可测性、可控性和相关性为标准,我国迪维西亚货币指数比简单加总的货币总量总体上更具优越性,在可控性上DivisiaM1表现更好,但与GDP关系上DivisiaM2性能更优,而简单相加货币总量与GDP的因果关系消失。建议放弃简单相加的货币总量作为中介指标。逐渐以迪维西亚货币指数取而代之,或者将迪维西亚总量作为货币政策辅助中介指标,并根据经济形势的需要适时进行调整,计算更为精确的加权指数,更好地为货币政策服务。
Choosing the monetary policy intermediate target accurately is a prerequisite to realize the monetary policy goal. As monetary policy conduction mechanism's important link and one of intermediate targets, the money supply always receives the policy maker to take seriously. Regardless of being the developed country or the developing country, regardless of takes the money supply the monetary policy intermediate target the country, does not take the money supply the intermediate target the country, nearly is establishing the money supply statistical table. The reason that the money supply receives various countries universal recognition, to lie in it is monitors the currency to the economical function method. The money supply is whether moderate, not only immediate influence price, but also affects the national economy movement finally.
The monetary aggregate's measure method has two broad headings, namely the simple-summed monetary aggregate and the weighting currency total quantity. The simple-summed monetary aggregate did not consider the property the currency degree, all currency property value summation will obtain directly currency total quantity. This means that the monetary assets the holder will constitute the currency total quantity each kind of monetary assets to regard as will be the complete substitute. However according to the microeconomics the demand theory, has the different currency motive to lie in the different currency the transaction function and the store of value method has the difference. In the real life the cash, the demand deposit, the regular deposit's rapidity of circulation, the medium function and the cash-ability are not different. Moreover in the last few years the domestic and foreign many scholar's variable and so on empirical study discovery simple footing currency total quantity and GDP, CPI relation vanishing, this for the currency authority judgment economic situation, the formulation monetary policy brings the difficulty. In the interest rate not yet completely in the marketability realistic situation, we should not abandon the money supply to take the monetary policy simply the intermediate objective, what needs to consider, how should revise the money supply, causes it to become the qualified monetary policy intermediate objective. But the weighting compiles the law is one kind of effective revision, it is entrusts with each property different weight according to the different property fluidity, considered fully the monetary assets incomplete vicariousness, the overseas real diagnosis result has demonstrated it in measurable, the controllability and the relevant fine nature. How then China's weighting currency aggregate does establish? Weighting currency aggregate in China whether also to display the outstanding performance?
This article first introduced China and US the financial innovation impact, the simple-summed monetary aggregate cannot satisfy gradually the empirical analysis, but improves the statistical method unceasingly the way practice, carries on theoretically to the existing currency measure method combs the appraisal, pointed out that the simple simple-summed method violates the microscopic economic theory. In view of the fact that weighted index's merit, introduces the Divisia method .The simple-summed method attempt to establish our country currency weighted index, and using the unit root examination, the association entire examination, methods and so on Granger examination examines its nature. The result discovery take the monetary policy intermediate target's measurability, the controllability and the relevance as the standard, our country Divisia currency index has the superiority as a whole compared to the simple footing currency total quantity, the DivisiaMl performance is better in the controllability, but the DivisiaM2 performance is more superior with the GDP relations, but adds together the currency total quantity and GDP causal relation vanishing simply. The suggestion gives up the monetary aggregate which adds together simply taking the intermediary target, displaces gradually by the Divisia currency index, or takes the Divisia the monetary policy auxiliary intermediary target, and needs at the right moment to make the adjustment according to the economic situation, calculates the more precise weighted index, serves better for the monetary policy.
引文
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[2]Friedman,Benjamin M.,K.N.Kuttner.Money,Income,Prices,and Interest Rates[J]..American Economic Review,1992,(82):472-492.
[3]Hacche,.Exchange Rates and Monetary Policy:Modelling Sterling's Effective Exchange Rate,1972-80[J].Oxford Economic Papers,1981,(33):201-247.
[4]M.J.Artis,M.K.Lewis.The Demand For Money In The United Kingdom:1963-1973[J].Manchester School,1976,(2):44-50.
[5]Coghlan.A Transactions Demand for Money[J].Bank of England Quarterly Bulletin,1982,(18):48-60.
[6]S.M.Goldfeld.The Case of The Missing Money[J].Brookimgs Papers on Economic Activity,1976,(3):683-730.
[7]R.D.Porter,P.A.Sproat.Econometric Modeling of The Demand For US Monetary Aggregates[M].Sydney:Ambassador Press,1989,117-139.
[8]Patrick,JR.Holly.The effect of technology growth on money suppply and demand :a cointegration approach[J].The Park Place Economist,1996,(7):28-54.
[9]Simpson,Thomas D.A.Proposal for Redefining Monetary Aggregates[J].Federal Reserve Bulletin,1979,(1):13-33.
[10]Orphanides,Athanasios,Brian Reid,and David H.Small.The Empirical Properties of a Mon- etary Aggregate that Adds Bond and Stock Funds to M2 in Symposium on Mutual Funds and Mon etary Aggregates[C].Federal Reserve Bank of St.Louis,1994,(11/12):31-51.
[11]Duca,John V.Commentary in Symposium on Mutual Funds and Monetary Aggregates[C].Federal Reserve Bank of St.Louis,1994,76(11/12):67-70.
[12]Duca,John V.The Changing Meaning of Money[J].The Southwest Economy,Federal Reserve Bank of Dllas,1995,(11/12):6-9.
[13]Petersen,David J.FYI-Monetary Aggregates,Payments Technology,and Institutional Factors[J].Economic Review,Federal Reserve Bank of Atlanta,1995,80(11/12):30-37.
[14]Mehra,Yash P.A Review of the Recent Behavior of M2 Demand[J].Economic Quarterly,Federal Reserve Bank of Richmand,1997,(3):27-43.
[15]俞乔.货币服务指数与货币政策[J].金融研究,1998,(10):15-18.
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