货币供给数量、结构与经济增长—来自ADL门限协整检验与时变格兰杰因果关系检验的证据

Quantity and Structure of Money Supply and Economic Growth— Evidence from ADL Test for Threshold Cointegration and Time-varying Granger Causality Relation Test

Yifei Cai

MPRA Paper from University Library of Munich, Germany

Abstract: 本文在粘性价格理论的基础上建立了具有前瞻性的货币数量理论模型，应用ADL门限协整检验与时变因果关系检验实证分析了货币供给数量M1与M2、货币供给结构M1、M2增速差对经济增长的影响，对我国的“货币中性”进行再检验。结果证实了货币供给数量与结构是经济增长的时变格兰杰原因，但持续的时间较短；在绝大多数的时间段内，表现出“货币中性”。此外，自2015年10月以来，M1、M2增速差持续扩大，但实证结果表明尽管货币增速差与经济增长呈现负相关关系，但时变因果关系表明M1、M2增速差并不是驱动GDP的格兰杰原因。

Keywords: 货币供给数量与结构；经济增长；ADL门限协整检验；时变格兰杰因果关系检验 (search for similar items in EconPapers)
JEL-codes: C12 C51 E23 (search for similar items in EconPapers)
Date: 2016-09-17
New Economics Papers: this item is included in nep-mac
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