| 中国货币长期非中性的协整检验——来自1984～2005年的数据 |
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| 引用本文： | 岳意定,刘莉君.中国货币长期非中性的协整检验——来自1984～2005年的数据[J].预测,2007,26(3):61-64. |
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| 作者姓名： | 岳意定 刘莉君 |
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| 作者单位： | 1. 中南大学,商学院,湖南,长沙,410083
2. 中南大学,商学院,湖南,长沙,410083;湖南科技大学,商学院,湖南,湘潭,411201 |
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| 基金项目： | 国家社会科学基金;高等学校博士学科点专项科研项目;湖南科技大学校科研和教改项目 |
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| 摘 要： | 货币中性问题一直是国内外经济学家争论的焦点问题。短期货币非中性的结论已经被大多数经济学家所接受,但是长期货币中性抑或非中性还颇有争议。本文运用我国1984年至2005年货币供给量M2和实际产出RGDP的年度数据,通过单位根检验发现货币供给和实际产出均是二阶单整,Granger因果检验显示二者存在双向因果关系,并运用协整检验得出二者存在长期均衡关系的结论。因此,我国货币在长期内非中性,而且货币供给呈内生性。
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| 关 键 词： | 货币长期非中性 单位根检验 Granger因果检验 协整检验 |
| 文章编号： | 1003-5192（2007）03-0061-04 |
| 收稿时间： | 2006-11-06 |
| 修稿时间： | 2006-11-06 |
Cointegration Test on Long-run Non-neutrality of Money in China: Come from the Data from 1984 to 2005 |
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| YUE Yi-ding,LIU Li-jun.Cointegration Test on Long-run Non-neutrality of Money in China: Come from the Data from 1984 to 2005[J].Forecasting,2007,26(3):61-64. |
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| Authors: | YUE Yi-ding LIU Li-jun |
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| Institution: | 1. School of Busincss, Central South University, Changsha 410083, China; 2. School of Business, Hunan University of Science and Technology, Xiangtan 411201, China |
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| Abstract: | The problem about neutrality of money is the focus that economists inside and outside China are debating.The short-run non-neutrality of money is accepted by almost all economists.However,there is much dispute about whether the money is neutral or non-neutral in long term.The annual data about money supply M2 and real output RGDP from 1984 to 2005 are adopted in the paper.Then money supply and real output are discovered to be integrated of 2 from unit root test.And there is bidirectional causality between them from Granger causality test.At the same time there exists a long-run equilibrium relationship between money supply and real output through cointegration test.So these demonstrational results draw the conclusions that the money is non-neutral in long term and money supply is endogenous in China. |
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| Keywords: | long-run non-neutrality of money unit root test Granger causality test cointegration test |
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