中国货币资产组合的弱可分性检验——对中国使用Divisia货币总量的可行性研究 阅读全文
下载全文 |
Title | The Tests for Weak Separability of Monetary Assets in China:The Feasibility Study for Divisia Monetary Aggregates in China
|
作者 | 杜浩然 黄桂田 |
Author | Du Haoran and Huang Guitian |
作者单位 | 北京大学经济学院 |
Organization | School of Economics, Peking University |
作者Email | duhaoran8899@163.com;huanggt@pku.edu.cn |
中文关键词 | 货币资产组合 弱可分性 Divisia货币总量 DSGE模型 随机半非参数检验 |
Key Words | Monetary Assets; Weak Separability; Divisia Monetary Aggregates; DSGE Model; Stochastic Semi-nonparametric Test |
内容提要 | 运用加权求和得到的Divisia货币总量有别于现行的简单加总货币量,被认为是对货币流动性更准确的度量。本文是对这一指标在中国使用是否具备前提条件所进行的讨论:运用动态随机一般均衡框架和极大似然估计,得到了在中国个人持有的广义货币组合M2和一般商品消费间具有弱可分性;运用随机半非参数检验方法,得到了狭义货币组合M1弱可分,同时M2-(在M2的基础上去除定期存款和其它存款)也满足弱可分的特性。这表明在中国对货币资产组合进行Divisia总量统计是具备前提条件的,货币当局可以考虑使用Divisia货币总量指标。 |
Abstract | The weighted-sum Divisia monetary aggregates can measure the accurate measurement of monetary liquidity, which are different from the simple-sum monetary amount. This paper checks the prerequisites whether Divisia monetary aggregates can be used in China. We use the dynamic stochastic general equilibrium framework and maximum likelihood estimation, concluding that the monetary assets in M2 are weakly separable from general commodity consumption. After that, we use the stochastic semi-nonparametric test and find the monetary assets in M1 and M2- (which contain all the assets in M2 except time deposits and other deposits) are weakly separable. In general, we show the prerequisites to construct Divisia monetary aggregates for some certain monetary assets in China, which can be taken into account by China’s central bank. |
文章编号 | WP970 |
登载时间 | 2015-12-01 |
|