【作者】 蒋忠元；

【导师】 孙宁华；

【作者基本信息】 南京大学 ， 政治经济学， 2012， 硕士

【摘要】 货币与经济波动是宏观经济研究中两个重要的课题。自古典经济学派就开始研究货币与产出的关系,并通过货币数量论得出货币中性的结论。此后,各大经济学派都对这一课题进行了研究,但结论不一。那么货币到底是中性还是非中性?我国货币与经济波动又是怎样的关系?带着这些疑问,本文将在现金先行模型框架下实证分析我国货币供给与经济波动之间的关系。文章首先运用H-P滤波法分析我国自1978年到2010年宏观经济与货币供给的波动情况,总结它们各自的特征事实。经过分析发现,货币供给量与宏观经济的波动轨迹之间存在着相似性,随后通过Granger因果检验证实它们之间存在因果关系。基于此,文章运用VAR模型构建了与产出相关的货币供给路径,并将该路径作为货币供给冲击方程引入到现金先行模型中,从而将货币因素纳入到真实经济周期模型中进行分析。本文在实现全社会最优化的目标下,求解了现金先行模型,并通过对数线性化,由求解结果得到能够模拟现实经济的差分方程系统。此后,文章通过校准法求得差分方程系统中的参数与变量稳态值,得到差分方程系统的数值形式。最后,本文利用Matlab程序对求得的动态随机方程系统进行数值模拟,得到模型经济数据。通过将模型经济数据与实际经济数据的特征进行对比,本文发现模型经济总体而言能较好解释实际经济的波动情况,对产出波动的解释达到80.5%。此外,模型通过脉冲响应分析和方差分解分析发现,货币冲击主要影响通货膨胀率和名义利率等名义量,产出、资本等实际变量则受技术冲击影响较大。这表明我国货币政策虽然对产出等实际量存在影响,但对通货膨胀率、名义利率等名义变量的影响更大,货币具有偏向中性的特点。更多还原

【Abstract】 Money and economic fluctuations are two important topics in macroeconomic research. Since the Classical Economics School began to study the relationship between money and output and draw the monetary neutrality conclusion by the quantity theory of money, almost all the major economic schools studied this topic, but never drew the same conclusion. Money in the end is neutral or non-neutral? What kind of relationship between China’s money and economic fluctuations? With these questions, we did some empirical analysis to the relationship of China’s money and economic fluctuations under the framework of CIA model.The article firstly analyzed China’s macroeconomic volatility and the volatility of money supply from1978to2010by the HP filter, and summarized their stylized facts. Through the analysis, we found that there were similarities between the fluctuation of money supply and macroeconomic variables, thus we found their causal relationship by the Granger causality test. After that, this article constructed the money supply equation on output by the VAR model, and introduced the equation into CIA model as the money supply shock. Thus we could analyze money in the real business cycle model. We solved the CIA model in the way to achieve the optimization of the whole society, then we got the differential equation system which can simulate the real economy from the model solution by log-linearization. Since then, we got the numerical form of the differential equation system by calibrating the parameters and computing the steady-state value of variables in the differential equation system. Finally, we got the data of model economy by using the Matlab program to simulate the dynamic stochastic equations.Comparing the model economy to the real economy, we found that the model economy could explain the fluctuations in the real economy well, it explained80.5%of the output volatility. In addition, by the impulse response analysis and variance decomposition analysis we found that monetary shocks mainly affected nominal variables like inflation rate and nominal interest rate, the actual variables like output, capital were mainly subject to technology shocks. This indicated that though China’s monetary policy had some impact on the actual variables, but it impacted nominal variables greater. Money seemed neutral.更多还原