| M2对宏观经济的时滞效应及时变弹性分析 |
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| 引用本文： | 柴建,郭菊娥,汪寿阳.M2对宏观经济的时滞效应及时变弹性分析[J].运筹与管理,2010,19(5). |
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| 作者姓名： | 柴建 郭菊娥 汪寿阳 |
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| 作者单位： | 1. 西安交通大学管理学院,陕西西安,710049
2. 中国科学院数学与系统科学研究院,北京,100080 |
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| 基金项目： | 国家自然科学基金委管理学部2009年第一期应急研究项目资助 |
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| 摘 要： | 金融危机背景下我国出台的一系列货币政策导致M2快速增长,但其对我国实体经济的影响效应时滞及弹性效果分析目前尚无定论。本文建立了VARX模型来测算M2的增加对宏观经济的影响效应;结果表明,M2的增加对经济增长的拉动作用在滞后第2季度达到最大,但对通货膨胀的冲击效应相对较小时滞更长,在第5～6个季度才能达到最大。另外,为了分析宏观经济指标对M2的弹性系数在不同历史时期的变化,建立了时变Bayesian弹性分析模型测算M2对宏观经济影响效应的变动状况;结果表明:GDP、CPI对M2的弹性系数具有时变性,而M2拉动经济增长的作用效果自1998年以来呈逐年下降趋势。
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| 关 键 词： | 宏观经济 时变弹性分析 |
The Time-Delay Effect and Time-Varying Elasticity of M2 on Macroeconomy |
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| CHAI Jian,GUO Ju-e,WANG Shou-yang.The Time-Delay Effect and Time-Varying Elasticity of M2 on Macroeconomy[J].Operations Research and Management Science,2010,19(5). |
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| Authors: | CHAI Jian GUO Ju-e WANG Shou-yang |
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| Institution: | CHAI Jian1,GUO Ju-e1,WANG Shou-yang2(1.School of Management,Xi'an Jiao Tong University,Xi'an 710049,China,2.Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100080,China) |
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| Abstract: | In the context of the financial crisis,China adopted a series of monetary policy,which has led to the rapid growth of M2,but the time-delay analysis and elastic effects of its impact on China's real economy can not be determined at present.VARX model establishes in this paper and measures the impact of the increase in M2 on the macroeconomy.The results show that,the pulling effect of the increase in M2 on economic growth reaches the largest lag in Q2,but the impact on inflation is smaller and reaches the ma... |
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| Keywords: | VAR Bayesian MCMC M2 |
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