作　　者： ; ;

机构地区： 广东财经大学

出　　处： 《山西财经大学学报》 2014年第7期25-35,共11页

摘　　要： 以货币数量论为理论依据,对2000年后的相关月度数据进行了完整的分整和分数协整检验。结果发现,我国通货膨胀率、名义货币供给增长率和实际产出增长率均具有长记忆性,并体现出线性分数协整关系。与单整自回归模型相比,分整模型在估计效率上具有明显的优势。这意味着,我国通货膨胀的强持续性来源于名义以及实际总量的强持续性,在货币政策中引入"单一货币规则"等方法,可以削弱通货膨胀的强持续性。 Applying the quantity theory of money as a theoretical base, the paper conducts complete fractional integration and fractional co-integration tests on a range of time series by the use of monthly data after 2000. We found that, firstly, inflation rate, nominal growth rate of the money supply and real output growth rate in China exhibit the property of long memories and linear frac- tional co-integrated relationships; secondly, in contrast to ARMA model in the integration sense, fractional model outperforms the for- mer in terms of the within-sample estimation efficiency. Our study implies that, the strong persistency of inflation stems from the strong persistency of nominal and real aggregates, and the introduction of the policy rule such as The Simple Money Rule in monetary policy implementation could undermine the strong persistency of inflation. Applying fractional models to depict China＇s inflation dy- namics could be a promising research field.

关 键 词： 通货膨胀强持续性 货币数量论 分整分析 分数协整检验

领　　域： [经济管理]