1996－2008年中国货币需求非线性实证分析

 货币需求分析对于货币政策制定有着非常重要的意义。本文应用STR模型对1996－2008年期间中国的货币需求函数进行了非线性检验。实证结果表明：中国货币需求函数确实存在非线性特征，进而反映了中国央行货币政策实施效果的非对称性以及中国“相机抉择”货币政策的局限性；当价格和实际国民收入作为货币当局控制变量时，中国货币政策的效果存在4个季度的产出时滞和4个季度的价格时滞。

Non-linear Money Demand in China: 1996-2008

This paper tests the non-linearity of Chinese money demand by applying smooth transition regression techniques.Using seasonally adjusted quarterly data from 1996(1) to 2008(4),it is found that money demand functions indeed exists non-linearity,which indicates the asymmetric effects of monetary policy.Meanwhile,there is monetary policy lag when price level and national income are viewed as policy control variables.In this paper,empirical results show that the price and productive lag are both 4 quarters.