我国货币需求函数的相关因素分析.doc

我国货币需求函数的相关因素分析 根据货币学派的主张，认为只要保持货币供给量满足社会经济的发展需要，就不必需要政府来干预市场。在此选取我国1991年至2007年的数据进行了简单的分析。(一)Dependent Variable: MMethod: Least SquaresDate: 11/29/09 Time: 18:54Sample: 1990 2007Included observations: 18VariableCoefficientStd. Errort-StatisticProb.C-98709.9838422.13-2.5690920.0223GDP1.8160570.03682349.318200.0000CPI-1051.408700.5245-1.5008860.1556PPI1684.814636.73922.6460030.0192R-squared0.995112Mean dependent var144174.3Adjusted R-squared0.994064S.D. dependent var117812.4S.E. of regression9076.764Akaike info criterion21.25795Sum squared resid1.15E+09Schwarz criterion21.45581Log likelihood-187.3216Hannan-Quinn criter.21.28524F-statistic949.9916Durbin-Watson stat1.033051Prob(F-statistic)0.000000Dependent Variable: LNMMethod: Least SquaresDate: 11/29/09 Time: 19:16Sample: 1990 2007Included observations: 18VariableCoefficientStd. Errort-StatisticProb.C-3.4661660.331511-10.455670.0000LNGDP1.2830420.01680376.359200.0000CPI-0.0038910.003713-1.0477950.3125PPI0.0091110.0034782.6197310.0202R-squared0.998039Mean dependent var11.48442Adjusted R-squared0.997619S.D. dependent var0.999851S.E. of regression0.048786Akaike info criterion-3.009620Sum squared resid0.033321Schwarz criterion-2.811760Log likelihood31.08658Hannan-Quinn criter.-2.982338F-statistic2375.508Durbin-Watson stat1.115451Prob(F-statistic)0.000000 由上表知，F检验通过，但是CPI的t检验未通过。又考虑到CPI与PPI都是经济发展状况的反映，可能存在较强的多重共线性。求出CPI与PPI的相关系数矩阵，见下表：CorrelationLNGDPCPIPPILNGDP1-0.4302-0.4570CPI-0.430210.8874PPI-0.45700.88741由上表可知，CPI与PPI存在多重共线性，运用逐步回归法：1、 保留CPI,去掉PPI，对数据进行回归，如下：Dependent Variable: LNMMethod: Least SquaresDate: 11/29/09 Time: 19:08Sample: 1990 2007Included observations: 18VariableCoefficientStd. Errort-StatisticProb.C-3.2994310.383694-8.5991230.0000LNGDP1.2750860.01949065.422860.0000CPI0.0044790.0022322.0061900.0632R-squared0.997078Mean dependent var11.48442Adjusted R-squared0.996689S.D. dependent var0.999851S.E. of regression0.057536Akaike info criterion-2.721812Sum squared resid0.049655Schwarz criterion-2.573417Log likelihood27.49631Hannan-Quinn criter.-2.701350F-statistic2559.435Durbin-Watson stat0.514713Prob(F-statistic)0.000000由DW值可知，模型存在正的序列相关性，由图示法做-图如下：由图可知有很明显的正序列相关性。通过广义差分法，得下表：Dependent Variable: LNMMethod: Least SquaresDate: 11/29/09 Time: 18:59Sample (adjusted): 1991 2007Included observations: 17 after adjustmentsConvergence achieved after 18 iterationsVariableCoefficientStd. Errort-StatisticProb.C6.1048831.4142514.3166900.0008LNGDP0.5968860.0934666.3861520.0000CPI0.0044230.0010224.3262810.0008AR(1)0.9444390.009144103.28090.0000R-squared0.999664Mean dependent var11.59320Adjusted R-squared0.999587S.D. dependent var0.914264S.E. of regression0.018591Akaike info criterion-4.929944Sum squared resid0.004493Schwarz criterion-4.733893Log likelihood45.90452Hannan-Quinn criter.-4.910456F-statistic12893.96Durbin-Watson stat2.536577Prob(F-statistic)0.000000Inverted AR Roots.942、 保留PPI，去掉CPIDependent Variable: LNMMethod: Least SquaresDate: 11/29/09 Time: 19:40Sample: 1990 2007Included observations: 18VariableCoefficientStd. Errort-StatisticProb.C-3.5576460.320849-11.088220.0000LNGDP1.2841020.01682776.312620.0000PPI0.0059760.0017793.3599710.0043R-squared0.997886Mean dependent var11.48442Adjusted R-squared0.997604S.D. dependent var0.999851S.E. of regression0.048945Akaike info criterion-3.045235Sum squared resid0.035934Schwarz criterion-2.896839Log likelihood30.40711Hannan-Quinn criter.-3.024773F-statistic3539.618Durbin-Watson stat0.710715Prob(F-statistic)0.000000由图可知有很明显的正序列相关性。通过广义差分法，得下表：Dependent Variable: LNMMethod: Least SquaresDate: 11/29/09 Time: 19:41Sample (adjusted): 1991 2007Included observations: 17 after adjustmentsConvergence achieved after 9 iterationsVariableCoefficientStd. Errort-StatisticProb.C5.7067191.8875253.0233870.0098LNGDP0.6321930.1254345.0400430.0002PPI0.0027350.0010702.5557530.0239AR(1)0.9411980.01255574.967900.0000R-squared0.999456Mean dependent var11.59320Adjusted R-squared0.999330S.D. dependent var0.914264S.E. of regression0.023664Akaike info criterion-4.447394Sum squared resid0.007280Schwarz criterion-4.251343Log likelihood41.80285Hannan-Quinn criter.-4.427906F-statistic7956.591Durbin-Watson stat2.340263Prob(F-statistic)0.000000Inverted AR Roots.94(二)考虑临界指标的虚拟变量的引入：考虑1998年亚洲金融危机的影响，考虑在此时的货币供给量是否有明显的转折：Dependent Variable: LNMMethod: Least SquaresDate: 11/29/09 Time: 20:04Sample: 1990 2007Included observations: 18VariableCoefficientStd. Errort-StatisticProb.C-2.4565020.290268-8.4628600.0000LNGDP1.2408280.02660046.647190.0000(CPI-99.2)*D10.0113590.0119650.9493760.3575R-squared0.996504Mean dependent var11.48442Adjusted R-squared0.996038S.D. dependent var0.999851S.E. of regression0.062933Akaike info criterion-2.542470Sum squared resid0.059409Schwarz criterion-2.394075Log likelihood25.88223Hannan-Quinn criter.-2.522009F-statistic2137.997Durbin-Watson stat0.671796Prob(F-statistic)0.000000由上图，知货币供给量在1998年出现转折并不明显，另外，我国在此阶段确实保持了稳定的货币供给量。(三)Null Hypothesis: D(A1,2) has a unit rootExogenous: NoneLag Length: 0 (Automatic based on AIC, MAXLAG=0)t-StatisticProb.*Augmented Dickey-Fuller test statistic-2.2746990.0287Test critical values:1% level-2.8167405% level-1.98234410% level-1.601144*MacKinnon (1996) one-sided p-values.Warning: Probabilities and critical values calculated for 20 observationsand may not be accurate for a sample size of 10Augmented Dickey-Fuller Test EquationDependent Variable: D(A1,3)Method: Least SquaresDate: 12/23/09 Time: 20:17Sample (adjusted): 1998 2007Included observations: 10 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.D(A1(-1),2)-0.7656530.336595-2.2746990.0490R-squared0.364278Mean dependent var133.5677Adjusted R-squared0.364278S.D. dependent var4047.827S.E. of regression3227.421Akaike info criterion19.09139Sum squared resid93746207Schwarz criterion19.12165Log likelihood-94.45697Hannan-Quinn criter.19.05820Durbin-Watson stat1.706209Null Hypothesis: D(GDP,2) has a unit rootExogenous: NoneLag Length: 0 (Automatic based on SIC, MAXLAG=2)t-StatisticProb.*Augmented Dickey-Fuller test statistic-2.8528110.0093Test critical values:1% level-2.8167405% level-1.98234410% level-1.601144*MacKinnon (1996) one-sided p-values.Warning: Probabilities and critical values calculated for 20 observationsand may not be accurate for a sample size of 10Augmented Dickey-Fuller Test EquationDependent Variable: D(GDP,3)Method: Least SquaresDate: 12/24/09 Time: 14:25Sample (adjusted): 1998 2007Included observations: 10 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.D(GDP(-1),2)-1.0460290.366666-2.8528110.0190R-squared0.465986Mean dependent var-1377.206Adjusted R-squared0.465986S.D. dependent var11162.71S.E. of regression8157.293Akaike info criterion20.94585Sum squared resid5.99E+08Schwarz criterion20.97611Log likelihood-103.7293Hannan-Quinn criter.20.91266Durbin-Watson stat1.660377Null Hypothesis: D(A3,2) has a unit rootExogenous: NoneLag Length: 0 (Automatic based on AIC, MAXLAG=2)t-StatisticProb.*Augmented Dickey-Fuller test statistic-3.8159120.0015Test critical values:1% level-2.8167405% level-1.98234410% level-1.601144*MacKinnon (1996) one-sided p-values.Warning: Probabilities and critical values calculated for 20 observationsand may not be accurate for a sample size of 10Augmented Dickey-Fuller Test EquationDependent Variable: D(A3,3)Method: Least SquaresDate: 12/23/09 Time: 20:28Sample (adjusted): 1998 2007Included observations: 10 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.D(A3(-1),2)-1.2987850.340360-3.8159120.0041R-squared0.615805Mean dependent var0.019099Adjusted R-squared0.615805S.D. dependent var0.264637S.E. of regression0.164031Akaike info criterion-0.682883Sum squared resid0.242155Schwarz criterion-0.652625Log likelihood4.414417Hannan-Quinn criter.-0.716077Durbin-Watson stat1.778086Null Hypothesis: B1 has a unit rootExogenous: NoneLag Length: 0 (Automatic based on AIC, MAXLAG=2)t-StatisticProb.*Augmented Dickey-Fuller test statistic-5.7509650.0000Test critical values:1% level-2.7719265% level-1.97402810% level-1.602922*MacKinnon (1996) one-sided p-values.Warning: Probabilities and critical values calculated for 20 observationsand may not be accurate for a sample size of 12Augmented Dickey-Fuller Test EquationDependent Variable: D(B1)Method: Least SquaresDate: 12/23/09 Time: 20:42Sample (adjusted): 1996 2007Included observations: 12 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.B1(-1)-1.3550090.235614-5.7509650.0001R-squared0.748565Mean dependent var92.69959Adjusted R-squared0.748565S.D. dependent var1123.910S.E. of regression563.5650Akaike info criterion15.58610Sum squared resid3493660.Schwarz criterion15.62651Log likelihood-92.51659Hannan-Quinn criter.15.57114Durbin-Watson stat2.12711