經(jīng)濟(jì)學(xué)畢業(yè)論文-中國居民現(xiàn)金需求研究

摘要

由于中國金融發(fā)展的特殊性，居民持有的交易媒介主要是流通中現(xiàn)金，因此現(xiàn)金需求近似等價(jià)于居民持幣行為。本文通過構(gòu)造一個(gè)一般均衡的Baumol-Tobin模型來研究中國居民的持幣行為，該模型在以下方面對(duì)已有研究進(jìn)行了改進(jìn)：建立在動(dòng)態(tài)決策基礎(chǔ)之上，引入了貨幣化因素、居民存貨行為以及貨幣調(diào)整成本。模型得出兩種不同的結(jié)構(gòu)式，從而為需求函數(shù)設(shè)定提供了一個(gè)理論基礎(chǔ)。模型的一個(gè)結(jié)果表明，在以交易變量為規(guī)模變量的方程中，機(jī)會(huì)成本變量應(yīng)為名義利率；而在以收入變量為規(guī)模變量的方程中，應(yīng)該通過貨幣化指標(biāo)、名義利率與通貨膨脹率與其相匹配。模型的另一個(gè)結(jié)果表明，貨幣需求函數(shù)的動(dòng)態(tài)結(jié)構(gòu)由債券-現(xiàn)金轉(zhuǎn)換成本與貨幣調(diào)整成本函數(shù)的具體形式?jīng)Q定。由于兩種成本函數(shù)的未知性，在經(jīng)驗(yàn)分析中應(yīng)從數(shù)據(jù)出發(fā)來得出動(dòng)態(tài)結(jié)構(gòu)。最后，我們使用季度數(shù)據(jù)估計(jì)了基于交易的誤差修正模型(ECM)，結(jié)果驗(yàn)證了該種設(shè)定下名義利率影響顯著、通貨膨脹率影響不顯著的結(jié)論。另外，季度數(shù)據(jù)與月度數(shù)據(jù)結(jié)果的比較分析表明二者存在一致的動(dòng)態(tài)結(jié)構(gòu)，而且名義利率的影響隨時(shí)間而增強(qiáng)。

關(guān)鍵詞：動(dòng)態(tài)決策，貨幣化，調(diào)整成本，現(xiàn)金需求結(jié)構(gòu)式，誤差修正模型，工具變量估計(jì)，利率影響

中文目錄
一、引言 1
1.1 個(gè)人持幣行為與中國居民現(xiàn)金需求 1
1.2 中國的流通中現(xiàn)金：一些基本事實(shí) 1
1.3與中國現(xiàn)金需求相關(guān)的分析及評(píng)價(jià) 3
二、貨幣需求理論綜述 4
2.1  貨幣需求理論中的基本問題 4
2.2  貨幣進(jìn)入效用函數(shù)的模型 5
2.3  交疊世代模型(OLG) 5
2.4  交易功能的模型 5
2.5  總結(jié)與比較 7
三、模型 7
3.1   模型的基本背景 7
3.2   家庭面臨的約束條件 8
3.3   家庭的選擇問題 9
3.4   政府問題 9
3.5  市場均衡條件與模型的解 9
3.6  對(duì)模型假設(shè)的進(jìn)一步討論 10
四、估計(jì) 11
4.1．變量選擇 11
4.2．經(jīng)濟(jì)計(jì)量方程 12
4.3．?dāng)?shù)據(jù) 13
4.4．需求方程的識(shí)別與估計(jì) 13
五、結(jié)論 17
5.1．動(dòng)態(tài)選擇與現(xiàn)金需求的動(dòng)態(tài)結(jié)構(gòu) 17
5.2．現(xiàn)金需求中的規(guī)模變量與機(jī)會(huì)成本變量的組合 17
5.3．現(xiàn)金的交易流通速度與收入流通速度 18
附錄一：部分重要的經(jīng)濟(jì)計(jì)量分析結(jié)果 18
附錄二：數(shù)學(xué)模型附錄 20
主要參考文獻(xiàn) 24

On Cash Demand in China

Abstract

Due to the special development of China's banking service, the narrow money held by  households consists mainly of cash in circulation. As a result, the cash demand is nearly synonymous to individual money demand. This paper analyzes individual money demand in the context of a dynamic general equilibrium version of Baumol-Tobin model. The model distinguishes itself in the following two aspects: first, it uses a dynamic optimization method; second, it introduces into model the monetization process, inventory choice, and adjustment costs of money demand. By deriving two different structural equations, the model gives a foundation for the cash demand function. One result of the model shows that, in the transaction-based structural equation, nominal interest rate functions as the opportunity cost variable, while for matching the income-based structural equation, the monetization index, nominal interest rate, and inflation should all enter the equation. Another result shows that, the dynamic structure is determined by the specific function form of bond-cash transaction cost and monetary adjustment costs. Due to the unknown nature of the two cost functions, empirically we should try to find dynamic structure from the data. Finally, by using the quarterly data we estimate the transactions-based error-correction model. The results show that the nominal interest rate has a significant effect on cash demand, while inflation rate has no significant effect. In addition, the comparison between the result of quarterly and monthly data shows that there are a consistent dynamic structure in two estimates, and the effects become more significant as time evolves.

KEYWORDS: dynamic decision, monetization，adjustment costs, structural form，error-correction model，instrumental variable estimation, the interest rate effect