An Empirical Analysis on Non-neutrality of Money in China Based on VAR Model

摘要：

Based on the data from 1978 to 2009, this paper selects variables such as money supply, real GDP and CPI as well as builds time series to prove that quantity of money has a certain impact on both the actual output and the nominal price level, while the impact of the former is stronger than that of the latter. AH of the above analyzes are based on co-integration analysis, Granger Causality Test,VAR model and pulse analysis. In the end, we can reach the conclusion that Chinese currency appears non-neutral in the long run.

关键词： non-neutrality of money co-integration analysis granger causality test VAR model pulse analysis

作者: Hui Peng Shuyan Song

作者单位: School of Business Administration Northeastern University Shenyang 110004, China School of Economics and Management Shenyang Ligong University Shenyang 110159, China

会议类型: 国际会议

会议名称: The 2010 International Conference on Computer Application and System Modeling(2010计算机应用与系统建模国际会议 ICCASM 2010)

会议地点: 太原

会议语种:英文

页码: 668-671

在线出版日期: 2010-10-22（万方平台首次上网日期，不代表论文的发表时间）