经济学毕业论文-中国居民现金需求研究.doc

经济学毕业论文-中国居民现金需求研究

摘要

由于中国金融发展的特殊性，居民持有的交易媒介主要是流通中现金，因此现金需求近似等价于居民持币行为。本文通过构造一个一般均衡的Baumol-Tobin模型来研究中国居民的持币行为，该模型在以下方面对已有研究进行了改进：建立在动态决策基础之上，引入了货币化因素、居民存货行为以及货币调整成本。模型得出两种不同的结构式，从而为需求函数设定提供了一个理论基础。模型的一个结果表明，在以交易变量为规模变量的方程中，机会成本变量应为名义利率；而在以收入变量为规模变量的方程中，应该通过货币化指标、名义利率与通货膨胀率与其相匹配。模型的另一个结果表明，货币需求函数的动态结构由债券-现金转换成本与货币调整成本函数的具体形式决定。由于两种成本函数的未知性，在经验分析中应从数据出发来得出动态结构。最后，我们使用季度数据估计了基于交易的误差修正模型(ECM)，结果验证了该种设定下名义利率影响显著、通货膨胀率影响不显著的结论。另外，季度数据与月度数据结果的比较分析表明二者存在一致的动态结构，而且名义利率的影响随时间而增强。

关键词：动态决策，货币化，调整成本，现金需求结构式，误差修正模型，工具变量估计，利率影响

中文目录
一、引言 1
1.1 个人持币行为与中国居民现金需求 1
1.2 中国的流通中现金：一些基本事实 1
1.3与中国现金需求相关的分析及评价 3
二、货币需求理论综述 4
2.1  货币需求理论中的基本问题 4
2.2  货币进入效用函数的模型 5
2.3  交叠世代模型(OLG) 5
2.4  交易功能的模型 5
2.5  总结与比较 7
三、模型 7
3.1   模型的基本背景 7
3.2   家庭面临的约束条件 8
3.3   家庭的选择问题 9
3.4   政府问题 9
3.5  市场均衡条件与模型的解 9
3.6  对模型假设的进一步讨论 10
四、估计 11
4.1．变量选择 11
4.2．经济计量方程 12
4.3．数据 13
4.4．需求方程的识别与估计 13
五、结论 17
5.1．动态选择与现金需求的动态结构 17
5.2．现金需求中的规模变量与机会成本变量的组合 17
5.3．现金的交易流通速度与收入流通速度 18
附录一：部分重要的经济计量分析结果 18
附录二：数学模型附录 20
主要参考文献 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