货币供应量增速对我国经济周期阶段转换的预警作用分析^[1]

王金明 郭雨乔 刘旭阳^[2]

摘要：先行指标的变动预示着宏观经济波动的方向，预警信号有助于增强经济政策制定的前瞻性，本文基于具有时变转换概率的马尔可夫转换模型（MS-TVTP），研究货币供应量增速在我国经济周期波动的阶段转换中起到的预警作用。本文首先计算广义货币供应量增速（M2）与经济景气指数的时变相关系数，发现在中周期M2与经济景气指数的相关性逐渐增强，M2表现出领先于经济景气指数的特征。将M2作为经济周期阶段转换概率的影响因素，MS-TVTP模型回归的结果表明，货币供应量增速对我国经济周期的阶段转换具有预警作用。近期货币供应量增速下滑预示着我国经济景气指数向收缩阶段转换的概率增加，应采取宽松的货币政策以确保我国经济平稳增长。

关键词：经济周期 转换概率 货币供应量增速 MS-TVTP模型

中图分类号：F113.4 文献标识码：A

Analysis of the Early Warning Effect of the Increase of Monetary Supply on Business Cycles Phase Transitions in China

Wang Jinming Guo Yuqiao Liu Xuyang

Abstract：The fluctuation of leading indicator precautions the macroeconomic direction and the early warning signal will make macroeconomic policies more forward-looking. Based on Markov-Switching Model with Time-Varying Transition Probabilities（MS-TVTP），this paper measures the early warning effect of monetary supply on China’s business cycles phase transitions. We firstly calculates time-varying correlation coefficients between the increase of monetary supply（M2）and the climate index and conclude that the correlation coefficients between them increase gradually in the medium cycle and monetary supply has the stable feature of leading economic fluctuations. Introducing M2 into MS-TVTP model，the outcome shows that M2 predicts business cycles phase transitions and the recent decline of M2 indicates that the probability shifting to contraction phase increases. Central bank should adopt easy monetary policy to ensure our economy stable.

Keywords：Business Cycle Phase Transition the Increase of Monetary Supply MS-TVTP Model