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Research on Economics and Management. 2011, (12) Core

The Forecasting Performance of the Divisia Monetary Aggregates VAR ModelsChinese Full Text

ZHANG Jie-ping,LIU Wei-quan (School of Economics,Renmin University of China,Beijing 100872)

Abstract: With the latest establishment of China’s Divisia monetary aggregates data,we use four four-variable vector Autoregressive（VAR） models containing four kinds of monetary aggregates（Ml,M2,D1 and D2） to predict the value of real output and price index,and then compare the results obtained from the model with Divisia and simple sum monetary aggregates.The results show that,in predicting the real output value of China,the VAR model with Divisia Ml monetary aggregates（D1） has more accurate result than the simple sum monetary aggregates M1 and M2,while in predicting the value of the price index,the VAR model with Divisia M2 monetary aggregates（D2） performs better than the simple sum monetary aggregates M1 and M2 counterparts.
Keywords：

Divisia Monetary Aggregates; Simple Sum Monetary Aggregates; Forecast; VAR;

  • DOI：

    10.13502/j.cnki.issn1000-7636.2011.12.001

  • Series：

  • Subject：

  • Classification Code：

    F822;F224

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