Construction And Inspection Of Divisia Monetary Index In China

With the deepening of China’s market-oriented reforms and the continuous innovation of financial products,the limitations of simply adding up the total amount of money have become increasingly prominent,and the correlation with the real economy has weakened.This has prompted China,like some western countries,to gradually abandon the use of money supply as a control aims.Academia has long been studying the construction of monetary aggregate indicators that are more closely linked to the real economy.In the 1980 s,the American economist Barnett constructed the Divisia Index.He believed that different currency assets have different liquidity and cannot be completely replaced.They should assign different weights to various currency assets.Since then,they have conducted a series of rounds on this theme.Research shows that the Divisia index has also been applied in some countries.The Divisia index constructed by the existing literature is generally based on the typical consumer to achieve a constrained utility maximization goal,derive the cost of currency asset users,and calculate the weight of different currency assets based on the cost of currency asset users.The theoretical basis,but not all the holding units of currency assets are consumers,there are also corporate departments and government units;and user costs are rental prices,the size of which depends on the rate of return of the asset user.They are often the same,which results in the same currency assets held by different institutional sectors being a completely replaceable result.However,in reality,due to the different institutions holding the same currency assets,the impact on and impact on the real economy is different.For example,the deposit of the household sector is more closely related to residential prices and CPI,while the corporate sector.The amount of deposits is more closely related to the prosperity of the macro economy.Treating the same assets held by different institutional sectors as completely replaceable will inevitably weaken the link between the currency index and the real economy.Based on this,in order to build a monetary aggregate index that is more closely related to thereal economy,this article puts forward the idea of ??constructing the Divisia index by institutional sector,not only depending on the irreplaceability between different currency assets,but also on the holdings of different institutional sectors.The same currency assets are also irreplaceable.This article replaces the existing user cost index with the opportunity cost.The size of the opportunity cost depends on the actual rate of return of the asset and the highest rate of return that may be obtained by investing in other assets.Incomplete substitution of the same currency assets with different holding institutions.At the same time,the division of the currency level was expanded to the more general M3 and M4,taking into account the currency of bond and bill assets.At the level of empirical research,this article calculates the opportunity cost by finding the maximum risk-free benchmark interest rate of each institutional sector and the stable rate of return of various currency assets,and then constructs the index.Compiled the monthly Divisia narrow money aggregate index DM1 from 2007 to 2019,and the Divisia broad money aggregate index DM2 from the institutional sector and the Divisia broad money aggregate index DM2 ’from the non-institutional sector.Monthly changes from 2014 to 2019.For a wide range of currency aggregates DM3,DM4.Then test the nature of various currency aggregates from three aspects: stability,correlation with important macro variables,and controllability.Through the tests of stability,correlation,and controllability,it is found that the total amount of Divisia currency is better than the simple total amount of money,and the total amount of Divisia money in the sub-sectors is better than the total amount of money in Divisia.In the ten years from2008 to 2018,the contribution rate of cash growth to currency growth in the generalized monetary aggregate was small and showing a downward trend;the contribution rate of non-financial institution growth was the largest,and the annual contribution rate remained basically around 40%.Based on the empirical results,this article proposes that our monetary authorities should adapt to the needs of the transition of economic development stages andestablish a monetary policy objective framework that meets high quality standards.Considering the heterogeneity of monetary assets in different institutional sectors,improving and perfecting the Divisia index compilation method,it will be used as an auxiliary tool for the intermediary goals of monetary policy,and provide a basis for the formulation of China’s monetary policy.