文章基本信息

标题：Linking Money Supply With The Gross Domestic Product In Romania
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作者：Daniela Zapodeanu ; University of Oradea Mihail Ioan Cociuba ; University of Oradea 等
期刊名称：Annales Universitatis Apulensis : Series Oeconomica
印刷版ISSN：1454-9409
出版年度：2010
卷号：1
期号：12
出版社：“1 Decembrie 1918” University of Alba Iulia
摘要：Evolution of money supply and gross domestic product are in a close relationship, in this paper we analysis this relationship in order to construct a function which will explicit this connection for Romania. Evolution of gross domestic product is one with a seasonal component so from the data series we will be eliminating seasonality with the X-12 ARIMA method. Analyzing the data of money supply (M3) and of GDP over ten years through the Augmented Dickey-Fuller we obtained that both series are non-stationary. Applying the co-integration analysis method Engle- Granger we conclude that the two series have a cointegration relationship between them. We will propose a model explanation of the link between the two sets of data type, a DVAR model.
关键词：money supply (M3); GDP; seasonality; stationarity; cointegration; DVAR.