货币增长不确定性与通货膨胀不确定性——“波动溢出”假说与实证检验
发布时间：2018-09-13 10:20
【摘要】：文章基于通货膨胀——通货膨胀不确定性关系的理论研究,提出货币增长不确定性向通货膨胀不确定性"波动溢出"的计量检验假说,并利用中国数据,运用多元GARCH模型进行实证检验。结果发现,存在货币增长不确定性显著向通货膨胀不确定性"波动溢出"的效应。这意味着,货币增长不确定性具有提供有关预测通货膨胀不确定性信息的能力。同时也表明,货币增长不确定性是通货膨胀不确定性的重要解释变量,其重要性不应被忽视。实证结论的政策含义是:减少货币增长不确定性是降低通货膨胀不确定性的重要途径,我国20世纪90年代中后期稳健的货币政策所带来的通货膨胀不确定性显著降低的现实支持了这个观点。
[Abstract]:Based on the theoretical study of the relationship between inflation and inflation uncertainty, this paper puts forward an econometric test hypothesis of "volatility spillover" from the uncertainty of monetary growth to the uncertainty of inflation, and makes use of Chinese data. Using multiple GARCH model to carry out empirical test. The results show that there is a "volatility spillover" effect from the uncertainty of currency growth to the uncertainty of inflation. This means that currency growth uncertainty has the ability to provide information about inflation uncertainty. It also shows that the uncertainty of monetary growth is an important explanatory variable of inflation uncertainty, and its importance should not be ignored. The policy implication of the empirical conclusion is that reducing the uncertainty of monetary growth is an important way to reduce the uncertainty of inflation. This view is supported by the fact that inflation uncertainty has decreased significantly due to the steady monetary policy in the mid and late 1990s of our country.
【作者单位】： 华侨大学数量经济研究院;
【基金】：国家社会科学基金项目(08BJL019) 国家软科学研究计划(2008GXS5D130) 华侨大学科研启动基金(09BS502)
【分类号】：F821.0
[Abstract]:Based on the theoretical study of the relationship between inflation and inflation uncertainty, this paper puts forward an econometric test hypothesis of "volatility spillover" from the uncertainty of monetary growth to the uncertainty of inflation, and makes use of Chinese data. Using multiple GARCH model to carry out empirical test. The results show that there is a "volatility spillover" effect from the uncertainty of currency growth to the uncertainty of inflation. This means that currency growth uncertainty has the ability to provide information about inflation uncertainty. It also shows that the uncertainty of monetary growth is an important explanatory variable of inflation uncertainty, and its importance should not be ignored. The policy implication of the empirical conclusion is that reducing the uncertainty of monetary growth is an important way to reduce the uncertainty of inflation. This view is supported by the fact that inflation uncertainty has decreased significantly due to the steady monetary policy in the mid and late 1990s of our country.
【作者单位】： 华侨大学数量经济研究院;
【基金】：国家社会科学基金项目(08BJL019) 国家软科学研究计划(2008GXS5D130) 华侨大学科研启动基金(09BS502)
【分类号】：F821.0
【相似文献】
相关期刊论文 前10条
1 隋建利;刘金全;;中美两国货币增长不确定性与经济周期联动机制的差异性分析[J];国际金融研究;2011年07期
2 ;[J];;年期
3 ;[J];;年期
4 ;[J];;年期
5 ;[J];;年期
6 ;[J];;年期
7 ;[J];;年期
8 ;[J];;年期
9 ;[J];;年期
10 ;[J];;年期
相关会议论文 前1条
1 苏h椒，
本文编号：2240898
本文链接：https://www.wllwen.com/guanlilunwen/huobilw/2240898.html
