通货膨胀及其不确定性非线性检验研究
发布时间：2018-10-23 14:05
【摘要】：本文运用ARFIMA-FIEGARCH模型,对我国1990年以来的通货膨胀和通胀不确定性的动态特征进行了检验,发现我国通货膨胀和通胀不确定性序列中都存在着长记忆性,而且通胀不确定性还具有杠杆效应,Granger因果检验的结果表明通货膨胀是通胀不确定性的Granger原因。通过使用LSTAR模型度量通胀不确定性对通货膨胀的非对称、非线性反应程度,结果表明LSTAR模型的门限值为我国目标通胀率的确立提供了经验依据,实施通货膨胀目标制的货币政策,对有效地降低我国通货膨胀及其不确定性具有重要意义。
[Abstract]:In this paper, we use ARFIMA-FIEGARCH model to test inflation and the dynamic characteristics of inflation uncertainty in China since 1990. It is found that there is a long memory in inflation and inflation uncertainty series in China. And inflation uncertainty also has leverage effect, Granger causality test results show that inflation is the Granger cause of inflation uncertainty. By using LSTAR model to measure the degree of asymmetric and nonlinear response of inflation uncertainty to inflation, the results show that the threshold value of LSTAR model provides an empirical basis for the establishment of target inflation rate in China. The monetary policy of inflation targeting system is of great significance to effectively reduce inflation and its uncertainty in China.
【作者单位】： 吉林大学数量经济研究中心;山东凯文科技职业学院;
【基金】：国家社会科学基金重大项目,项目编号:10zd&006 国家自然科学基金项目,项目编号:70971055
【分类号】：F224;F822.5
[Abstract]:In this paper, we use ARFIMA-FIEGARCH model to test inflation and the dynamic characteristics of inflation uncertainty in China since 1990. It is found that there is a long memory in inflation and inflation uncertainty series in China. And inflation uncertainty also has leverage effect, Granger causality test results show that inflation is the Granger cause of inflation uncertainty. By using LSTAR model to measure the degree of asymmetric and nonlinear response of inflation uncertainty to inflation, the results show that the threshold value of LSTAR model provides an empirical basis for the establishment of target inflation rate in China. The monetary policy of inflation targeting system is of great significance to effectively reduce inflation and its uncertainty in China.
【作者单位】： 吉林大学数量经济研究中心;山东凯文科技职业学院;
【基金】：国家社会科学基金重大项目,项目编号:10zd&006 国家自然科学基金项目,项目编号:70971055
【分类号】：F224;F822.5
【参考文献】
相关期刊论文 前6条
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