通貨膨脹及其不確定性非線性檢驗研究
發(fā)布時間：2018-10-23 14:05
【摘要】：本文運用ARFIMA-FIEGARCH模型,對我國1990年以來的通貨膨脹和通脹不確定性的動態(tài)特征進(jìn)行了檢驗,發(fā)現(xiàn)我國通貨膨脹和通脹不確定性序列中都存在著長記憶性,而且通脹不確定性還具有杠桿效應(yīng),Granger因果檢驗的結(jié)果表明通貨膨脹是通脹不確定性的Granger原因。通過使用LSTAR模型度量通脹不確定性對通貨膨脹的非對稱、非線性反應(yīng)程度,結(jié)果表明LSTAR模型的門限值為我國目標(biāo)通脹率的確立提供了經(jīng)驗依據(jù),實施通貨膨脹目標(biāo)制的貨幣政策,對有效地降低我國通貨膨脹及其不確定性具有重要意義。
[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.
【作者單位】： 吉林大學(xué)數(shù)量經(jīng)濟研究中心;山東凱文科技職業(yè)學(xué)院;
【基金】：國家社會科學(xué)基金重大項目,項目編號:10zd&006 國家自然科學(xué)基金項目,項目編號:70971055
【分類號】：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.
【作者單位】： 吉林大學(xué)數(shù)量經(jīng)濟研究中心;山東凱文科技職業(yè)學(xué)院;
【基金】：國家社會科學(xué)基金重大項目,項目編號:10zd&006 國家自然科學(xué)基金項目,項目編號:70971055
【分類號】：F224;F822.5
【參考文獻(xiàn)】
相關(guān)期刊論文 前6條
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5 胡日東;蘇h椒，
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