【摘要】：本文運(yùn)用ARFIMA-FIEGARCH模型,對(duì)我國(guó)1990年以來(lái)的通貨膨脹和通脹不確定性的動(dòng)態(tài)特征進(jìn)行了檢驗(yàn),發(fā)現(xiàn)我國(guó)通貨膨脹和通脹不確定性序列中都存在著長(zhǎng)記憶性,而且通脹不確定性還具有杠桿效應(yīng),Granger因果檢驗(yàn)的結(jié)果表明通貨膨脹是通脹不確定性的Granger原因。通過(guò)使用LSTAR模型度量通脹不確定性對(duì)通貨膨脹的非對(duì)稱、非線性反應(yīng)程度,結(jié)果表明LSTAR模型的門(mén)限值為我國(guó)目標(biāo)通脹率的確立提供了經(jīng)驗(yàn)依據(jù),實(shí)施通貨膨脹目標(biāo)制的貨幣政策,對(duì)有效地降低我國(guó)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(jì)研究中心;山東凱文科技職業(yè)學(xué)院;
【基金】：國(guó)家社會(huì)科學(xué)基金重大項(xiàng)目,項(xiàng)目編號(hào):10zd&006 國(guó)家自然科學(xué)基金項(xiàng)目,項(xiàng)目編號(hào):70971055
【分類號(hào)】：F224;F822.5

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本文編號(hào)：2289471