中国通货膨胀、通货膨胀波动与产出增长:基于MGARCH模型分析  

Inflation,Inflation Volatility VS Output Growth of China: Evidence from Multivariate GARCH Model

作　　者：周宏山[1] 吴诣民[2] 

机构地区：[1]暨南大学珠海学院,广东珠海519070 [2]西安交通大学经济与金融学院,陕西西安710061

出　　处：《统计与信息论坛》2008年第12期53-58,共6页Journal of Statistics and Information

摘　　要：通货膨胀、通货膨胀波动和产出增长及其波动之间存在复杂的影响关系。基于一种多元自回归条件异方差模型(MGARCH模型),采用中国1993-2003年的月度通货膨胀率和产出增长数据检验通货膨胀、通货膨胀波动和产出增长及其波动的关系。结论表明:高通货膨胀水平引起高的通货膨胀波动,而高通货膨胀率和通货膨胀波动导致低的产出增长和产出增长波动,结论的政策含义是价格稳定的货币政策有利于经济健康发展。There exist a complicated relationship among inflation, inflation volatility and output growth and volatility. The paper use the monthly inflation and output data from China, 1993- 2003, adopting the MGARCH model to test the relationship between inflation, inflation volatility and output growth and volatility. The result indicate that the high inflation leads to more inflation uncertainty, also, high inflation and inflation volatility lead to lower output growth and volatility, the policy implication the price stability objective for the monetary authority.

关 键 词：通货膨胀 产出增长 波动 MGARCH模型 

分 类 号：F822.5[经济管理—财政学]