中国通货膨胀的波动性与杠杆效应研究——基于条件异方差模型的实证分析  

Volatility and Leverage Effect of China's Inflation:An Empirical Analysis by Conditional Heteroscedastic Model

作　　者：王祥兵[1] 严广乐[1] 杨卫忠[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《财经理论与实践》2012年第2期8-13,共6页The Theory and Practice of Finance and Economics

基　　金：上海市重点学科建设资助项目(S30504);上海市研究生教育创新计划资助(JWCXSL1021;JWCXSL1001)

摘　　要：利用条件异方差模型对我国居民消费价格指数建模,并基于此展开对中国通货膨胀的一般特征进行分析、研究。实证结果表明,我国的通货膨胀具有强惯性、波动集群性、杠杆效应等特征。依据我国通货膨胀的动态特征和机制来制定相应的货币政策将有助于缩短货币政策的时滞和合理疏导微观主体的通胀预期,也有利于正确地引导和稳定市场经济,并最终能提高货币政策的有效性。所以,我国通货膨胀治理过程中必须充分考虑我国通货膨胀特征的影响,及时采取措施消除那些与市场制度逻辑不一致的政策传导因素以及对政策信号不能作出理性反应的市场因素。Model of the consumer price index of our country is established by using the conditional heteroscedastic model and based on the model general characteristics of China＇s inflation is carefully analysised and researched. The empirical analysis show that , China＇s inflation has the characteristics of strong inertia,volatility and leverage with economy globalization and the speedup of reform. Monetary policy based on dynamic characteristics of our country inflation help the avoidance of the delay and guidance of micro-entities inflation expectations. The market economy is correctly guided and stabilized by means of the monetary policy and final effectiveness of the monetary policy is improved. In the management of inflation,the policies which fail to reflect the market demands and the raarket factors which fail to correctly respond to policies should be controlled.

关 键 词：通胀惯性 通货膨胀的波动性 杠杆效应 CPI 

分 类 号：F830[经济管理—金融学]