我国通货膨胀与通货膨胀不确定性的非线性特征:1990—2012  

The Nonlinear Characteristics of China's Inflation and Inflation Uncertainty:1990—2012

作　　者：汪卢俊[1] 谢姗[1] 宗振利[1] 

机构地区：[1]南开大学经济学院,天津300071

出　　处：《中央财经大学学报》2014年第7期83-90,共8页Journal of Central University of Finance & Economics

基　　金：国家社会科学基金项目"经济序列季节调整的理论与应用研究"(项目号:10BTJ010);国家自然科学基金项目"稳健季节调整的信号提取理论与应用研究"(项目号:71101075);教育部人文社会科学基金项目"时间序列非平稳检验理论与应用研究"(项目号:09YJA790111)

摘　　要：笔者运用我国1990年1月至2012年12月CPI的月度环比数据,基于两区制LSTAR-TGARCH(1,1)模型同时考察了通货膨胀以及通货膨胀不确定性的非线性变化特征,并借助Granger因果检验分析了通货膨胀与通货膨胀不确定性的关系。研究结果表明,样本期内,我国通货膨胀呈现显著的非线性平滑转移特征,而通货膨胀不确定性则具备明显的门槛GARCH效应。同时,通货膨胀对通货膨胀不确定性存在单向的影响关系,表明央行可以通过控制通货膨胀间接控制通货膨胀不确定性。This paper uses the CPI monthly data between January 1990 and December 2012 in China, based on the two LSTAR - TGARCH （ 1, 1 ） model and researches the nonlinear characteristics of China＇s inflation and inflation uncertainty, then, with the analysis of Granger causality test, we studies the relation of the inflation and inflation uncertainty. The research results show that in the sample period, China＇s inflation has significant nonlinear smooth transfer characteristics, while inflation uncertainty has obvious Threshold GARCH effect. At the same time, inflation can unidirectionally influence inflation uncertainty, suggesting that the central bank can indirectly control inflation uncertainty by controlling the rate of inflation.

关 键 词：通货膨胀 通货膨胀不确定性 LSTAR—TGARCH模型 

分 类 号：F822.5[经济管理—财政学]