中国通货膨胀波动性特征的研究——基于GARCH模型和SV模型的比较分析  

Empirical Study on Characteristics of China's Inflation Volatility:Comparative Analysis based on GARCH Model and SV Model

作　　者：杨小军[1] 成园园 

机构地区：[1]南京邮电大学经济学院,江苏南京210023 [2]南京邮电大学管理学院,江苏南京210023

出　　处：《价格月刊》2015年第7期1-5,共5页

基　　金：国家社会科学基金青年项目(编号:11CJL020);南京邮电大学人才引进项目(编号:NYS211022);教育部人文社科基金青年项目(编号:12YJC790198)

摘　　要：研究通货膨胀的波动性特征,对于货币当局治理通货膨胀以及公众形成合理预期具有重要现实意义。因此,运用AR(4)-GARCH(1,1)模型族与SV模型族,对我国通货膨胀的波动性特征进行分析。检验结果表明,我国通货膨胀的波动具有聚集性、持久性、非对称性以及"溢出效应"等特征。为此,货币当局应当贯彻执行稳健的货币政策,并通过提高政策的透明度,使公众形成合理预期,以更有效地实现稳定物价的政策目标。Study on the volatility of inflation has very important practical significance to inflation governance by the mone- tary authorities and formation of reasonable expectation by the public. Then, the article uses AR（4） -GARCH（1,1） models and SV models to analyze the volatility of inflation in China. The empirical results show that, China＇s inflation volatility has the characteristics of clustering, durability, asymmetry and the ＂spiUover effect＂. As a result, in order to achieve policy objective of price stability more effectively, monetary authorities should implement a sound monetary policy and increase the transparency of policy to enable the public to form reasonable expectations.

关 键 词：通货膨胀 波动 GARCH模型 SV模型 

分 类 号：F820.5[经济管理—财政学]