| 我国通货膨胀率均值过程和波动过程中的双长记忆性度量与统计检验 |
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| 引用本文： | 刘金全,郑挺国,隋建利.我国通货膨胀率均值过程和波动过程中的双长记忆性度量与统计检验[J].Frontiers of Economics in China,2008,3(2):240-254. |
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| 作者姓名： | 刘金全 郑挺国 隋建利 |
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| 作者单位： | Quantitative Research Center of Economics,Jilin University,Changchun 130021,China |
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| 摘 要： |
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| 关 键 词： | 长记忆性 通货膨胀率 通货膨胀不确定性 |
Dual long memory of inflation and test of the relationship between inflation and inflation uncertainty |
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| Jinquan Liu,Tingguo Zheng,Jianli Sui.Dual long memory of inflation and test of the relationship between inflation and inflation uncertainty[J].Frontiers of Economics in China,2008,3(2):240-254. |
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| Authors: | Jinquan Liu Tingguo Zheng Jianli Sui |
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| Institution: | (1) Quantitative Research Center of Economics, Jilin University, Changchun, 130021, China |
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| Abstract: | This paper uses the ARFIMA-FIGARCH model to investigate the China’s monthly inflation rate from January 1983 to October 2005.
It is found that both first moment and second moment of inflation have remarkable long memory, indicating the existence of
long memory properties in both inflation level and inflation uncertainty. By the Granger-causality test on inflation rate
and inflation uncertainty, it is shown that the inflation level affects the inflation uncertainty and so supports Friedman
hypothesis. Therefore, as for policy maker, they should roundly concerns on long memory properties of inflation and inflation
uncertainty, and their single-direction relationship between them.
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Translated from Guanli shijie 管理世界 (Management World), 2007, (7): 14–21 |
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| Keywords: | long memory inflation rate inflation uncertainty ARFIMA-FIGARCH |
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