【摘要】：文章基于通貨膨脹——通貨膨脹不確定性關(guān)系的理論研究,提出貨幣增長不確定性向通貨膨脹不確定性"波動(dòng)溢出"的計(jì)量檢驗(yàn)假說,并利用中國數(shù)據(jù),運(yùn)用多元GARCH模型進(jìn)行實(shí)證檢驗(yàn)。結(jié)果發(fā)現(xiàn),存在貨幣增長不確定性顯著向通貨膨脹不確定性"波動(dòng)溢出"的效應(yīng)。這意味著,貨幣增長不確定性具有提供有關(guān)預(yù)測通貨膨脹不確定性信息的能力。同時(shí)也表明,貨幣增長不確定性是通貨膨脹不確定性的重要解釋變量,其重要性不應(yīng)被忽視。實(shí)證結(jié)論的政策含義是:減少貨幣增長不確定性是降低通貨膨脹不確定性的重要途徑,我國20世紀(jì)90年代中后期穩(wěn)健的貨幣政策所帶來的通貨膨脹不確定性顯著降低的現(xiàn)實(shí)支持了這個(gè)觀點(diǎn)。
[Abstract]:Based on the theoretical study of the relationship between inflation and inflation uncertainty, this paper puts forward an econometric test hypothesis of "volatility spillover" from the uncertainty of monetary growth to the uncertainty of inflation, and makes use of Chinese data. Using multiple GARCH model to carry out empirical test. The results show that there is a "volatility spillover" effect from the uncertainty of currency growth to the uncertainty of inflation. This means that currency growth uncertainty has the ability to provide information about inflation uncertainty. It also shows that the uncertainty of monetary growth is an important explanatory variable of inflation uncertainty, and its importance should not be ignored. The policy implication of the empirical conclusion is that reducing the uncertainty of monetary growth is an important way to reduce the uncertainty of inflation. This view is supported by the fact that inflation uncertainty has decreased significantly due to the steady monetary policy in the mid and late 1990s of our country.
【作者單位】： 華僑大學(xué)數(shù)量經(jīng)濟(jì)研究院;
【基金】：國家社會(huì)科學(xué)基金項(xiàng)目(08BJL019) 國家軟科學(xué)研究計(jì)劃(2008GXS5D130) 華僑大學(xué)科研啟動(dòng)基金(09BS502)
【分類號】：F821.0

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