中国通货膨胀、通货膨胀波动与产出增长:基于MGARCH模型分析

被引:5
作者
周宏山 [1 ]
吴诣民 [2 ]
机构
[1] 暨南大学珠海学院
[2] 西安交通大学经济与金融学院
关键词
通货膨胀; 产出增长; 波动; MGARCH模型;
D O I
暂无
中图分类号
F822.5 [通货膨胀]; F224 [经济数学方法];
学科分类号
0701 ; 070104 ;
摘要
通货膨胀、通货膨胀波动和产出增长及其波动之间存在复杂的影响关系。基于一种多元自回归条件异方差模型(MGARCH模型),采用中国1993-2003年的月度通货膨胀率和产出增长数据检验通货膨胀、通货膨胀波动和产出增长及其波动的关系。结论表明:高通货膨胀水平引起高的通货膨胀波动,而高通货膨胀率和通货膨胀波动导致低的产出增长和产出增长波动,结论的政策含义是价格稳定的货币政策有利于经济健康发展。
引用
收藏
页码:53 / 58
页数:6
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