劉金全;隋建利;

• 1:吉林大學商學院暨數量經濟研究中心
• 2:吉林大學商學院

摘要(Abstract)：

運用ARFIMA-FIGARCH模型對我國1983年1月至2008年5月期間通貨膨脹率的動態過程進行了檢驗,我們發現我國通貨膨脹率水平的一階矩和二階矩都存在顯著的長記憶性,由此表明通貨膨脹率水平和通貨膨脹不確定性表現出雙長期記憶性行為;通過構造VAR模型檢驗通貨膨脹率與通貨膨脹不確定性之間的Granger影響關系時,結果表明通貨膨脹率水平對通貨膨脹不確定性存在顯著的Granger影響關系。因此在制定貨幣政策時,應充分考慮通貨膨脹率和通貨膨脹不確定性的長期記憶性行為和它們之間的單向影響關系。

關鍵詞(KeyWords)： 通貨膨脹率;通貨膨脹不確定性;ARFIMA-FIGARCH模型;VAR模型

Abstract:

Keywords:

基金項目(Foundation): 吉林大學“985工程”和“211工程”項目;; 國家自然科學基金項目(70971055);; 教育部人文社會科學重點研究基地重大項目(08JJD790133);; 教育部人文社會科學研究應急項目(2009JYJR014);; 吉林大學“985工程”研究生創新基金重點項目(20081101)

作者(Author): 劉金全;隋建利;

Email:

DOI: 10.15939/j.jujsse.2010.01.021

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