【摘要】 基于ARFIMA-HYGARCH-t模型对1985年1月至2015年12月间中国月度通货膨胀的均值过程和波动过程进行统计检验,发现通货膨胀水平及其不确定性表现出"双长记忆"行为。在此行为下,利用VAR模型、ARFIMA-HYGARCH-M-t模型及ARFIMA-GJR-t模型检验通货膨胀水平与其不确定性之间的影响关系、影响方向与影响程度,结论支持Friedman-Ball假说;通货膨胀水平正向冲击引发的不确定性程度强于负向冲击引发的不确定性程度。经济政策操作时既要考虑维持通货膨胀的稳定性,也要考虑政策期限结构的长期性。更多还原

【Abstract】 The average process and the fluctuation process of monthly inflation rate from January 1985 to December 2015 in China is examined using the ARFIMA-HYGARCH-t model,and the " dual long memory" behavior of inflation level and its uncertainty is found.In this behavior,the influence relationship,influence direction and influence degree between inflation level and its uncertainty are examined,respectively,by the VAR model,the ARFIMA-HYGARCH-M-t model and the ARFIMA-GJRt model.The result supports the Friedman-Ball hypothesis.It is also found that the uncertainty degree of the positive impact of inflation level is stronger than that of negative impact.Economic policy operation should not only take into account the stability of inflation,but also consider the long-term nature of the policy term structure.更多还原