货币增长不确定性与通货膨胀不确定性——“波动溢出”假说与实证检验
财经研究 2010 年 第 36 卷第 04 期, 页码:125 - 134
摘要
参考文献
摘要
文章基于通货膨胀——通货膨胀不确定性关系的理论研究,提出货币增长不确定性向通货膨胀不确定性"波动溢出"的计量检验假说,并利用中国数据,运用多元GARCH模型进行实证检验。结果发现,存在货币增长不确定性显著向通货膨胀不确定性"波动溢出"的效应。这意味着,货币增长不确定性具有提供有关预测通货膨胀不确定性信息的能力。同时也表明,货币增长不确定性是通货膨胀不确定性的重要解释变量,其重要性不应被忽视。实证结论的政策含义是:减少货币增长不确定性是降低通货膨胀不确定性的重要途径,我国20世纪90年代中后期稳健的货币政策所带来的通货膨胀不确定性显著降低的现实支持了这个观点。
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[2]贾俊雪.中国货币增长的不确定性及其对宏观经济的影响[J].中国软科学,2006,(11):22-30.
[3]徐亚平.货币政策有效性与货币政策透明制度的兴起[J].经济研究,2006,(8):26-36.
[4]赵留彦,王一鸣.A、B股之间的信息流动与波动溢出[J].金融研究,2003,(10):41-56.
[5]Ball L.Why does high inflation raise inflation uncertainty?[R].Working PaperNo.3224,1990,National Bureau of Economic Research.
[6]Dennis,Powers.Stochastic money demand and the inflation-uncertainty relationship[J].The Manchester School Supplement,1997,(25):59-68.
[7]Holland S.Uncertain effects of money and the link between the inflation rate and infla-tion uncertainty[J].Economic Inquiry,1993,(1):39-51.
[8]Ki m,Chang-Jin,et al.Sources of monetary growth uncertainty and economic activity:The ti me-varying-parameter model with heteroskedastic disturbances[J].The Reviewof Economics and Statistics,1993,(3):483-492.
[9]Sylvester C W Eijffinger.Why money talks and wealth whispers:Monetary uncertaintyand mystique[J].Journal of Money,Credit,and Banking,2000,(2):218-235.
引用本文
苏梽芳, 胡日东. 货币增长不确定性与通货膨胀不确定性——“波动溢出”假说与实证检验[J]. 财经研究, 2010, 36(4): 125–134.
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