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基于贝叶斯SV模型的通货膨胀水平与不确定性关系研究 被引量：3

Dynamic Relationship between Inflation Rate and Uncertainty in China:Based on the Bayesian Stochastic Volatility Models
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摘要 针对我国通货膨胀水平与不确定性的时变性特征,分别建立了随机波动均值模型和非对称随机波动均值模型,在MCMC稳态模拟的框架下研究了我国通货膨胀水平与不确定性的动态关系。研究结果表明:我国通货膨胀不确定性中具有明显的持续性特征,并且通胀水平中虽然不存在与金融资产价格运动类似的杠杆效应,但是正向冲击增加了经济行为主体对未来不确定性的预期,由此将导致明显的"示范效应"和"追涨效应";特别是风险溢出系数的贝叶斯估计为正,反映了通胀不确定性对通胀水平的正向影响作用,说明我国目前的货币政策框架中含有相机抉择的成分因素。 To investigate the dynamic relationship of the inflation and inflation uncertainty in China,the SV-M model and the ASV-M model have been established,and The MCMC method has been utilized too.The results show that the inflation is uncertain but it will last for a certain period.And it,although without lever effect,has increased people＇s uncertainty expectation to the future,which lead to ＂demonstration effect＂ and ＂following the herd effect＂;especially when the Bayesian estimation of the risk premium coefficient is greater than 0,uncertainty is positively related to inflation rate,which shows the discretionary elements in the framework of our monetary policies.
作者 朱慧明 郝立亚 管皓云 曾昭法
机构地区 湖南大学工商管理学院 湖南大学金融与统计学院
出处 《财经理论与实践》 CSSCI 北大核心 2011年第2期13-19,共7页 The Theory and Practice of Finance and Economics
基金 国家自然科学基金项目重点项目(71031004) 国家自然科学基金项目(NSFC70771038) 教育部留学回国人员科研启动基金项目(教外司留[2010]609) 教育部长江学者与创新团队发展计划项目(IRT0916) 湖南省自然科学基金创新群体资助项目(09JJ02)
关键词 通货膨胀水平 不确定性 随机波动模型 MCMC模拟 贝叶斯方法 Inflation Rate Uncertainty Stochastic Volatility Model MCMC Simulation Bayesian Approach
分类号 F222.3 [经济管理—国民经济] F830.9 [经济管理—金融学]
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参考文献21

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共引文献65

同被引文献41

  • 1王彬,李成,马文涛.国际石油价格与通货膨胀的溢出效应及动态相关性[J].财经研究,2010,36(4):25-35. 被引量：27
  • 2来锡福.枣树栽培中地面覆盖与生长关系初探[J].甘肃林业科技,1996,21(4):32-34. 被引量：2
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引证文献3

二级引证文献34

财经理论与实践
2011年 第2期

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