不确定性、通货膨胀与产出增长

UNCERTAINTY,INFLATION AND OUTPUT GROWTH IN CHINA

基于中国1952—2004年的数据,通过GARCH-M模型和广义脉冲响应函数对不确定性、通货膨胀与产出增长进行实证分析。结果发现:通货膨胀不确定性与产出增长负相关;产出增长不确定性与产出增长负相关;产出增长不确定性与通货膨胀正相关;通货膨胀不确定性与通货膨胀负相关;产出增长冲击和通货膨胀冲击对产出增长不确定性和通货膨胀不确定性的影响存在滞后性和非对称性;产出增长对产出增长冲击的动态响应最大,通货膨胀对产出增长冲击的动态响应以及产出增长对通货膨胀冲击的动态响应最小,通货膨胀对通货膨胀冲击的动态响应居中。

This paper uses GARCH-M model and GIRFs to analyze macroeconomic uncertainty how to affect output growth and inflation based on Chinese data from 1952 to 2004. The paper draws several conclusions： there are negative correlation between inflation uncertainty and output growth, negative correlation between output growth uncertainty and output growth, positive correlation between output growth uncertainty and inflation, negative correlation between inflation uncertainty and inflation. Output growth shock and inflation shock will affect output growth uncertainty and inflation uncertainty with lag and asymmetry. The dynamic response of output growth to output growth shock is the strongest. Both dynamic ： response of inflation to output growth shock and dynamic response of output growth to inflation shock are the weakest.