中国通货膨胀与产出缺口变异性替代关系的研究——基于双变量GARCH模型的分析

The Inflation and Output Gap Variability Tradeoff in China:Evidence from a GARCH Model

论文应用双变量GARCH模型分析了中国1995-2008年通货膨胀和产出缺口变异性的替代关系。研究结果表明,研究样本期间,中国通货膨胀和产出缺口的变异性之间存在显著的替代关系,并且这种替代关系是双向的。尤为值得关注的是,通货膨胀和产出缺口变异性之间的替代关系的大小是非对称的。

The paper empirically investigates the possibility of a tradeoff between the variability of inflation and output gap in China over the period 1995 - 2008 in light of a bivariate GARCH model. A tradeoff between the conditional variance of output and inflation is apparent in the period, and the slope of such tradeoff appears to be considerably steep.