中国产出缺口与通货膨胀的动态关系

On the Dynamic Relation between China's Output Gap and Inflation

论文应用GARCH模型逐个分析了中国1995-2010年产出缺口和通货膨胀波动性和不对称性,再利用VAR模型验证两者之间存在的动态关系。研究结果表明:研究样本期间,中国产出缺口与通货膨胀自身波动性有持续性,产出缺口存在"风险奖励",通货膨胀对产出缺口存在"溢出效应",并且波动具有不对称性,产出缺口对通货膨胀的影响滞后期为一年。

The paper analyzes the volatility and asymmetric of output gap and inflation in China from 1995 to 2010 with GARCH model. And the dynamic relationship between them is proved by VAR model. The result of the study shows that, during the sample period, China＇s output gap and inflation volatility are of persistence; ＂risk reward＂ exists in the output gap; inflation results in ＂spillover effect＂ on output gap and the variability is asymmetry; impact on infla- tion caused by output gap will lag behind one year.