全球经济政策不确定性对我国通货膨胀的冲击效应研究

Study on the Impact of Global Economic Policy Uncertainty on China's Inflation

文章结合小波分析和含外生变量的VAR模型,分析了全球经济政策不确定性对我国通货膨胀水平影响的时频冲击效应。结果表明,全球经济政策不确定性具有滞后效应。在高频空间,冲击效应一开始为抑制作用,有一定的持续性,数期后方向改变,这个过程在反应期限内不断更迭;随着频率的降低,效应方向的持续性不断减弱,到高尺度时,影响方向呈现隔期正负交替。同时,冲击效应的强度随着频率的降低而不断加强。

Combining wavelet analysis and VAR model with exogenous variables;this paper analyzes the time-frequency impact of global economic policy uncertainty on China's inflation level.The results are shown as follows:Global economic policy uncertainty has a lag effect;in the high frequency space,the impact effect is inhibitory at the beginning and keeps a certain degree of continuity;after several periods,the direction changes,and this process changes continuously during the reaction period.With the descending of frequency,the persistence of the effect direction is weakening,and at high scale,the effect direction alternates between positive and negative at intervals;at the same time;the intensity of impact effect increases with the decrease of frequency.