基于贝叶斯SV模型的通货膨胀水平与不确定性关系研究
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引用本文:朱慧明,郝立亚,管皓云,曾昭法.基于贝叶斯SV模型的通货膨胀水平与不确定性关系研究[J].财经理论与实践,2011,(2):13-19
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作者单位
朱慧明,郝立亚,管皓云,曾昭法 (1.湖南大学 工商管理学院湖南 长沙4100822.湖南大学 金融与统计学院湖南 长沙410079) 
中文摘要: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。
中文关键词:通货膨胀水平  不确定性  随机波动模型  MCMC模拟  贝叶斯方法
 
Dynamic Relationship between Inflation Rate and Uncertainty in China:Based on the Bayesian Stochastic Volatility Models
Abstract: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.
keywords:Inflation Rate  Uncertainty  Stochastic Volatility Model  MCMC Simulation  Bayesian Approach
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