CAJ | 학술논문

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。
침대아국통화팽창수평여불학정성적시변성특정,분별건립료수궤파동균치모형화비대칭수궤파동균치모형,재MCMC은태모의적광가하연구료아국통화팽창수평여불학정성적동태관계。연구결과표명：아국통화팽창불학정성중구유명현적지속성특정,병차통창수평중수연불존재여금융자산개격운동유사적강간효응,단시정향충격증가료경제행위주체대미래불학정성적예기,유차장도치명현적＂시범효응＂화＂추창효응＂;특별시풍험일출계수적패협사고계위정,반영료통창불학정성대통창수평적정향영향작용,설명아국목전적화폐정책광가중함유상궤결택적성분인소。
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.