价格月刊
價格月刊
개격월간
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2012年
7期
80~86
,共null页
通货膨胀 不确定性 杠杆效应 预期管理
通貨膨脹 不確定性 槓桿效應 預期管理
통화팽창 불학정성 강간효응 예기관리
inflation uncertainty leverage effect management of expectations
基于两岸1983年1月～2011年12月的通货膨胀数据,应用EGARCH-M模型分析了大陆和台湾的通货膨胀不确定性,结果发现两岸通货膨胀不确定性均存在杠杆效应,正向冲击大于负向冲击,台湾更易受到外来冲击的影响,台湾通货膨胀及其不确定性关系符合Holland假说。格兰杰因果关系检验得出两岸通货膨胀与通货膨胀不确定性关系均符合Friedman-Ball假说,两岸通货膨胀之间、通货膨胀不确定性之间存在相互影响关系。
基于兩岸1983年1月～2011年12月的通貨膨脹數據,應用EGARCH-M模型分析瞭大陸和檯灣的通貨膨脹不確定性,結果髮現兩岸通貨膨脹不確定性均存在槓桿效應,正嚮遲擊大于負嚮遲擊,檯灣更易受到外來遲擊的影響,檯灣通貨膨脹及其不確定性關繫符閤Holland假說。格蘭傑因果關繫檢驗得齣兩岸通貨膨脹與通貨膨脹不確定性關繫均符閤Friedman-Ball假說,兩岸通貨膨脹之間、通貨膨脹不確定性之間存在相互影響關繫。
기우량안1983년1월～2011년12월적통화팽창수거,응용EGARCH-M모형분석료대륙화태만적통화팽창불학정성,결과발현량안통화팽창불학정성균존재강간효응,정향충격대우부향충격,태만경역수도외래충격적영향,태만통화팽창급기불학정성관계부합Holland가설。격란걸인과관계검험득출량안통화팽창여통화팽창불학정성관계균부합Friedman-Ball가설,량안통화팽창지간、통화팽창불학정성지간존재상호영향관계。
On the basis of mainland and Taiwan＇s s monthly inflation data from Jan 1983 to Dec 2011, this paper uses EGAR.CH-M model to estimate inflation uncertainty of mainland and Taiwan. Results show that there is a leverage effect in inflation uncertainty, and that impact of positive shock is bigger than negative shock, that inflation uncertainty of Taiwan rather than Mainland tends to be influenced by some exterior shocks, and that the relationship between inflation and inflation uncertainty in Taiwan supports Holland hypothesis. Granger causality tests show that inflation and inflation uncertainty in Cross- Strait areas both supports Friedman-Ball hypothesis. There is significant mutual effect of inflation and inflation uncertainty between Mainland and Taiwan.
