统计研究 ›› 2011, Vol. 28 ›› Issue (2): 19-26.

• 论文 • 上一篇    下一篇

我国通货膨胀结构突变及不确定性检验

隋建利 刘金全   

  • 出版日期:2011-02-15 发布日期:2011-02-25

Tests for the Structural Breaks and Uncertainty in the Inflation Rate of China

SUI Jian-Li Liu-Jin-Quan   

  • Online:2011-02-15 Published:2011-02-25

摘要: 我们利用GARCH (1, 1) 模型对我国通货膨胀率动态过程中的结构转变点进行了样本内及样本外检验,进而对通货膨胀不确定性进行测度。研究发现,我国通货膨胀率序列在1983年1月至2008年5月之间存在一个显著的结构转变,结构转变点发生在1996年1月,这与我国在1996年成功实现经济“软着陆”的事实相一致。基于两个基准模型和五个比较模型在不同预测水平下对样本外数据进行预测所得结果表明,五个比较模型在大多数情况下能够获得小于两个基准模型的均值损失。此外,我们使用多个模型进行联合预测,发现联合预测的结果具有一定的代表性。

关键词: 通货膨胀率, 结构转变, 通货膨胀不确定性, GARCH (1, 1) 模型

Abstract: We investigate the empirical relevance of structural breaks for GARCH models of inflation rate volatility using both in-sample and out-of-sample tests. We find significant evidence of structural breaks in the unconditional variance of inflation rate series of China from January 1983 to May 2008.The structural break occurred in January 1996,which is matched with the success of our economic “soft landing”. We use two benchmark models and five competing models to forecast the inflation rate series, and the competing models often have a lower mean loss than the two benchmark models. Combining forecasts from different models that accommodate structural breaks in volatility in various ways appears to offer a reliable method for improving volatility forecast.

Key words: Inflation Rate, Structural Breaks, Inflation Uncertainty, GARCH (1, 1)