Dynamic Mechanism of Inflation Persistence in China

摘要：

In this paper, VCAR(p) model is proposed, which is a general AR (p) model with its lag coefficient subject to the random walk model. By VCAR(3) model, CPI and RPI of China from lst 1994 to 11th 2007 are empirical analysis. Empirical results show that Inflation persistence in China has dynamic time-varying characteristics, and the inflation series may be a long memory process.Additionally, Comparing trend figure of inflation and its persistence in China, we find that their trend is very similar, and certain intrinsic mechanism may exist between inflation and its persistence in China.

关键词： VCAR model Dynamitic mechanism Inflation Pensistence random walk

作者: CAO Guangxi YUE Xiangping

作者单位: School of Economic and Management,China Institute for Manufacture Developing Nanjing University of I School of Economic and Management,Nanjing Southeast University,P.R.China,210096

会议类型: 国际会议

会议名称: The 5th International Annual Conference on WTO and Financial Engineering(第五届WTO与金融工程国际会议)

会议地点: 杭州

会议语种:英文

页码: 964-969

在线出版日期: 2008-05-18（万方平台首次上网日期，不代表论文的发表时间）