The Long Memory of Chinas Price Fluctuation
Chinas price fluctuation affects peoples life and production. People are all concerned about how the price level changes in the future. The long memory of price fluctuation is research about the problem what rules are there in the last price fluctuation. Base on others relative research, we generally point out memory characteristics of long trends, seasonal trends, cyclical trends and volatility clustering in price fluctuation in this paper. The objects of our research are three indices of general consumer price, ex-factory price of industrial products and purchasing price of raw materials. We have obtained main contents what price memorizes in its fluctuation. The results are useful to forecast how Chinas price changes in the future and how to reinforce macro management on Chinas price level.
long memory hurst index CPI
HUANG Shoukun CAO Qingqiang
Statistics & Mathematics College, Shandong University of Finance, P.R.China, 250014
国际会议
威海
英文
654-660
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）