Structural Break and Long Memory in China Inflation Dynamic
Long memory reflects the continuing impact of random perturb on its future values by depicting the dependence of observations far apart.Long memory in the dynamic of inflation decides monetary policy effect directly.Whether there is structural break in long memory is important to the design and implementation of monetary policy.This paper characterizes statistical nature of long memory in the dynamic of China inflation, Shimotsus Wald statistics and Bai & Perrrons multiple structural break analysis are used to investigate the intrinsic structural instability of inflation long memory.Empirical results suggest that long memory in inflation dynamic is notable before 1996, after it declines significantly.This paper discusses the implications of the finding to relevant monetary policy analysis based on the impulse response function.
Inflation dynamic Long memory Structural break Monetary policy
Zhou Ping Wang Liming
School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, P.R.Chi Zhejiang College, Shanghai University of Finance and Economics, Zhejiang, P.R.China 321000
国际会议
The 5th Conference on Chinas Economic Operation Risk Management(2011`Shanghai)(第五届中国立信风险管理论坛)
上海
英文
380-390
2011-11-04（万方平台首次上网日期，不代表论文的发表时间）