A STUDY OF INFLATION EXPECTATIONS RESPONSE TO MONETARY POLICY SURPRISE IN CHINA

摘要：

　　This paper mainly analyses inflation expectations response to monetary policy surprise of Chinese central bank and its communication using EGARCH model based on the term structure of interest rates.The results show that monetary policy surprise in China has some impacts on short,medium and long-term inflation expectations, but not continuous impacts, and changes greatly after the financial crisis in 2009, and the effect of central banks routine communication and the speech of the governor on inflation expectation fluctuation is different indifferent macroeconomic situations;the time-varying premium affects inflation expectations response to monetary policy surprise measured by forward rates with different maturities only, short-term spot rate plays more significant role in the conduction of inflation expectation.

关键词： Inflation Expectation Monetary Policy Surprise Macroeconomic Surprise EGARCH Model

作者: Xing Zhang Xiaodong Song

作者单位: School of Economics and Management, Beihang University, Beijing 100191, China

会议类型: 国际会议

会议名称: The 12th International Conference on Industrial Management(第十二届工业管理国际会议)

会议地点: 成都

会议语种:英文

页码: 585-591

在线出版日期: 2014-09-03（万方平台首次上网日期，不代表论文的发表时间）