Title :
The Relationship between Inflation and its Uncertainty in China´s Economy
Author_Institution :
Sch. of Manage., Changchun Inst. of Technol., Changchun, China
Abstract :
This study examines the relationship between inflation and inflation uncertainty in China. We estimate a model with a GARCH specification for the conditional volatility of inflation in order to distinguish between structural and impulse uncertainty. Our analysis suggests that the monetary authorities may be able to eliminate much of the costs associated with high inflation by following well-understood policy rules.
Keywords :
autoregressive moving average processes; inflation (monetary); uncertainty handling; China economy; GARCH specification; conditional volatility; impulse uncertainty; inflation uncertainty; monetary authority; policy rules; structural uncertainty; Business; Economic indicators; Electric shock; Kalman filters; Measurement uncertainty; Uncertainty; heteroscedasticity; kalman filter; structural uncertainty; time-varying parameter;
Conference_Titel :
Business Computing and Global Informatization (BCGIN), 2012 Second International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4673-4469-2
DOI :
10.1109/BCGIN.2012.70
