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Frontiers of Economics in China

ISSN 1673-3444

ISSN 1673-3568(Online)

CN 11-5744/F

Postal Subscription Code 80-978

Front. Econ. China    2008, Vol. 3 Issue (2) : 240-254    https://doi.org/10.1007/s11459-008-0011-y
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Dual long memory of inflation and test of the relationship between inflation and inflation uncertainty
LIU Jinquan , ZHENG Tingguo , SUI Jianli
Quantitative Research Center of Economics, Jilin University, Changchun 130021, China
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Abstract This paper uses the ARFIMA-FIGARCH model to investigate the China’s monthly inflation rate from January 1983 to October 2005. It is found that both first moment and second moment of inflation have remarkable long memory, indicating the existence of long memory properties in both inflation level and inflation uncertainty. By the Granger-causality test on inflation rate and inflation uncertainty, it is shown that the inflation level affects the inflation uncertainty and so supports Friedman hypothesis. Therefore, as for policy maker, they should roundly concerns on long memory properties of inflation and inflation uncertainty, and their single-direction relationship between them.
Issue Date: 05 June 2008
 Cite this article:   
ZHENG Tingguo,LIU Jinquan,SUI Jianli. Dual long memory of inflation and test of the relationship between inflation and inflation uncertainty[J]. Front. Econ. China, 2008, 3(2): 240-254.
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http://academic.hep.com.cn/fec/EN/10.1007/s11459-008-0011-y
http://academic.hep.com.cn/fec/EN/Y2008/V3/I2/240
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