摘要
建立三元VAR-GARCH-BEKK模型对中国经济预警指数、国房景气指数和CPI指数间的ARCH型和GARCH型波动溢出进行了分析,发现经济预警指数和国房景气指数当期波动均受到了自身滞后残差平方与滞后波动的显著影响,但CPI指数波动不存在ARCH和GARCH效应。CPI指数对经济预警指数和国房景气指数有显著的波动溢出作用,经济预警指数对国房景气指数存在波动溢出作用。因此,国家制定宏观经济政策时应避免分割控制模式,积极建立动态制度框架和信息沟通机制以抵御风险。
In this paper, we analyze the ARCH and GARCH volatility spillover effect between economy early warning index, national housing climate index and CPI index based on ternary VAR-GARCH-BEKK model, found that economic early warning indicators and the current national housing climate index fluetuations are subject to their own lagged squared residuals and lagged significantly affect fluetuations, but fluctuations in the CPI index ARCH and GARCH effect does not exist. CPI index of economic early warning indicators and national housing climate index has significant volatility spillover effects, the presence of economie early warning indicators of economic volatility spillover effects of national housing index.
出处
《统计与信息论坛》
CSSCI
2014年第3期36-41,共6页
Journal of Statistics and Information
