Research on the Relationship of CPI and Its Volatility: Based on the GARCH and SV Model

Junwei Xing

Abstract


This paper use GARCH and SV model to evaluate the volatility of CPI and analysis the relationship between CPI and volatility. The results show China's CPI volatility has obvious characteristics of persistence. CPI rate has a positive effect on volatility of GARCH，it supports the Friedman-Ball hypothesis. Volatility of SV has a positive effect on CPI rate，it supports the Cukierman-Meltzer hypothesis.

Keywords


CPIï¼›Volatilityï¼›SV-M Modelï¼›Impulse Response Analysis

Publication Date


2016-12-13 00:00:00


DOI
10.12783/dtssehs/isetem2016/4464