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2011•Journal of Sichuan University of Science & EngineeringRequires access

On the Dynamic Relation between China's Output Gap and Inflation

Cheng‐Lin Jiang

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Abstract

The paper analyzes the volatility and asymmetric of output gap and inflation in China from 1995 to 2010 with GARCH model.And the dynamic relationship between them is proved by VAR model.The result of the study shows that,during the sample period,China's output gap and inflation volatility are of persistence;risk reward exists in the output gap;inflation results in spillover effect on output gap and the variability is asymmetry;impact on inflation caused by output gap will lag behind one year.

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What this paper is about

The paper analyzes the volatility and asymmetric of output gap and inflation in China from 1995 to 2010 with GARCH model.And the dynamic relationship between them is proved by VAR model.The result of the study shows that,during the sample period,China's output gap and inflation volatility are of persistence;risk reward exists in the output gap;inflation results in spillover effect on output gap and the variability is asymmetry;impact on inflation caused by output gap will lag behind one year.

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Available abstract

The paper analyzes the volatility and asymmetric of output gap and inflation in China from 1995 to 2010 with GARCH model.And the dynamic relationship between them is proved by VAR model.The result of the study shows that,during the sample period,China's output gap and inflation volatility are of persistence;risk reward exists in the output gap;inflation results in spillover effect on output gap and the variability is asymmetry;impact on inflation caused by output gap will lag behind one year.

Key concepts: Output gap, Economics, Volatility (finance), Inflation (cosmology), Spillover effect, Econometrics, China, Autoregressive conditional heteroskedasticity

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