作者信息：
陈超逸（Chen Chaoyi） https://orcid.org/0000-0002-5166-3424: 匈牙利国家银行，高级教育与研究专家；布达佩斯城市大学（ Budapest Metropolitan University） – 匈牙利国家银行研究院，客座讲师. E-mail: chenc@mnb.hu
巴尔科·陶马什（Barko Tamás） https://orcid.org/0000-0002-1219-408X: Quoniam Asset Management GmbH， 量化研究员；布达佩斯城市大学（ Budapest Metropolitan University） – 匈牙利国家银行研究院，客座讲师. E-mail: tamas.barko@gmail.com
纳吉·奥利维尔（Nagy Olivér ） https://orcid.org/0009-0003-7404-8568: 罗兰大学（Eötvös Loránd University） – 商学与管理博士学院博士研究生. E-mail: naolipth@gmail.com
摘要：
本文采用一种新的GARCH-MIDAS-in-Mean建模方法，重新审视通货膨胀与通胀不确定性之间的关系。该方法允许将通胀不确定性分解为短期不确定性成分与随时间变化的长期不确定性成分。本文以英国数据为样本进行实证检验。研究结果表明，宏观经济变量与金融变量对通胀不确定性的长期成分具有显著影响。通过利用MIDAS滤波使长期不确定性时变，我们发现，相较于假设长期通胀不确定性为常数的模型，过去通胀推动短期不确定性上升的证据明显减弱。然而，研究结果支持Cukierman-Meltzer假说：当使用更长的样本区间时，通胀不确定性对通胀的影响更加稳健且更为显著，但在面对结构性断点（如增值税减免以及新冠疫情）时表现出敏感性。此外，我们未发现通胀变化会反馈至短期通胀不确定性的证据。
引用格式 （APA）：
Chen, C., Barko, T., & Nagy, O. (2026). Inflation and Uncertainty: Evidence from GARCH-MIDAS-in-Mean Modelling. Financial and Economic Review, 25(Chinese Issue of Selected Studies), 83–101. https://hitelintezetiszemle.mnb.hu/cn/hsz-2026-cn-s5-chen-barko-nagy
刊：
研究论文
《经济文献杂志》（JEL）编码：
E31，E52，C22
关键词：
通货膨胀；通胀不确定性；GARCH-MIDAS模型
参考文献：
Apergis, N. – Bulut, U. – Ucler, G. – Ozsahin, S. (2021): The causal linkage between inflation and inflation uncertainty under structural breaks: Evidence from Turkey. （《结构性断点下通货膨胀与通货膨胀不确定性之间的因果联系：来自土耳其的证据》）The Manchester School, 89(3): 259–275. https://doi.org/10.1111/manc.12361
Baker, S.R. – Bloom, N. – Davis, S.J. (2016): Measuring economic policy uncertainty. （《经济政策不确定性的度量》）The Quarterly Journal of Economics, 131(4): 1593–1636. https://doi.org/10.1093/qje/qjw024
Balatoni, A. – Quittner, P. (2024): A 2021–2023 közötti inflációs hullám okai és háttere. （《2021—2023年通胀浪潮的成因与背景》） Közgazdasági Szemle （《经济评论》）, 71(6): 671–689. https://doi.org/10.18414/KSZ.2024.6.671
Balcilar, M. – Ozdemir, Z.A. (2013): Asymmetric and time-varying causality between inflation and inflation uncertainty in G-7 countries. （《G7 国家中通货膨胀与通货膨胀不确定性之间的非对称性与时间变化因果关系》）Scottish Journal of Political Economy, 60(1): 1–42. https://doi.org/10.1111/sjpe.12000
Ball, L. (1992): Why does high inflation raise inflation uncertainty? （《为何高通货膨胀会提高通货膨胀不确定性？》Journal of Monetary Economics, 29(3): 371–388. https://doi.org/10.1016/0304-3932(92)90032-W
Bareith, T. – Varga, J. (2022): Az inflációs célt követő rendszer hozzájárulása az infláció mérsékléséhez Magyarországon. （《通胀目标制对匈牙利通胀缓解的贡献》）Közgazdasági Szemle（《经济评论》）69(9): 989–1008. https://doi.org/10.18414/KSZ.2022.9.989
Barnett, W.A. – Jawadi, F. – Ftiti, Z. (2020): Causal relationships between inflation and inflation uncertainty. （《通货膨胀与通货膨胀不确定性之间的因果关系》）Studies in Nonlinear Dynamics & Econometrics, 24(5), 20190094. https://doi.org/10.1515/snde-2019-0094
Bredin, D. – Fountas, S. (2009): Macroeconomic uncertainty and performance in the European Union. （《欧盟中的宏观经济不确定性与经济绩效》）Journal of International Money and Finance, 28(6): 972–986. https://doi.org/10.1016/j.jimonfin.2008.09.003
Caporale, G.M. – Kontonikas, A. (2009): The Euro and inflation uncertainty in the European Monetary Union. （《欧元与欧洲货币联盟中的通货膨胀不确定性》）Journal of International Money and Finance, 28(6): 954–971. https://doi.org/10.1016/j.jimonfin.2008.09.004
Chang, K.-L. (2012): The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty. （《区制转换结构与厚尾特征对通货膨胀与通货膨胀不确定性关系的影响》）Journal of Macroeconomics, 34(2): 523–536. https://doi.org/10.1016/j.jmacro.2011.12.001
Chen, C. – Stengos, T. – Sun, Y. (2023a): Endogeneity in semiparametric threshold regression models with two threshold variables. （《具有两个阈值变量的半参数阈值回归模型中的内生性问题》）Econometric Reviews, 42(9–10): 758–779. https://doi.org/10.1080/07474938.2023.2221558
Chen, C. – Sun, Y. – Rao, Y. (2023b): Threshold MIDAS forecasting of inflation rate. （《通货膨胀率的阈值 MIDAS 预测》）Working Paper No. 202314, University of Liverpool, Department of Economics. https://EconPapers.repec.org/RePEc:liv:livedp:202314
Cukierman, A. – Meltzer, A.H. (1986): A theory of ambiguity, credibility, and inflation under discretion and asymmetric information.（《在自由裁量与信息不对称条件下，关于模糊性、可信度与通货膨胀的理论》） Econometrica, 54(5): 1099–1128. https://doi.org/10.2307/1912324
Daal, E. – Naka, A. – Sanchez, B. (2005): Re-examining inflation and inflation uncertainty in developed and emerging countries. （《重新审视发达国家与新兴经济体中的通货膨胀与通货膨胀不确定性》）Economics Letters, 89(2): 180–186. https://doi.org/10.1016/j.econlet.2005.05.024
Engle, R.F. (1982): Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. （《带有英国通货膨胀方差估计的自回归条件异方差模型》）Econometrica, 50(4): 987–1007. https://doi.org/10.2307/1912773
Engle, R.F. – Ghysels, E. – Sohn, B. (2013): Stock market volatility and macroeconomic fundamentals. （《股票市场波动性与宏观经济基本面》）Review of Economics and Statistics, 95(3): 776–797. https://doi.org/10.1162/REST_a_00300
Fountas, S. – Ioannidis, A. – Karanasos, M. (2004): Inflation, inflation uncertainty and a common European Monetary Policy. （《通货膨胀、通货膨胀不确定性与共同的欧洲货币政策》）The Manchester School, 72(2): 221–242. https://doi.org/10.1111/j.1467-9957.2004.00390.x
Fountas, S. – Karanasos, M. (2007): Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7. （《通货膨胀、产出增长以及名义与实际不确定性：来自 G7 的经验证据》）Journal of International Money and Finance, 26(2): 229–250. https://doi.org/10.1016/j.jimonfin.2006.10.006
Friedman, M. (1977): Nobel lecture: Inflation and unemployment.（《通货膨胀与失业》）Journal of Political Economy, 85(3): 451–472. https://doi.org/10.1086/260579
Ghysels, E. – Santa-Clara, P. – Valkanov, R. (2004): The MIDAS touch: Mixed data sampling regression models.（《MIDAS之触：混合数据采样回归模型》） CIRANO Working Papers 2004s-20, CIRANO. https://ideas.repec.org/p/cir/cirwor/2004s-20.html
Greenspan, A. (2004): Risk and uncertainty in monetary policy. （《货币政策中的风险与不确定性》）American Economic Review, 94(2): 33–40. https://doi.org/10.1257/0002828041301551
Grier, K.B. – Perry, M.J. (1998): On inflation and inflation uncertainty in the G7 countries.（《G7国家中的通货膨胀与通货膨胀不确定性》） Journal of International Money and Finance, 17(4): 671–689. https://doi.org/10.1016/S0261-5606(98)00023-0
Grimme, C. – Henzel, S.R. – Wieland, E. (2014): Inflation uncertainty revisited: A proposal for robust measurement. （《再论通货膨胀不确定性：一种稳健的度量方法》）Empirical Economics, 47(4): 1497–1523. https://doi.org/10.1007/s00181-013-0789-z
Holland, A.S. (1995): Inflation and uncertainty: Tests for temporal ordering. （《通货膨胀与不确定性：时间顺序的检验》）Journal of Money, Credit and Banking, 27(3): 827–837. https://doi.org/10.2307/2077753
Joyce, M.A.S. (1995): Modelling of UK inflation uncertainty: the impact of news and relationship with inflation. （《英国通货膨胀不确定性的建模：新闻冲击的影响及其与通货膨胀的关系》）Bank of England Working Paper 30. https://ideas.repec.org/p/boe/boeewp/30.html
Kontonikas, A. (2004): Inflation and inflation uncertainty in the United Kingdom, evidence from GARCH modelling.（《英国的通货膨胀与通货膨胀不确定性：来自GARCH建模的证据》） Economic Modelling, 21(3): 525–543. https://doi.org/10.1016/j.econmod.2003.08.001
Martin, R. – Nagy Mohácsi, P. (2024): Fighting inflation within the monetary union and outside: The case of the Visegrad 4. （《货币联盟内外的抗通胀政策：维谢格拉德集团的案例》）Financial and Economic Review, 23(4): 102–119. https://doi.org/10.33893/FER.23.4.102
Pan, Z. – Wang, Y. – Wu, C. – Yin, L. (2017): Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. （《J油价波动性与宏观经济基本面：一种状态转换 GARCH-MIDAS 模型》）Journal of Empirical Finance, 43: 130–142. https://doi.org/10.1016/j.jempfin.2017.06.005
Pourgerami, A. – Maskus, K.E. (1987): The effects of inflation on the predictability of price changes in Latin America: Some estimates and policy implications. （《通货膨胀对拉丁美洲价格变动可预测性的影响：若干估计与政策含义》）World Development, 15(2): 287–290. https://doi.org/10.1016/0305-750X(87)90083-0
Sipiczki, Z. – Imre, G. – Varga, J. (2024): How “Hungaricum” is inflation in Hungary? The classical and specific factors of outstanding inflation in Hungary. （《匈牙利通胀有多“匈牙利特色”？匈牙利异常通胀的经典因素与特定因素》）Journal of Infrastructure Policy and Development, 8(15), 8981. https://doi.org/10.24294/jipd8981
Ungar, M. – Zilberfarb, B.-Z. (1993): Inflation and its unpredictability – theory and empirical evidence. （《通货膨胀及其不可预测性——理论与经验证据》）Journal of Money, Credit and Banking, 25(4): 709–720. https://doi.org/10.2307/2077800
Zhang, J. – Chen, C. – Sun, Y. – Stengos, T. (2024): Endogenous kink threshold regression. （《内生折点阈值回归》）Journal of Business & Economic Statistics, 43(3): 556–567. https://doi.org/10.2139/ssrn.4742634