Using the ARFIMA-FIGARCH model to test the dynamic process of inflation rate in China from January 1983 to May 2008, we find that the first and second moments of inflation rate in China have significant long memory, This shows that the level of inflation and inflation uncertainty show double long-term memory behavior. By constructing VAR model to test the Granger influence relationship between inflation rate and inflation uncertainty, the results show that the inflation rate level There is a significant Granger influence on inflation uncertainty. Therefore, in the formulation of monetary policy, should take full account of inflation and inflation uncertainty of long-term memory behavior and the one-way relationship between them.

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