我国经济周期中菲利普斯曲线机制转移的阈值协整研究

A Nonlinear Threshold Cointegration Analysis on China's Phillips Curve in Business Cycle

本文应用非线性阈值协整对我国菲利普斯曲线及其在经济周期不同阶段的机制转移进行研究,结果表明我国菲利普斯曲线具有显著的非线性特征,并且非线性转换是由逻辑函数刻画的,转换的位置发生在产出缺口的滞后8个季度。这一结论说明:当产出缺口大于-0.113时,其随后两年的菲利普斯曲线为正斜率;当产出缺口小于-0.113时,其随后两年的菲利普斯曲线为负斜率。菲利普斯曲线随着产出缺口的变化而光滑转换的非线性特征使得我国货币政策的操作效果依赖于已有的经济状态而具有非对称性,进一步,未来两年我国货币政策的操作效果将致使经济增长率与物价指数同向变动。

This paper studies the China＇s Phillips curve and its regime-switching in business cycle with nonlinear threshold cointegration. The results show that the logic function characters the nonlinear Phillips curve and the transition takes place at lag eight periods. Based on the results, we can conclude that when GDP gap is bigger than--0. 113, the Phillips curve, which lags two years, is a positive slope curve; otherwise, the curve is negative slope. So, the effects of monetary policy are asymmetric because of the nonlinear smooth switching character of Phillips curve. Furthermore, in the recentl future two years, the monetary policy will make the inflation and economic growth move together.