中日菲利普斯曲线机制与价格调整过程的非对称性检验

A Test of the Phillips Curve Mechanism and the Asymmetries in Price Adjustment: The Case of China and Japan

菲利普斯曲线主要描述通货膨胀率和失业率之间的反向相关关系,本文主要描述和检验中日两国非对称价格调整所导致的非线性菲利普斯曲线机制。如果价格调整在下降与上升阶段存在非对称性,菲利普斯曲线在不同区间具有不同的表示形式,本文估计和检验发现中日两国价格调整过程存在非线性和非对称性,而门限自回归模型的估计和检验表明仅仅中国的菲利普斯曲线存在非线性和非对称性,而日本的菲利普斯曲线在样本范围内是线性的,这是判断中日两国通货膨胀预期的重要经验事实。

The Phillips curve describes a negative relationship between inflation and unemployment.This paper tests the nonlinearity of the Phillips curve mechanism caused by asymmetric price adjustments in China and Japan.The basic assumption is that when the asymmetries exist,the Phillips curve can be nonlinear.The empirical evidences show that for both China and Japan,the price adjustments are nonlinear and asymmetric.However,the results of threshold AR model reveal that only China has a nonlinear and asymmetric Phillips curve,while the Japanese Phillips curve is linear within the sample period.These findings help to understand the inflation expectations in China and Japan.