我国产出缺口与通胀菲利普斯曲线形态的研究——基于LSTVAR模型的实证分析

Studies on Shape of China's Output gap-Inflation Phillips Curve——based on LSTVAR model

菲利普斯曲线通过把通货膨胀与经济增长结合起来而成为了宏观经济研究的基石。考虑到两者之间的关系可能存在非线性以及经济系统的反馈性,本文基于季度数据首次建立了我国1995-2009年间两者之间的平滑转换向量自回归模型,结果表明两者之间具有显著的非线性,并且非线性转换由逻辑函数刻画,转换变量为滞后二期通胀率。广义脉冲响应分析表明样本期内我国经济系统的冲击主要来自总需求方面,且现阶段的菲利普斯曲线是凹的。

Output gap-Inflation Phillips curve has important implications for macroeconomic study.Considering the possible nonlinearity and endogeneity,smooth transition vector autoregressive model is firstly used to study its relationship in China during 1995-2009 based on quarterly data.The results show that there exists significant nonlinearity with logistic transition function and the second lag of inflation as transition variable.Generalized impulse analysis indicates that the shock came from aggregate demand,and the Phillips curve is concave in inflation regime.