基于双阈值LSTR的我国菲利普斯曲线非线性特征的实证研究

Empirical Research on the Nonlinearity of Phillips Curve in China Based on the Double-threshold LSTR Model

本文采用双阈值LSTR模型对我国菲利普斯曲线的非线性特征进行实证分析。结果表明:我国菲利普斯曲线具有通胀预期为阈值变量的二阶LSTR的非线性形式,通胀预期的双阈值分别为2.43%和7.37%,当通胀预期低于2.43%或高于7.37%时,菲利普斯曲线处于高机制,当通胀预期位于2.43%~7.37%时,菲利普斯曲线处于低机制;产出缺口对通胀具有非对称影响,当菲利普斯曲线位于高机制时,产出缺口与通胀正相关,反之则负相关;我国通胀具有通胀预期和通胀惯性的混合动态特征,且高机制时通胀惯性对我国通胀的影响弱于低机制。

Using logistic smooth transition mechanism model with double thresholds, this paper positively analyzes the nonlinear characteristics of Phillips curve in China. The results show ： Phillips curve in China can be the form of second LSTR with inflation expectation as threshold, and the double thresholds are 0. 024 3 and 0. 073 7 respectively. When inflation expectation exceeds 7.37% or does not exceed 2.43% , the Phillips curve is in high mechanism, or else, the Phillips curve is in low mechanism. The relationship of gap and in- flation is asymmetric. When the Phillips curve is in high mechanism, the relationship is positive, or else is negative. It can also be found that inflation in China is hybrid with expectation and inertia, and when the Phil- lips curve is in high mechanism, inflation inertia has a weaker impact on inflation than in low mechanism.