The Study Of Nonlinear Phillips Curve Model In China

From1970, the Bretton Woods system began to collapse step by step, the global economic situation appeared a huge change. Jamaica agreement come to work in1976, it marks that the formation of a new international monetary system is finished. At this point, the global exchange rate changes, the floating exchange rate system replace fixed exchange rate system. After1980, because the sharp rise, the import and export prices in the United States still maintain a relatively stable reality, exchanging rate transmission problem gradually becomes a hotspot in international finance. July21,2005, the people’s bank of our country take corresponding measures to reform the mechanism of RMB exchange rate fluctuations, it will start to use market supply demands as a base, a basket of currencies as reference to adjust, and management of the floating exchange rate system, to replace the previous fixed exchanging rate system which has the characteristics. Since the reform of RMB exchanging rate, China’s research of exchanging rate pass-through problem received national and even worldwide scholars concern and attention. Research of this paper can more in-depth improve the content of the exchange rate pass-through effect and provide some reference for it.Based on the global scholars’ research, this paper use the data which start from1999to2013of China’s monthly statistics as a research foundation, and introduce the exchange rate fluctuation variables, extending New Keynesian Phillips Curve, the perspective of exchange rate pass-through look as change variables, constructed a Phillips Curve model which has a logic-type smooth transfer regression model (LSTR) form, examining its adaptive expectations of inflation at different threshold levels, the output gap, the rate of change in the money supply, real interest rates and real effective exchange rate volatility asymmetric impact on inflation. This paper is organized as follows:The first chapter is the introduction, the introduction explains the meaning of this thesis topic selection, research background, research in the field of foreign and domestic in this paper, the study the reality; The second chapter expounds general theory frame, stated the currency transfer and related theory knowledge of the Phillips Curve. The third chapter propose the establishment of model selected variables, a brief introduction and processing of data sources, and then do a Unit Root Test and Cointegration; The fourth chapter introduces the research paper ways to build nonlinear Phillips Curve model based on the perspective of exchange rates pass through and estimate, test, evaluate it, at last, the major empirical results are analyzed in detail; The fifth chapter gives the conclusions and policy recommendations of this paper, and propose innovation and shortcomings of this paper.The conclusion is:First, adaptive inflation expectations is one of the main factors affecting the inflation, but this effect seems to be more focused on linear; Second, the output gap is also significantly affect China’s inflation, and showed a significant nonlinear effects, and the overall effect is positive; Third, the inflation will be affected by the number of the money supply, and this paper got the contrary to previous traditional currency brokerage theory results, the money supply quantity’s influence on the inflation is nonlinear and negative; Fourth, compared to other factors, the impact of the real interest on the inflation is the most obvious and this effect is also showing a significant nonlinear effects. Finally, China’s exchange rate pass-through effect show significant asymmetry, when the exchange rate fluctuation is smaller (below the threshold level), the effect pass-through to the price level is smaller; When the exchange rate fluctuation is bigger (above the threshold level), the effect pass-through to the price level in China will increase with the exchange rate fluctuations and this effect showed a negative direction. The selection and treatment of the comprehensive output gap, expanding the New Keynesian Phillips Curve based on the exchange rate pass-through perspective and analyzing the nonlinear Phillips Curve with a smooth transfer regression (STR) model is the main innovation of this paper.