The Research On Time-varying Characteristics Of China's Inflation And Phillips Curve

Inflation is an important indicator of the health of macroeconomic development.Therefore,by studying the time series changes of inflation rate and deeply analyzing the dynamic characteristics of persistence and structural abrupt change,we can grasp the future development trend of inflation and keep the economy stable and healthy Development has very important practical significance.This paper builds the time-varying parameter model with stochastic volatility to analyze the dynamic change of inflation,namely analyze its persistence and the structure mutation characteristic,and to construct Bayesian factor to perform the time-variability test.The estimation method avoids over-parameterization by using noncentered parameterization for the state space model and develop a method to simplify calculate the Bayesian factor by Gibbs sampling using the Savage-Dickey density ratio method to avoid the estimation of the marginal likelihood.Based on this,this paper applies the model to two applications.First,based on the inflation rate of various provinces in China from 1984 to 2016,we conducted a comparative analysis on the persistence of the inflation rate and the fluctuation characteristics of the structural changes in all provinces.The results show that adding random stochastic volatility model is better than without adding stochastic volatility model,the provincial inflation rate of the persistent features than the structural characteristics of the mutation is obvious.Second,based on the data of China's inflation rate and unemployment rate from 1984 to 2016,the time-varying parameters models with stochastic was constructed to analyze the Phillips curve and test the time-varying of the natural unemployment rate and the natural unemployment rate.The results show that there is a typical downward Phillips curve in our country.The measurement of the natural unemployment rate shows that the natural unemployment rate is basically the same as the unemployment rate.The natural unemployment rate remain at a high level of about 4% after 2001,the lowest point of natural unemployment in 1985 at about 1.85%.The natural unemployment rate reached a maximum of 4.02% in 2009.To clarify the dynamic changes of inflation has a crucial role in policy making and policy effectiveness analysis in China.