| Inflation has been a focus among scholars and policy makers.In recent years,the cyclical fluctuation of inflation has become an important factor affecting China’s economic development and social stability.In this context,the study of the formation mechanism of inflation and the impact of the government’s monetary policy on inflation has two meanings.First of all,for theory,this can further enrich the formation mechanism of inflation,with the development of economic globalization,the formation of inflation is more varied,there may be interactions between various factors,especially in recent years the factors are becoming more complex,and the traditional theory to explain the formation mechanism of inflation is in trouble.Secondly,for the policy makers,who can apply research finding of the inflation formation mechanism,scientific analysis the causes and channels of inflation in China,and make targeted macro-control policies,in order to maintain stability of the price level.Therefore,this paper collects and summarizes the domestic and foreign relevant research literatures related to the formation of inflation and the fisher effect.Based on the statistical data of our country,the theory on the formation mechanism of inflation in China was studied.and the application of measurement method of the international forefront of the formation of inflation in China are studied and the fisher effect,put forward the response policy recommendations.Applying the international frontier econometric method,this paper studies the formation of inflation and Fisher Effect in China,and puts forward some policy suggestions for response.Firstly,this paper makes theoretical analysis and empirical research on the identity of hybrid NKPC model.By adding the Taylor rule,the cost equation and IS equation to construct a closed data generation process,the formation of consumption habits,interest rate smoothing and continuous cost impact to measure macroeconomic friction model.On this basis,the GMM moment condition is constructed to analyze the identifiability of the NKPC model.The results show that the NKPC model can identify effectively when there is sufficient friction in the macro economy.Then,the Monte Carlo simulation method and the GMM estimation method are used to carry out the empirical research.The results show that the NKPC model is weak identification for a considerable range of parameter combinations.The distribution of GMM estimation under habit formation is narrower in both small and large samples,and in large sample cases,the estimator is almost unbiased.Combined with habit formation and interest rate smoothing,the NKPC model can be effectively identified in small sample size,and the identification of NKPC model has obvious national characteristics.When the data generation process involves sustained marginal cost friction,the results obtained are close to those derived from habit formation characteristics.The change of habit formation parameter has different influence on different parameters in NKPC model.Finally,robustness analysis is carried out by using S test statistic,and compared with the GMM estimation method,the results show that in the region above the confidence level,the GMM estimate of the elliptic confidence set is significantly smaller than the confidence set of the test statistic.On the basis of NKPC model,combined with IS,the theoretical model of the impact of economic output and real estate price on inflation is constructed,theoretical analysis shows that the fluctuation of real estate prices has asymmetric effects on China’s inflation through the total output channel of economy.Then,we use UCUR-2 M model,UCUR model,HP-AR model,UC-2 M model and HP filter to measure the output gap of our country,the results show that the model can best characterize China’s output gap,but the estimated output gap has a greater fluctuation.On this basis,the nonlinear ARDL model is used to verify the asymmetric effects of economic output and real estate prices on inflation,the results show that the effects of output gap,real estate price,real interest rate and excess liquidity on inflation are significant asymmetric both in the long run and short term.In the output gap,the price of real estate,real interest rates and excess liquidity of the four factors,for the non policy factors in the long term,whether it is positive or negative changes in the output gap effect on inflation is significantly stronger than the effect of real estate price.For policy factors,in the long run,price policy tools,whether in expansion or contraction,change the same degree of monetary policy,the role of inflation control is greater than quantitative policy tools.By constructing a theoretical model of the effect of exchange rate on inflation in inflation environment,the mechanism of exchange rate impact on inflation is analyzed.Using lagged inflation as a switching variable in the STAR model,the nonlinear transfer effect of RMB exchange rate fluctuation on domestic prices is tested.First of all,the theoretical model of the effect of exchange rate on inflation in inflation environment is constructed,it is found that ERPT is a nonlinear function of lagged inflation,lagging transportation or distribution costs,and parameters.Secondly,the GSTUR model is used to test the time-varying stability of the PPI sequence,the RMB effective exchange rate series and the import price index series,and the results show that the PPI sequence,the RMB effective exchange rate series and the import price index series are non-stationary processes.Finally,the class of STAR model is used to test the nonlinear transfer effect of RMB exchange rate change on domestic prices,and The results show that the nonlinear effects of inflation environment on the exchange rate of RMB can be effectively described by the transfer function.Compared with the symmetric DLSTAR model,ESTAR and asymmetric DLSTAR model can better describe the impact of inflation environment on the RMB exchange rate transmission.The change of the RMB exchange rate has asymmetric characteristics in the degree and direction on inflation in China.The hypothesis of Taylor(2000)was established in our country.The RMB exchange rate transfer coefficient symbols in the low level of inflation is plus,in high inflation is negative.At last,this paper tests the long-run equilibrium relationship between interest rate and inflation by using the Johansen co-integration analysis method,time varying VECM and time varying rank and time-varying coefficients VECM model.Using the Johansen co integration analysis,we find that there is a significant long-term equilibrium relationship between nominal interest rate and inflation rate in China.This is inconsistent with the existing domestic research using the Johansen co integration method or the E-G two step cointegration test to conclude that there is no cointegration relationship.The Johansen cointegration analysis is lack of robustness.On this basis,we use the time-varying VECM model to further analyze the long-term equilibrium relationship between China’s nominal interest rate and inflation rate.The results show that the time-varying VECM model can better characterize the long-term equilibrium relationship between China’s nominal interest rate and inflation rate,and the long-term equilibrium relationship between nominal interest rate and inflation rate is time-varying.The estimated normalized co integration vector shows that the weak fisher effect dominates during the whole sample period.In the "new normal" period of the economy,there is no "Fisher Effect" dominant.The TVP-VARs model can not describe the relationship between nominal interest rate and inflation rate in China.Finally,we test the relationship between nominal interest rate and inflation rate by using the VECM model with time-varying rank and time-varying coefficients.It is found that there is a transition between the two models of time-varying parameters,VECM model and data time-varying parameter VAR model.During the whole sample period,the fisher effect was dominant in our economy.In the period of "new normal",there was no "Fisher Effect" in China’s economy. |
