关键词: 面板数据模型, 交互效应, 非线性转换, 通货膨胀持久性, 新凯恩斯菲利普斯曲线, 状态空间模型, 政策模拟

Abstract: Inflation persistence plays an important role for monetary policy design. Based on quarterly data of 1994-2012, this paper uses state-space model to investigate the changes of China's inflation persistence. We found that China's inflation persistence showed an increased and then decreased trend. During most of the sample period, China's inflation persistence was high. Then, this paper uses a monetary policy framework to simulate the anti-inflationary policy. According to the policy simulation, we found that: when the inflation persistence exists, the effects of anti-inflationary monetary policy are weakened and the policy delay is longer. What’s more, there is a large output cost. Lastly, this paper gives some policy suggestions based on the conclusions, such as central bank should give more weight on control inflation between stabilize output and control inflation.

Key words: Panel Data Model, Interactive Fixed Effects, Nonlinear Smooth Transition, Inflation Persistence, New-Keynesian Phillips Curve, State-Space Model, Policy Simulation