The Empirical Analysis of the Phillips Curve－A Threshold Co-integration Model
| Autor: | Bo-wei Shih, 施柏維 |
|---|---|
| Rok vydání: | 2012 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 100 The shape of Phillips curve plays an important role in analysis of monetary policy. This paper is to explore the influence of the inflation target policy on the shape of Phillips curve. The sample countries include the countries which use inflation target policy (United Kingdom, Sweden, and Thailand) and countries which do not use inflation target policy (Hong Kong, Switzerland, and Germany). The result shows that the Phillips curves of the countries which use the inflation target policy are flatter than the Phillips curves of the countries which do not use the inflation target policy. It means if the government want to reduce unemployment rate, may endure less increase in the inflation rate. This paper uses the threshold co-integration model to examine the long-run equilibrium relationship between inflation rate and unemployment rate in United Kingdom, Sweden, Thailand, Hong Kong, Switzerland, and Germany. This paper also uses the threshold error correction model and Granger causality test to explore causality relationship between inflation rate and unemployment rate in six countries. The empirical results show that if we take the inflation rate as dependent variable, in the two-steps cointegration test, we can find the relationships of asymmetric co-integration between inflation rate and unemployment rate in United Kingdom, Sweden, Thailand, Hong Kong, Switzerland, and Germany. The results from Granger causality tests based the threshold error correction model show the followings. In the short-run, inflation rate would affect unemployment rate in United Kingdom, and unemployment rate would affect inflation rate in Hong Kong. But inflation rate and unemployment rate would not affect each other in Sweden, Thailand, Switzerland, and Germany. In the long-run, inflation rate and unemployment rate would affect each other in United Kingdom, Hong Kong, and Germany. Unemployment rate would affect inflation rate in Sweden and Thailand. But in Switzerland, unemployment rate would affect inflation rate only at lower zone. If we take unemployment rate as dependent variable, there is only a symmetric co-integration relationship between inflation rate and unemployment rate in Thailand. And the results from Granger causality tests based the threshold error correction model show that unemployment rate would affect inflation rate in the short-run, and in the long-run, inflation rate would affect unemployment rate only at lower zone. |
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