Civil Engineering Reference
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Fig. 1
The coefficient
a
(
t
)
in each model
3
The Model Solution and Marginal Effect Analysis
As can be seen,
a
reflects marginal inflation of the inflation expectations,
inflation inertia, and output gap; we take
a
(
t
i
)
b
(
t
i
)
c
(
t
i
)
(
t
i
)
b
(
t
i
)
c
(
t
i
)
in path models and subtract
corresponding
a
in benchmark model. If it is positive, there exists
positive marginal effect, otherwise negative marginal effect.
Figures
1
,
2
,and
3
show marginal effect, bk denotes benchmark model, and m,
h, and i, denote a path model including money, house prices, and interest rates,
respectively in G; Fig.
4
shows each model nonparametric part, because money
growth, interest rates, and house prices are in this part, it can reflect “direct effect”
to inflation.
In Fig.
1
marginal effect of inflation expectations originated from money and
interest rates is very weak, especially after 2000. Marginal effect originated from
house prices is negative.
In Fig.
2
, marginal effect of inflation inertia originated from money turns to be
positive from 2003Q4, and marginal effect originated from interest rates is very
weak, while marginal effect originated from house prices is positive.
In Fig.
3
, marginal effect of output gap originated from money is similar from
interest rates, while marginal effect originated from house prices is primary positive
and stronger between 2002 and 2007.
In Fig.
4
, direct effect of inflation originated from interest rates is very small, and
direct effect originated from money growth is weak before 2007 and after 2007 is
stronger and negative except 2009, while direct effect originated from house prices
to inflation is stronger and fluctuant.
(
t
i
)
b
(
t
i
)
c
(
t
i
)
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