| 非线性协整检验与“费雪效应”机制分析 |
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| 引用本文： | 张小宇,刘金全.非线性协整检验与“费雪效应”机制分析[J].统计研究,2012,29(5):94-99. |
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| 作者姓名： | 张小宇 刘金全 |
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| 作者单位： | 1. 吉林大学农学部军需科技学院
2. 吉林大学数量经济研究中心 |
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| 基金项目： | 国家社会科学基金重大项目，国家自然科学基金 |
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| 摘 要： | 本文分别在线性Engle-Granger协整模型和非线性指数平滑迁移自回归误差修正模型 (ESTAR-ECM) 的框架下，对我国名义利率与通货膨胀率序列进行了长期均衡关系的检验。发现线性协整模型不能捕捉到我国名义利率与通货膨胀率的长期均衡关系，而对于ESTAR-ECM模型，无论利用商业银行1年期贷款利率还是7天期银行间同业拆借利率作为名义利率的代理变量，均证实名义利率与通货膨胀率具有长期稳定的均衡关系，表明“费雪效应”在我国是成立的。但由于“费雪效应”系数小于1，表明名义利率与通货膨胀率之间仅存在弱的“费雪效应”。其意义在于，我国利率政策对稳定通胀预期、抑制通货膨胀具有一定的正面效应，但由于利率对通货膨胀反应不足，导致完全依靠利率政策控制目前较高的通货膨胀有一定的困难。
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| 关 键 词： | 费雪效应 非线性协整 名义利率 通货膨胀 |
Nonlinear Cointegration Test and the Fisher Effect |
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| Zhang Xiaoyu
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Liu Jinquan.Nonlinear Cointegration Test and the Fisher Effect[J].Statistical Research,2012,29(5):94-99. |
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| Authors: | Zhang Xiaoyu Liu Jinquan |
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| Affiliation: | Zhang Xiaoyu & Liu Jinquan |
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| Abstract: | In this paper,we test the long-term equilibrium relationship of nominal interest rate and inflation by the linear Engle-Granger cointegration and exponential smoothing transition autoregression error correction model(ESTAR-ECM).We do not find cointegtation relationship by the linear cointegration model,but we find strong evidence that the two variables have long-term equilibrium relationship by ESTAR-ECM,regardless of 1-year lending rate,or 7-day interbank interest rate as the nominal interest rate’s proxy variables.However,there exists partial Fisher effect because Fisher effect coefficient is less than 1.So it is difficult that completely relying on interest rate policy to control the current high inflation because of insufficient response of interest rate to inflation,although interest rate policy can stabilize inflation expectations and control inflation to some extent. |
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| Keywords: | Fisher Effect Nonlinear Cointegration Nominal Interest Rate Inflation |
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