非线性协整检验与“费雪效应”机制分析

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。

Nonlinear Cointegration Test and the Fisher Effect

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.