名义利率与通货膨胀:对我国“费雪效应”的再检验——基于门限回归模型分析被引量：27

Nominal Interest Rates and Inflation:A Re-examination of the Fisher Effect in China

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摘要本文利用我国1990年1月至2007年2月的月度数据,通过建立门限模型考察我国是否存在"费雪效应"。实证研究的结果发现,模型具有显著的门限效应,且门限数目为2。进一步的分析表明:在不同的通胀水平下,名义利率与通胀之间的关系并不一致。温和通胀状态下,存在部分"费雪效应",通胀率上升1%,名义利率将提高0.43%;高通胀状态下,也存在部分"费雪效应",通胀率上升1%,名义利率仅提高0.23%;而在通货紧缩状态下,"费雪效应"完全不存在,此时名义利率与通胀之间没有显著关系。 This paper uses data on nominal interest rates and inflation rates from 1990：01 to 2008：02 in China. The study applies threshold regression model to test Fisher Effect. The result shows that there is a significant nonlinear adjustment between nominal interest rates and inflation and there are two Threshold in the Model. Further analyzing shows that at different level of inflation, the relationship between the nominal interest rate and inflation is not consistent. There exists partial Fisher Effect in moderate inflation, inflation rate increased 1%, the nominal interest rate increased 0.43%. And there is also partial Fisher Effect in high inflation state, inflation rate increased 1%, the nominal interest rate increased 0.23%. While in the deflation state, Fisher Effect does not exist, there are no significant linear relationship between nominal interest rates and inflation.

作者封福育

机构地区江西财经大学经济学院

出处《数量经济技术经济研究》 CSSCI 北大核心 2009年第1期89-98,共10页 Journal of Quantitative & Technological Economics

关键词 “费雪效应” 名义利率通货膨胀门限效应门限回归模型 Fisher Effect Nominal Interest Rate Inflation Threshold Effect Threshold Regression Model

分类号 F224.0 [经济管理—国民经济]

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参考文献23

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