对费雪效应的重新考察:来自面板协整的国际新证据

Reconsideration of Fisher Effect:New International Evidence Coming From Panel Cointegration

本文利用50个国家1981～2007年的面板数据重新考察了费雪效应。面板单位根检验发现,利率和通货膨胀率均存在单位根;异质面板协整检验的结论认为,弱费雪效应显著成立;利用完全修正的OLS和动态OLS方法对发达国家和发展中国家分别进行估计和检验,发现发展中国家存在弱费雪效应,而发达国家存在严格费雪效应;文章最后讨论了本文研究结论的货币政策含义,分析了中国利率政策实施中的问题并提出了建议。

The paper reconsiders the Fisher effect using panel data of 50 countires from 1981 to 2007. Panel unit root test veryfies that the interest rate and inflation both have a unit root; Heterogenous panel cointegration test draws the conclusion that there exists significant weak Fisher effect; We estimate and test the long -run relationship for developed and developing countries using fully modified OLS and dynamic OLS, and find that there exists strict Fisher effect in developed countries and only weak Fisher effect in developing countries; We discuss some implications of the monetary policy based on the paper＇s conclusions, and propose the problems in China central bank＇s monetary policy and some suggestions.