基于分位数回归模型的我国“费雪效应”检验

Test of Fisher Effect in China based on Quantile Regression Model

基于我国名义利率与通货膨胀率数据的非线性特征,本文采用分位数回归模型对我国的名义利率和通货膨胀率之间是否存在"费雪效应"进行了检验,检验结果表明我国只存在弱的长期"费雪效应",而不存在短期"费雪效应"。在此基础上给出了相应的政策效应分析。

Due to the nonlinear characteristics of nominal interest rate and inflation rate, this paper employs the quantile regression model to the test of fisher effect between them in China. The results show that there is only a weak long-term ＂Fisher effect＂, rather than short-term ＂Fisher effect＂. In the end it gives the corresponding analysis of policy effects.