摘要
基于2000年1月～2009年12月我国名义利率和通货膨胀率均为非平稳时间序列的事实，采用Johansen协整检验和门限协整（threshold cointegration）两种方法对我国是否存在费雪效应进行检验；实证发现，两种方法均支持我国存在弱费雪效应，但得出来的弱费雪效应程度却存在差别，前者认为我国通货膨胀率的变化只有6％反应到名义利率上面，而后者认为这个比例达到42．4％。
On the fact that China＇s nominal interest rate and inflation rate from January 2000 to December 2009 are non-stationary time series, Johansen eointegration and threshold cointegration are used to test the Fisher effect in China. Both methods found that the Fisher effect existed in our country, although the effect was weak. And there were differences between two methods, the former that only 6% of the changes in China＇s inflation rate were accepted by the nominal interest rate, while the latter believe that this ratio reached 42.4%.
出处
《价值工程》
2012年第2期141-142,共2页
Value Engineering
关键词
费雪效应
利率
协整
通货膨胀
Fisher effect
interest rates
cointegration
inflation
