摘要
在国际费雪效应框架下,从利率角度探究了中国在东亚地区的经济影响力,基于傅立叶函数单位根方法的实证研究表明:中国台湾地区、中国香港地区、韩国、新加坡、印度尼西亚、泰国六个国家(地区)与中国存在国际费雪效应,并且实际利率差异向长期均衡值的调整过程是非线性的,证明我国已基本成为东亚地区的"利率驱动国";同时,资本管制等非市场化特征,是造成日本、马来西亚与中国国际费雪效应很弱或不成立的主要原因,这对我国利率市场化进程有重要的政策启示。
This paper utilizes unit root test of Fourier function,probes into the economic influence of China in East Asia from the point of view of interest under the framework of Fisher effect. Empirical results show that Fisher effect exists in Taiwan,Hong Kong,South Korea,Singapore,Indonesia and Thailand in relation to China and the adjustment process of interest rate spread towards long-term equilibrium is non-linear,which proves that China has basically become the ' interest driving country' in East Asia. This paper concludes that non-market feature such as capital control is the primary cause for why Fisher effect is weak or untenable between Japan and China and between Malaysia and China and this has great policy inspiration for the marketization process of our economy.
出处
《当代经济科学》
CSSCI
北大核心
2014年第2期35-42,125,共8页
Modern Economic Science
基金
国家自然科学基金项目"中国利率
汇率与央行资产负债及货币供应之间的交互影响:实证分析与政策意涵"(71373187)
关键词
国际费雪效应
非线性单位根
实际利率平价
傅立叶函数
东亚一体化
International Fisher Effect
Non-linear Unit Root Test
Real Interest Rate Parity
Fourier Function
East Asia Integration