通货膨胀与短期利率的非线性Granger因果检验

The Nonlinear Granger Causality Test Between Inflation and Short Rate

大量研究表明通货膨胀与短期利率的内在关联性呈现出明显的时变特征,该特征受到宏观经济周期的显著影响。为深入研究中国通货膨胀与短期利率的动态影响机制及费雪效应等问题,本文采用马尔科夫区制转移向量自回归(MS-VAR)模型对中国通货膨胀与短期利率进行非线性格兰杰因果检验。研究结果表明:中国通货膨胀与短期利率之间的格兰杰因果关系表现出明显的区制转移现象,而且该现象受到中国经济周期等因素的显著影响;通胀对短期利率的区制性格兰杰影响说明中国存在包含区制转移特征的费雪效应;短期利率对通胀的区制性格兰杰影响则表明中国不存在价格之谜即紧缩性货币政策对抑制通胀发挥了一定的效果。基于不同期限短期利率的稳健性分析进一步证实了上述结论的可靠性。

many empirical studies find that the relationship between inflation and short rate exhibits the distinct time varying future. In order to understand the dynamic mechanism and fisher effect appropriately, this paper examines the nonlinear Granger Causality between inflation and short rate with MS-VAR model. The results are as follows： Granger Causality between inflation and short rate exhibits the distinct regime switch phenomenon which is mainly affected by the business cycle; the nonlinear Granger reason from the short rate to inflation shows that there is fisher effect with regime switch future in China; we can＇t find the price puzzle based on the nonlinear Granger reason from the inflation to short rate. It is means that the tightening of monetary policy plays the rule to curb inflation; the robust analysis with different maturity short rate further verifies the reliability of above findings.