时变秩和时变系数VECM模型与“费雪效应”机制检验

Empirical Test of the Fisher Effect in China:Based on Time Varying Rank and Time Varying Coefficient VECM Model

研究目标:检验我国经济是否存在"费雪效应"。研究方法:将马尔科夫区制转换结构应用于对协整秩的建模,同时考虑协整参数的时变,构建时变秩和时变系数VECM模型,使用贝叶斯框架估计模型参数。研究发现:1992年1月~2016年3月间我国名义利率与通货膨胀率之间存在时变系数VECM模型与I(1)数据时变系数VAR模型两种区制的转换,我国名义利率和通货膨胀率之间主要表现为时变协整关系。估计的归一化协整向量表明,整个样本期间我国存在"费雪效应"占优;经济"新常态"时期,不存在"费雪效应"处于主导地位;2015年7月以来我国存在时变弱的"费雪效应"。研究创新:将马尔科夫区制转换结构应用于对协整秩的建模,构建时变秩和时变系数VECM模型。研究价值:有助于重新认识"费雪效应之谜"。

Objectives： This paper tests Fisher Effect in China. Research Methods： The Markov regime switch structure is applied to modeling of co-integration rank, and the time variation of co-integration parameter is considered. The time varying rank and time varying parameter VECM model is established, and the parameters of the model are estimated by using the Bayesian method. Research Findings： By using the data about nominal interest and inflation from 1992 to 2016, the results show that there is a transition between the nominal interest rate and the inflation rate in the time varying parameter VECM model and the first order single integer I （1） data time varying parameter VAR model. During the whole sample period, the two elements of stochastic processes, which are composed of nominal interest rate and inflation rate, are mainly time varying co-integrated. Estimated normalized co-inte-gration vector shows that existing Fisher Effect is dominant in China during the entire sample period. In economic new normal period, non-existent Fisher Effect is in a dominant position. There exists weak Fisher Effect in China since July 2015. Research Innovations： The Markov regime switch structure is applied to modeling of co-integration rank, and the time varying rank and time varying parameter VECM model is established. Research Value： The conclu- sion helps to re-understand Fisher Puzzle.