利率与通货膨胀:一个费雪效应的经验分析

Interest Rates and Inflation:An Empirical Analysis of the Fisher Effect

本文应用现代时间序列计量经济学技术,结合中国1979-2000年间的有关数据,进行了费雪效应在中国的实证研究。经验证据表明在这一时期同时存在长期和短期费雪效应。这样,无论在长期还是短期,名义利率的变化主要反映预期通胀而不是实际利率的变化,所以必须慎用名义利率作为货币政策松紧程度的指标。这在政策上可理解为政府为控制通胀而调整利率的一种规则,从而本文的分析对未来利率调整幅度的具体确定与计算有潜在的应用价值。

This paper makes an empirical research on the Fisher effect in China by means of the moden time series techniques plus the relevant statistics from China over the years from 1979 to 2000. The empirical evidence demonstrates that both the long run and short run Fisher effect co exists in this period.As a result,whether it is in the long run or in the short run,changes in nominal interest rates primarily reflect fluctuations in expected inflation rather than in the real rates of interest. This suggests a need for caution in using the level of nominal interest rates as indicators of the tightness of monetary policy.In policy, this can be viewed as a re gulation that the government adjusts interest rates in order to control inflation. Thereby our study may have potential application value in determining and computing the future adjustment range of nominal interest rates.