This study revisits the Fisher effect using a different empirical method that considers a potential nonlinear relationship between interest rates(treasury bond rates)and inflation in China.The rising uncertainty and a...This study revisits the Fisher effect using a different empirical method that considers a potential nonlinear relationship between interest rates(treasury bond rates)and inflation in China.The rising uncertainty and asymmetric information in financial markets between bond holders and bond issuers suggest such a potential nonlinear relationship.To this aim,we apply Shin et al.'s(2014)nonlinear autoregressive distributed lag(NARDL)model with asymmetric dynamic multipliers for the sample period 2002M7-2018M4.The empirical findings reveal symmetric and asymmetric partial Fisher effects for all sample bond rates in China.Furthermore,we find that 20-year bond rates experience the lowest partial Fisher effect.展开更多
文摘This study revisits the Fisher effect using a different empirical method that considers a potential nonlinear relationship between interest rates(treasury bond rates)and inflation in China.The rising uncertainty and asymmetric information in financial markets between bond holders and bond issuers suggest such a potential nonlinear relationship.To this aim,we apply Shin et al.'s(2014)nonlinear autoregressive distributed lag(NARDL)model with asymmetric dynamic multipliers for the sample period 2002M7-2018M4.The empirical findings reveal symmetric and asymmetric partial Fisher effects for all sample bond rates in China.Furthermore,we find that 20-year bond rates experience the lowest partial Fisher effect.
基金supported by Natural Science Foundation of China(U22B20136,91945301,22202230)National Key R&D Program of China(2021YFF0500702)+3 种基金Natural Science Foundation of Shanghai(22JC1404200)Program of Shanghai Academic/Technology Research Leader(20XD1404000)the“Transformational Technologies for Clean Energy and Demonstration”Strategic Priority Research Program of Chinese Academy of Sciences(XDA21020600)。