利率与通货膨胀的关系:中国的费雪效应检验

IF 1.5 4区经济学 Q2 ECONOMICS

Frontiers of Economics in China Pub Date : 2020-07-10 DOI:10.3868/S060-011-020-0011-6

S. Ongan, Ismet Gocer

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引用次数: 1

摘要

本研究使用一种不同的经验方法重新审视了费雪效应，该方法考虑了中国利率(国库券利率)与通货膨胀之间潜在的非线性关系。金融市场中债券持有人和债券发行者之间不断上升的不确定性和信息不对称表明了这种潜在的非线性关系。为此，我们采用Shin等人(2014)的具有不对称动态乘数的非线性自回归分布滞后(NARDL)模型，用于样本周期为2002M7-2018M4。实证结果显示，中国所有样本债券利率都存在对称和不对称的部分费雪效应。此外，我们发现20年期债券利率经历最低的部分费雪效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Relationship between Interest Rates and Inflation: Examining the Fisher Effect in China

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.

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来源期刊

Frontiers of Economics in China ECONOMICS-

CiteScore

1.20

自引率

0.00%

发文量

373

期刊介绍： Frontiers of Economics in China seeks to provide a forum for a broad blend of peer-reviewed academic papers of economics in order to promote communication and exchanges between economists in China and abroad. It will reflect the enormous advances that are currently being made in China in the field of economy and society. In addition, this journal also bears the mission of introducing the academic achievements on Chinese economics research to the world.