对费雪效应之谜的解答：来自非线性协整检验的证据

发布时间：2018-01-20 15:43

本文关键词： 费雪效应非线性协整非线性调整机制　出处：《华中科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：费雪效应假说一直是宏观经济理论研究十分关注的一个话题。该假说表明名义利率会跟随预期通货膨胀率的变化而一对一的变化，真实利率在这个过程中并不受到任何影响。这样子的话，费雪效应的成立就以为着货币政策的中性。之前很多对于该假说的研究假设这种“费雪关系”呈现为线性特征，且并没有对其成立提供有力的证据。这就有了所谓的“费雪效应之谜（fisher effect puzzle）”。最近，很多理论和实证研究表明，费雪关系可能是一种非线性的关系。这也许就给解决这个谜题带来的新的机会。因此，本文就在这些理论和研究的基础上运用非线性协整检验来考察名义利率和预期通货膨胀率的非线性关系是否成立。本文的第一部分，将会详细谈到该论文选题的意义以及目前国内外对费雪效应研究的文献综述。在本文的第二部分详细介绍非线性协整的研究进展。在那里，我们把非线性协整的模型大致分为了三个方向：第一个方向是基于残差进行的非线性协整检验。第二个方向是基于误差修正模型（ECM）的非线性协整检验。第三个方向是协整关系存在非线性的模型与检验。最后，本文的实证部分考察了了七个OECD国家的数据。同时，依据央行政策实施的特点，我们运用Kapetanios等（2006）提出的非线性STAR误差修正模型与检验对着七国数据做了考查，，得出这些国家均存在明显的非线性费雪效应。
[Abstract]:Fisher effect hypothesis has been a topic of great concern in macroeconomic theory research. It shows that nominal interest rate will follow the expected inflation rate and change one-to-one. Real interest rates are not affected in the process. The Fisher effect is supposed to be neutral in monetary policy. Many previous studies on the hypothesis assume that the Fisher relationship is linear. And there is no strong evidence for its establishment. This leads to the so-called "Fisher effect puzzle". Recently, a number of theoretical and empirical studies have shown that. The Fisher relationship may be a nonlinear relationship. This may offer a new opportunity to solve this puzzle. In this paper, the nonlinear cointegration test is used to investigate whether the nonlinear relationship between nominal interest rate and expected inflation rate is valid on the basis of these theories and studies. In the first part of this paper, the significance of the topic and the literature review of Fisher effect at home and abroad are discussed in detail. In the second part of this paper, the research progress of nonlinear cointegration is introduced in detail. We divide the nonlinear cointegration model into three directions: the first is the nonlinear cointegration test based on residual error, and the second is based on the error correction model (ECM). The third direction is the model and test for the existence of nonlinearity in cointegration relations. Finally, the empirical part of this paper examines the data of seven OECD countries. At the same time, according to the characteristics of central bank policy implementation. We use the nonlinear STAR error correction model and test proposed by Kapetanios et al. 2006 to examine the data of seven countries. It is concluded that these countries have obvious nonlinear Fisher effect.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F821

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