中国名义利率和通货膨胀的关系：费雪效应的检验

发布时间：2018-02-01 04:16

本文关键词： 名义利率通货膨胀率费雪效应协整关系单位根检验　出处：《辽宁大学》2012年硕士论文　论文类型：学位论文

【摘要】：名义利率和通货膨胀率是经济运行中的重要经济变量，也是经济研究中的热点之一。费雪效应给出了名义利率和预期通货膨胀之间的关系，得到了经济学界的广泛认同，并且在实际生活中为经济个体所接受。但在实证研究中对于其是否存在或是在多大程度上存在确结论不一，从而形成了费雪效应之谜。但是这又激发了更多的学者继续研究这个问题，从而形成了大量的文献。在现存的文献中，对于西方发达国家的实证研究居多，中国费雪效应的研究则相对比较少。本文试图对中国的费雪效应做一个探究。本文选取了三个时间段，即1992 2001年、2002 2011年以及1992 2011年的季度数据和月度数据分别作了实证研究，由于费雪效应只涉及两个变量，因此在实证中我采用了最常用的E G两步法来做协整检验，接下来做了误差修正模型。最终得到的结论是：第一，在选取的7组变量中，除了2002 2011年间的季度7天同业拆借利率及季度通货膨胀率是平稳序列之外，其余6组变量均是一阶单整序列，这与文献当中提到的名义利率与通货膨胀率是一阶单整序列略有不同。第二，尽管选取了不同的数据，在所有的时间段里均发现了费雪效应的存在，只是这种费雪效应比较弱，在使用季度数据时，，三个时间段的费雪效应系数分别为0.36、0.22、0.45；在使用月度数据的时候，三个时间段的费雪效应系数分别为0.35、0.20、0.41，其中在2002 2011年，选取月度1天同业拆借利率做名义利率的指标时得出的费雪效应系数为0.14。可以看出，尽管中国存在费雪效应，但是这种效应比较弱。第三，1992 2001年间的费雪效应系数比2002 2011年间的费雪效应系数要大得多，这主要是因为在前一时间段里含有1993 1996年这一高通胀和高利率的时间段。第四，使用季度数据和月度数据分别得出的费雪效应系数在三个时间段里的差非常之小，分别为0.01、0.02和0.04，几乎接近于0，可以理解为选取作为名义利率变量的7天同业拆借利率和一年期定期存款利率在市场化上并没有区别，这主要因为银行同业拆借市场交易额相当于中国金融体系的规模仍然偏小。综上所述，本文得到的结论是：中国在1992 2011年间存在弱的费雪效应。
[Abstract]:Nominal interest rate and inflation rate are important economic variables in economic operation and also one of the hot spots in economic research. Fisher effect gives the relationship between nominal interest rate and expected inflation. It has been widely recognized by the economic circles and accepted by economic individuals in real life. However, there are different conclusions on whether or to what extent it exists in the empirical research. Thus the mystery of Fisher effect is formed, but this has inspired more scholars to continue to study this problem, thus forming a large number of literature. In the existing literature, the empirical research for the western developed countries is the majority, the study of the Fisher effect in China is relatively few. This paper attempts to do a study of the Fisher effect in China. In other words, quarterly data and monthly data from 2001 to 2011 and from 2011 to 2011 are studied respectively. Due to Fisher effect, only two variables are involved. Therefore, I use the most commonly used E / G two-step method to do cointegration test, and then do the error correction model. The final conclusion is as follows: first, in the selected seven groups of variables. Except that the quarterly 7 day interbank offered rate and the quarterly inflation rate between 2002 and 2011 are stable, the other six groups of variables are all first-order monolithic sequences. This is slightly different from the fact that nominal interest rates and inflation rates are first-order monolithic sequences mentioned in the literature. Second, although different data were selected, Fisher effect was found in all time periods, but the Fisher effect was weak when using quarterly data. The Fisher effect coefficient of three time periods is 0.36 ~ 0.22 ~ 0.45; When monthly data are used, the Fisher effect coefficient in three time periods is 0.35 0. 20 ~ 0. 41, among which, in 2011. The Fisher effect coefficient is 0.14 when the monthly 1-day interbank offered rate is used as the index of nominal interest rate. It can be seen that although there is Fisher effect in China, this effect is relatively weak. The Fisher effect coefficient between 1992 and 2001 is much larger than that from 2002 to 2011. This was mainly due to the fact that the previous period contained high inflation and high interest rates in 1996. In 4th, the difference of Fisher effect coefficient between three time periods was very small, 0.01V 0.02 and 0.04 respectively, almost close to zero, using quarterly data and monthly data. It can be understood that there is no difference in marketization between 7 days interbank offered rate and one year time deposit rate as nominal interest rate variable. This is mainly due to the fact that the interbank lending market still accounts for the size of China's financial system. To sum up, the conclusion of this paper is that there was a weak Fisher effect in China in 1992 and 2011.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822;F224

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