非线性协整检验与“费雪效应”机制分析

发布时间：2018-10-30 13:56

【摘要】：本文分别在线性Engle-Granger协整模型和非线性指数平滑迁移自回归误差修正模型(ESTAR-ECM)的框架下,对我国名义利率与通货膨胀率序列进行了长期均衡关系的检验。发现线性协整模型不能捕捉到我国名义利率与通货膨胀率之间的长期均衡关系,而对于ESTAR-ECM模型,无论利用商业银行1年期贷款利率还是7天期银行间同业拆借利率作为名义利率的代理变量,均证实名义利率与通货膨胀率具有长期稳定的均衡关系,表明"费雪效应"在我国是成立的。但由于"费雪效应"系数小于1,表明名义利率与通货膨胀率之间仅存在弱的"费雪效应"。其意义在于,我国利率政策对稳定通胀预期、抑制通货膨胀具有一定的正面效应,但由于利率对通货膨胀反应不足,导致完全依靠利率政策控制目前较高的通货膨胀有一定的困难。
[Abstract]:In this paper, under the framework of linear Engle-Granger cointegration model and nonlinear exponential smooth migration autoregressive error correction model (ESTAR-ECM), we test the long-term equilibrium relationship between nominal interest rate and inflation rate series in China. It is found that the linear cointegration model can not capture the long-term equilibrium relationship between nominal interest rate and inflation rate in China, but for the ESTAR-ECM model, Whether using the one-year loan rate of commercial banks or the 7-day interbank offered rate as the proxy variable of nominal interest rate, it is proved that the nominal interest rate and inflation rate have a long-term and stable equilibrium relationship. It shows that Fisher effect is established in China. However, the "Fisher effect" coefficient is less than 1, indicating that there is only a weak "Fisher effect" between nominal interest rate and inflation rate. The significance is that the interest rate policy in China has a positive effect on stabilizing inflation expectations and curbing inflation, but because interest rates do not respond adequately to inflation, It is difficult to control the current high inflation completely by interest rate policy.
【作者单位】：吉林大学农学部军需科技学院;吉林大学数量经济研究中心;
【基金】：国家社会科学基金重大项目“‘十二五’期间我国经济周期波动态势与宏观经济调控模式研究”(10zd&006) 国家自然科学基金项目“非线性随机波动模型估计方法及应用研究”(70971055)资助
【分类号】：F822.0;F224

【共引文献】