【摘要】 由于中国费雪效应的研究结果具有很大的不一致性,结合中国1991年1月至2008年12月之间的数据,应用可以刻画变量间非线性均衡关系的门限协整理论检验费雪效应,研究结果显示:第一,中国的名义利率与通货膨胀率均为单位根过程,二者之间不存在线性协整关系,而是存在两个门限值的门限协整关系;第二,当通货膨胀率小于-0.8%时,中国费雪效应不存在,而当通货膨胀率在-0.8%~12.03%之间时,中国存在值为0.42的部分费雪效应;当通货膨胀率大于12.03%时,中国存在值为0.05的部分费雪效应。更多还原

【Abstract】 Because the Fisher’s Effect finding is non-conformity,this paper applies threshold cointegration theory which describe nonlinear cointegration relationship to test Fisher’s Effect using data from 1991:1 to 2008:12 in China.The conclusions are as follows.Firstly,we find that both the nominal interests rate and inflation rate are nonstationary unit root process,but the linear cointegration relationship is not exist between them.Secondly,threshold cointegration test shows that there is threshold cointegration relationship between the nominal interests rate and inflation rate with two threshold values.Thirdly,when the inflation rate is not larger than-0.8%,the Fisher Effect is not exist;when the inflation rate is in(-0.8%,12.03%),the weak Fisher Effect is exsit with the Fisher coefficient is 0.42;and when the inflation rate is large than 12.03%,the weak Fisher Effect is exist with the Fisher coefficient is 0.05.更多还原