关键词: 费雪效应, 非参数单位根检验, 非参数协整检验, 变窗宽局部线性估计

Abstract:

Based on the nonlinear change characteristics of the nominal interest rate and inflation rate in China，this paper tests Fisher Effect by nonparametric unit roots and nonparametric cointegration test. Moreover, we estimate the Fisher effect coefficients by nonparametric local linear estimation with variant bandwidth(LLEVB). The conclusion are as follows: Firstly，we find that both the nominal interests rate and inflation rate are nonstationary unit roots process by nonparametric unit roots test. Secondly, nonparametric cointegration test concludes that there is an unknown nonlinear cointegration relation between the nominal interest rate and inflation rate which implies there exists weak Fisher Effect. Thirdly, the averaged Fisher Coefficient is 0.4055 by LLVEB, this result shows that there exists weak Fisher Effect once again. The potential meaning of the conclusions is that Chinese monetary policy should change to mainly implement the tool of interest rate.

Key words: Fisher Effect, Nonparametric unit roots test, Nonparametric cointegration test