• 论文 •

### 非线性协整检验与“费雪效应”机制分析

• 出版日期:2012-05-15 发布日期:2012-05-03

### Nonlinear Cointegration Test and the Fisher Effect

Zhang Xiaoyu & Liu Jinquan

• Online:2012-05-15 Published:2012-05-03

Abstract: In this paper, we test the long-term equilibrium relationship of nominal interest rate and inflation by the linear Engle-Granger cointegration and exponential smoothing transition autoregression error correction model (ESTAR-ECM). We do not find cointegtation relationship by the linear cointegration model, but we find strong evidence that the two variables have long-term equilibrium relationship by ESTAR-ECM, regardless of 1-year lending rate, or 7-day interbank interest rate as the nominal interest rate’s proxy variables. However, there exists partial Fisher effect because Fisher effect coefficient is less than 1. So it is difficult that completely relying on interest rate policy to control the current high inflation because of insufficient response of interest rate to inflation, although interest rate policy can stabilize inflation expectations and control inflation to some extent.