利率与通货膨胀:一个费雪效应的经验分析
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财经研究 2003 年 第 29 卷第 02 期, 页码：24 - 29
摘要
参考文献
摘要
本文应用现代时间序列计量经济学技术,结合中国1979-2000年间的有关数据,进行了费雪效应在中国的实证研究。经验证据表明在这一时期同时存在长期和短期费雪效应。这样,无论在长期还是短期,名义利率的变化主要反映预期通胀而不是实际利率的变化,所以必须慎用名义利率作为货币政策松紧程度的指标。这在政策上可理解为政府为控制通胀而调整利率的一种规则,从而本文的分析对未来利率调整幅度的具体确定与计算有潜在的应用价值。
①工具变量集为:△πt-1、△πt-2、△πt-3、△πt-4、△it-1、△it-2、△it-3、△it-4。
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[2]夏斌,廖强.货币供应量已不宜作为当前我国货币政策的中介目标[J].经济研究,2001,(8).
[3]谢平,罗雄.泰勒规则及其在中国货币政策中的检验[J].经济研究,2002,(3).
[4]Bewley,R.A..(1975),TheDirectEstimationoftheEquilibriumResponseinaLinearDynamicModel[J].EconomicsLetters,3,357-361.
[5]Caporale,G.M.andPittis,N..(2000),EstimatorChoiceandFisher'sParadox:AReevaluationoftheEvidence.[EB/OL]:http://www.sbu.ac.uk/cemfe/papers.shtmal.
[6]Crowder,W,J.andHoffman,D..(1996),TheLong runRelationshipbetweenNominalInterestRatesandInflation:TheFisherEquationRevisited[J].JournalofMoney,28,1,102-118.
[7]Darby,M..(1975),FinancialandTaxEffectsofMonetaryPolicyonInterestRates[J].EconomicInquiry,13,266-269.
[8]Engle,R.F.andGranger,C..(1987),CointegrationandErrorCorrection:Representation,EstimationandTesting[J].Econometrica,55,251-276.
[9]Evans,M.andLewis,K..(1995),DoExpectedShiftsinInflationAffectEstimatesoftheLong runFisherRelation?[J].JournalofFinance,50,225-253.
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[11]Fisher,I..(1930),TheTheoryofInterest[M].NewYork,MacMillan.
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[13]Mishkin,F..(1992),IstheFisherEffectforReal?[J].JournalofMonetaryEconomics,30,195-215.
[14]Mishkin,F.,Simon,J..(1995),AnEmpiricalExaminationoftheFisherEffectinAustralia[J].EconomicRecord,71,227-239.
[15]Obstfeld,M.,Cumby,R.andHuizinga,J..(1981),Two—Step,Two—StageLeastSquaresEstimationinModelswithRationalExpectations[EB/OL].http://www.nber.org/papers/tooll.
[16]Wallace,M.R.andWarner,J.T..(1993),TheFisherEffectandtheTermStructureofInterestRates:TestofCointegration[J].ReviewofEconomicsandStatistics,75,No.2,320-324.
引用本文
刘康兵, 申朴, 李达. 利率与通货膨胀:一个费雪效应的经验分析[J]. 财经研究, 2003, 29(2): 24–29.
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