中国费雪效应的门限协整检验  

Threshold Cointegration Test of Fisher's Effect in China

作　　者：陈海燕[1] 李松臣[2] 

机构地区：[1]天津大学管理学院,天津300072 [2]深圳大学数学与计算科学学院,广东深圳518060

出　　处：《统计与信息论坛》2010年第2期55-59,共5页Journal of Statistics and Information

基　　金：全国统计科学研究计划项目<非参数计量经济模型中的伪回归问题研究>(2008LY089)

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％2；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。Because the Fisher＇s Effect finding is nonconformity, this paper applies threshold eointegration 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 eointegration 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.

关 键 词：单位根检验 门限协整检验 费雪效应 非参数回归 

分 类 号：F224.0[经济管理—国民经济]