中国强弱势费雪效应转换机制的动态识别--基于无限状态Markov区制转移误差修正模型  

Dynamic Identification for Mechanism of Transformation in Strong and Weak Fisher Effect of China: Based on the Infinite-State Markov-switching VECM

作　　者：刘洋[1,2] 陈守东[1,2] 吴萍[1,2] 

机构地区：[1]吉林大学数量经济研究中心 [2]吉林大学商学院

出　　处：《经济评论》2018年第2期89-102,160,共15页Economic Review

基　　金：国家社科基金重点项目“新常态下我国系统性区域性金融风险新特征及防范对策研究”(项目编号：16AJY024)的研究成果

摘　　要：本文扩展区制协整模型,研究我国费雪效应的时变性特征。实证结果表明:弱费雪效应在我国长期存在,并在货币政策驱动下,多次转换为强费雪效应。在强弱费雪效应转换期间,存在政策作用与市场效应叠加风险。费雪效应的时变性特征,体现我国货币政策的市场环境已经得到了发展。转换机制的动态过程也说明,虽然名义利率单纯市场化反应通胀预期的能力有限,但是货币政策的滞后性降低、持续性提高,管理通胀预期的水平正在提升。总之,利率市场化改革的阶段性成果显著,名义利率已经可以有效地传导货币政策。但由于利率市场化改革尚未完成,因此名义利率还不能完全实现平滑传导。This study extended the regime-switching cointegration model to investigate the timevarying characteristic of Fisher effect in China. Empirical results show that the weak Fisher effect exists for a long term and has been transferred many times into the strong Fisher effect driven by monetary policy. There is multi-risk for superposition of policy and market effects during the transition between strong and weak Fisher effects. The time-varying characteristic of Fisher effect represents that China＇ s market environment of monetary policy has developed. The dynamic process of the conversion mechanism also shows that although the simple marketization of nominal interest rate alone is limited in reflecting the inflation expectations, the lag of monetary policy is reduced, the sustainability is improved and the ability to manage inflation expectations is enhanced. Overall, the periodical achievement of interest rate market-orient reform is significant and the nominal interest rate is able to effectively conduct monetary policy. But since the reform has not been completed, the nominal interest rate cannot conduct monetary policy smoothly yet.

关 键 词：费雪效应 区制协整 名义利率 通货膨胀 

分 类 号：F822.0[经济管理—财政学]