威克塞尔效应修正下中国时变费雪效应的检验与分析  

Test and analysis of China’s time-varying Fisher effect under the correction of Wicksell effect

作　　者：张子坪 王沁[1] 董鑫 何婷 ZHANG Ziping;WANG Qin;DONG Xin;HE Ting(College of Mathematics, Southwest Jiaotong University, Chengdu 611756, China)

机构地区：[1]西南交通大学数学学院,成都611756

出　　处：《重庆理工大学学报（自然科学）》2022年第6期274-281,共8页Journal of Chongqing University of Technology：Natural Science

基　　金：教育部人文社会科学研究项目(17YJC790119)。

摘　　要：以1年期贷款利率与居民消费价格指数的变化率作为名义利率与通货膨胀率的代理变量,使用1997年1月—2020年12月的月度数据,运用威克塞尔效应对名义利率与通货膨胀率进行修正,并对修正后的名义利率与通货膨胀率建立随机波动时变参数模型,对我国的费雪效应进行实证检验。实证结果表明:在样本所处的时间段内,威克塞尔效应修正后的名义利率和通货膨胀率之间存在时变的费雪效应,费雪效应系数在0.4038~1.6960,均值为0.9133,表明我国利率市场整体呈现较强的费雪效应。Taking the one-year loan interest rate and the rate of change of the consumer price index as proxy variables of the nominal interest rate and inflation rate,respectively,using monthly data from January 1997 to December 2020,the Wicksell effect is used to revise the nominal interest rate and inflation rate,and a stochastic volatility time-varying parameter model is established for the revised nominal interest rate and inflation rate to conduct an empirical test of the Fisher effect in our country.The empirical results show that:within the time period of the sample,there is a time-varying Fisher effect between the nominal interest rate and the inflation rate after the Wicksell effect revised.The Fisher effect coefficient is between 0.4038~1.6960,and the average value is 0.9133,our country’s interest rate market as a whole shows a strong Fisher effect.

关 键 词：费雪效应 威克塞尔效应 TVP-SV模型 MCMC 

分 类 号：F820[经济管理—财政学]