本文關(guān)鍵詞： 名義利率 通貨膨脹率 費(fèi)雪效應(yīng) 協(xié)整關(guān)系 單位根檢驗(yàn)　出處：《遼寧大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：名義利率和通貨膨脹率是經(jīng)濟(jì)運(yùn)行中的重要經(jīng)濟(jì)變量，也是經(jīng)濟(jì)研究中的熱點(diǎn)之一。費(fèi)雪效應(yīng)給出了名義利率和預(yù)期通貨膨脹之間的關(guān)系，得到了經(jīng)濟(jì)學(xué)界的廣泛認(rèn)同，并且在實(shí)際生活中為經(jīng)濟(jì)個(gè)體所接受。但在實(shí)證研究中對于其是否存在或是在多大程度上存在確結(jié)論不一，從而形成了費(fèi)雪效應(yīng)之謎。但是這又激發(fā)了更多的學(xué)者繼續(xù)研究這個(gè)問題，從而形成了大量的文獻(xiàn)。 在現(xiàn)存的文獻(xiàn)中，對于西方發(fā)達(dá)國家的實(shí)證研究居多，中國費(fèi)雪效應(yīng)的研究則相對比較少。本文試圖對中國的費(fèi)雪效應(yīng)做一個(gè)探究。本文選取了三個(gè)時(shí)間段，即1992 2001年、2002 2011年以及1992 2011年的季度數(shù)據(jù)和月度數(shù)據(jù)分別作了實(shí)證研究，由于費(fèi)雪效應(yīng)只涉及兩個(gè)變量，因此在實(shí)證中我采用了最常用的E G兩步法來做協(xié)整檢驗(yàn)，接下來做了誤差修正模型。最終得到的結(jié)論是：第一，在選取的7組變量中，除了2002 2011年間的季度7天同業(yè)拆借利率及季度通貨膨脹率是平穩(wěn)序列之外，其余6組變量均是一階單整序列，這與文獻(xiàn)當(dāng)中提到的名義利率與通貨膨脹率是一階單整序列略有不同。 第二，盡管選取了不同的數(shù)據(jù)，在所有的時(shí)間段里均發(fā)現(xiàn)了費(fèi)雪效應(yīng)的存在，只是這種費(fèi)雪效應(yīng)比較弱，在使用季度數(shù)據(jù)時(shí)，，三個(gè)時(shí)間段的費(fèi)雪效應(yīng)系數(shù)分別為0.36、0.22、0.45；在使用月度數(shù)據(jù)的時(shí)候，三個(gè)時(shí)間段的費(fèi)雪效應(yīng)系數(shù)分別為0.35、0.20、0.41，其中在2002 2011年，選取月度1天同業(yè)拆借利率做名義利率的指標(biāo)時(shí)得出的費(fèi)雪效應(yīng)系數(shù)為0.14�？梢钥闯�，盡管中國存在費(fèi)雪效應(yīng)，但是這種效應(yīng)比較弱。 第三，1992 2001年間的費(fèi)雪效應(yīng)系數(shù)比2002 2011年間的費(fèi)雪效應(yīng)系數(shù)要大得多，這主要是因?yàn)樵谇耙粫r(shí)間段里含有1993 1996年這一高通脹和高利率的時(shí)間段。 第四，使用季度數(shù)據(jù)和月度數(shù)據(jù)分別得出的費(fèi)雪效應(yīng)系數(shù)在三個(gè)時(shí)間段里的差非常之小，分別為0.01、0.02和0.04，幾乎接近于0，可以理解為選取作為名義利率變量的7天同業(yè)拆借利率和一年期定期存款利率在市場化上并沒有區(qū)別，這主要因?yàn)殂y行同業(yè)拆借市場交易額相當(dāng)于中國金融體系的規(guī)模仍然偏小。 綜上所述，本文得到的結(jié)論是：中國在1992 2011年間存在弱的費(fèi)雪效應(yīng)。
[Abstract]:Nominal interest rate and inflation rate are important economic variables in economic operation and also one of the hot spots in economic research. Fisher effect gives the relationship between nominal interest rate and expected inflation. It has been widely recognized by the economic circles and accepted by economic individuals in real life. However, there are different conclusions on whether or to what extent it exists in the empirical research. Thus the mystery of Fisher effect is formed, but this has inspired more scholars to continue to study this problem, thus forming a large number of literature. In the existing literature, the empirical research for the western developed countries is the majority, the study of the Fisher effect in China is relatively few. This paper attempts to do a study of the Fisher effect in China. In other words, quarterly data and monthly data from 2001 to 2011 and from 2011 to 2011 are studied respectively. Due to Fisher effect, only two variables are involved. Therefore, I use the most commonly used E / G two-step method to do cointegration test, and then do the error correction model. The final conclusion is as follows: first, in the selected seven groups of variables. Except that the quarterly 7 day interbank offered rate and the quarterly inflation rate between 2002 and 2011 are stable, the other six groups of variables are all first-order monolithic sequences. This is slightly different from the fact that nominal interest rates and inflation rates are first-order monolithic sequences mentioned in the literature. Second, although different data were selected, Fisher effect was found in all time periods, but the Fisher effect was weak when using quarterly data. The Fisher effect coefficient of three time periods is 0.36 ~ 0.22 ~ 0.45; When monthly data are used, the Fisher effect coefficient in three time periods is 0.35 0. 20 ~ 0. 41, among which, in 2011. The Fisher effect coefficient is 0.14 when the monthly 1-day interbank offered rate is used as the index of nominal interest rate. It can be seen that although there is Fisher effect in China, this effect is relatively weak. The Fisher effect coefficient between 1992 and 2001 is much larger than that from 2002 to 2011. This was mainly due to the fact that the previous period contained high inflation and high interest rates in 1996. In 4th, the difference of Fisher effect coefficient between three time periods was very small, 0.01V 0.02 and 0.04 respectively, almost close to zero, using quarterly data and monthly data. It can be understood that there is no difference in marketization between 7 days interbank offered rate and one year time deposit rate as nominal interest rate variable. This is mainly due to the fact that the interbank lending market still accounts for the size of China's financial system. To sum up, the conclusion of this paper is that there was a weak Fisher effect in China in 1992 and 2011.
【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F822;F224

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