我国的通货膨胀与名义利率粘性:长期与短期费雪效应
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摘要
弱费雪效应和名义利率粘性是货币政策有效的前提。本文使用傅里叶变换处理实际利率的时变性,扩展协整模型用以考察长期的费雪效应,并建立门限误差修正模型区分长期和短期的费雪效应,刻画名义利率短期的动态调整特征。基于我国1990年1月至2017年12月的月度数据研究发现:(1)我国名义利率和通货膨胀之间存在长期的弱费雪效应;(2)名义利率的短期动态调整特征存在显著的双重门限效应,在名义利率过度高于均衡值时会出现显著而快速的调整,而当名义利率低于均衡值或处于中间机制时,均没有发现显著的调整,即名义利率存在粘性。研究结果表明:当前阶段数量型货币政策在我国依然有效,因而存在综合使用数量型货币政策和价格型货币政策的空间。
Fisher hypothesis postulates that change in inflation would lead to a one-for-one changes in nominal interest rates,leaving the real interest rates stable and constant.Long-term weak Fisher effect and short-term nominal interest rate stickiness can lead to the monetary non-neutrality,which is the foundation of monetary policy.Therefore,it is very important to assess whether there exist Fisher effect and nominal interest rate stickiness in China.By assuming a constant real interest rate,the literature has investigated Fisher effect in the cointegration framework,but has produced mixed results.This inconclusiveness might indicate that the constantreal-interest-rate hypothesis is not suitable,and time-varying and nonlinear features should be considered.Therefore,a Fourier transformation is employed to approximate the time-varying real interest rate in the cointegration framework,and a threshold error correction model is constructed to discriminate between the short-run Fisher effect and the long-run one,and the adjustment dynamics are investigated.Based on the monthly data from 1991 to 2017 in China,our empirical results show that:(1)there is a strong evidence supporting a time-varying real interest rate,and,after considering the time-varying feature in the real interest rate,there is a weak Fisher effect between nominal interest rate and inflation in the long run;(2)there exist two thresholds in the threshold error correction model of nominal interest rate,and a rapid and significant adjustment occurs when the equilibrium deviation exceeds the large threshold,while such a adjustment cannot be observed in other cases.Hence it is concluded that the nominal interest rate is sticky and therefore there exists a relatively large room to implement monetary policy at the current stage.In this paper both theoretical and empirical contributions are made to the analysis of Fisher effect.A cointergation model with time-varying parameters is developed to consider a time-varying real interest rate,and tests are constructed to assess the constant real interest rate hypothesis and choose the optimal frequency in Fourier approximation.Meanwhile,the evidence supporting weak Fisher effect and nominal interest rate stickiness,which implies that the monetary non-neutrality holds in China,is provided.Hence,the quantitative monetary policy tools might be still useful in China,and thus there exists a relatively large room to implement monetary policy at the current stage.
Fisher hypothesis postulates that change in inflation would lead to a one-for-one changes in nominal interest rates,leaving the real interest rates stable and constant.Long-term weak Fisher effect and short-term nominal interest rate stickiness can lead to the monetary non-neutrality,which is the foundation of monetary policy.Therefore,it is very important to assess whether there exist Fisher effect and nominal interest rate stickiness in China.By assuming a constant real interest rate,the literature has investigated Fisher effect in the cointegration framework,but has produced mixed results.This inconclusiveness might indicate that the constantreal-interest-rate hypothesis is not suitable,and time-varying and nonlinear features should be considered.Therefore,a Fourier transformation is employed to approximate the time-varying real interest rate in the cointegration framework,and a threshold error correction model is constructed to discriminate between the short-run Fisher effect and the long-run one,and the adjustment dynamics are investigated.Based on the monthly data from 1991 to 2017 in China,our empirical results show that:(1)there is a strong evidence supporting a time-varying real interest rate,and,after considering the time-varying feature in the real interest rate,there is a weak Fisher effect between nominal interest rate and inflation in the long run;(2)there exist two thresholds in the threshold error correction model of nominal interest rate,and a rapid and significant adjustment occurs when the equilibrium deviation exceeds the large threshold,while such a adjustment cannot be observed in other cases.Hence it is concluded that the nominal interest rate is sticky and therefore there exists a relatively large room to implement monetary policy at the current stage.In this paper both theoretical and empirical contributions are made to the analysis of Fisher effect.A cointergation model with time-varying parameters is developed to consider a time-varying real interest rate,and tests are constructed to assess the constant real interest rate hypothesis and choose the optimal frequency in Fourier approximation.Meanwhile,the evidence supporting weak Fisher effect and nominal interest rate stickiness,which implies that the monetary non-neutrality holds in China,is provided.Hence,the quantitative monetary policy tools might be still useful in China,and thus there exists a relatively large room to implement monetary policy at the current stage.
引文
[1]金中夏,洪浩,李宏瑾.利率市场化对货币政策有效性和经济结构调整的影响[J].经济研究,2013,48(4):69-82.
[2]Fisher I.The theory of interest[M].New York:MacMillan Co.,1930.
[3]Nakamura E,Steinsson J.Monetary non-neutrality in a multisector menu cost model[J].The Quarterly Journal of Economics,2010,125(3):961-1013.
[4]盛天翔,王宇伟,范从来.利率工具、银行决策行为与信贷期限结构[J].中国工业经济,2017,(12):22-39.
[5]Everaert G.A panel analysis of the fisher effect with an unobserved I(1)world real interest rate[J].Economic Modelling,2014,41:198-210.
[6]Kim D H,Lin S C,Hsieh J,et al.The fisher equation:A nonlinear panel data approach[J].Emerging Markets Finance and Trade,2018,54(1):162-180.
[7]Rose A K.Is the real interest rate stable?[J].The Journal of Finance,1988,43(5):1095-1112.
[8]Wallace M S,Warner J T.The Fisher effect and the term structure of interest rates:Tests of cointegration[J].The Review of Economics and Statistics,1993,75(1):320-324.
[9]Million N.Central bank's interventions and the Fisher hypothesis:A threshold cointegration investigation[J].Economic Modelling,2004,21(6):1051-1064.
[10]刘金全,郭整风,谢卫东.时间序列的分整检验与“费雪效应”机制分析[J].数量经济技术经济研究,2003,(4):59-63.
[11]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,(2):24-29.
[12]王少平,陈文静.我国费雪效应的非参数检验[J].统计研究,2008,(3):79-85.
[13]封福育.名义利率与通货膨胀:对我国“费雪效应”的再检验——基于门限回归模型分析[J].数量经济技术经济研究,2009,26(1):89-98.
[14]陈海燕,李松臣.中国费雪效应的门限协整检验[J].统计与信息论坛,2010,25(2):55-59.
[15]Perron P.The great crash,the oil price shock,and the unit root hypothesis[J].Econometrica:Journal of the Econometric Society,1989,57(6):1361-1401.
[16]Yang Lixiong,Lee C,Su J J.Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis[J].Economics Letters,2017,159(8):128-133.
[17]Holston K,Laubach T,Williams J C.Measuring the natural rate of interest:International trends and determinants[J].Journal of International Economics,2017,108:59-75.
[18]Gregory A W,Hansen B E.Practitioners corner:Tests for cointegration in models with regime and trend shifts[J].Oxford Bulletin of Economics and Statistics,1996,58(3):555-560.
[19]Becker R,Enders W,Hurn S.Modeling inflation and money demand using a Fourier-series approximation[J].Contributions to Economic Analysis,2006,276:221-246.
[20]Stiglitz J E,Weiss A.Credit rationing in markets with imperfect information[J].The American Economic Review,1981,71(3):393-410.
[21]De Bondt G,Mojon B,Valla N.Interest rate setting by universal banks and the monetary policy transmission mechanism in the euro area[J].Working Paper,European Central Bank,Frankfurt,2002.
[22]Hansen B E.Threshold effects in non-dynamic panels:Estimation,testing,and inference[J].Journal of Econometrics,1999,93(2):345-368.
[23]曾薇,陈收,周忠宝.金融监管对商业银行产品创新影响——基于两阶段DEA模型的研究[J].中国管理科学,2016,24(5):1-7.
[24]钱雪松,杜立,马文涛.中国货币政策利率传导有效性研究:中介效应和体制内外差异[J].管理世界,2015,(11):11-28+187.
[25]周生宝,王雪标,郭俊芳.我国通胀预期与通胀的动态关联性——基于宏观金融模型的研究[J].中国管理科学,2014,22(11):27-35.
[2]Fisher I.The theory of interest[M].New York:MacMillan Co.,1930.
[3]Nakamura E,Steinsson J.Monetary non-neutrality in a multisector menu cost model[J].The Quarterly Journal of Economics,2010,125(3):961-1013.
[4]盛天翔,王宇伟,范从来.利率工具、银行决策行为与信贷期限结构[J].中国工业经济,2017,(12):22-39.
[5]Everaert G.A panel analysis of the fisher effect with an unobserved I(1)world real interest rate[J].Economic Modelling,2014,41:198-210.
[6]Kim D H,Lin S C,Hsieh J,et al.The fisher equation:A nonlinear panel data approach[J].Emerging Markets Finance and Trade,2018,54(1):162-180.
[7]Rose A K.Is the real interest rate stable?[J].The Journal of Finance,1988,43(5):1095-1112.
[8]Wallace M S,Warner J T.The Fisher effect and the term structure of interest rates:Tests of cointegration[J].The Review of Economics and Statistics,1993,75(1):320-324.
[9]Million N.Central bank's interventions and the Fisher hypothesis:A threshold cointegration investigation[J].Economic Modelling,2004,21(6):1051-1064.
[10]刘金全,郭整风,谢卫东.时间序列的分整检验与“费雪效应”机制分析[J].数量经济技术经济研究,2003,(4):59-63.
[11]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,(2):24-29.
[12]王少平,陈文静.我国费雪效应的非参数检验[J].统计研究,2008,(3):79-85.
[13]封福育.名义利率与通货膨胀:对我国“费雪效应”的再检验——基于门限回归模型分析[J].数量经济技术经济研究,2009,26(1):89-98.
[14]陈海燕,李松臣.中国费雪效应的门限协整检验[J].统计与信息论坛,2010,25(2):55-59.
[15]Perron P.The great crash,the oil price shock,and the unit root hypothesis[J].Econometrica:Journal of the Econometric Society,1989,57(6):1361-1401.
[16]Yang Lixiong,Lee C,Su J J.Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis[J].Economics Letters,2017,159(8):128-133.
[17]Holston K,Laubach T,Williams J C.Measuring the natural rate of interest:International trends and determinants[J].Journal of International Economics,2017,108:59-75.
[18]Gregory A W,Hansen B E.Practitioners corner:Tests for cointegration in models with regime and trend shifts[J].Oxford Bulletin of Economics and Statistics,1996,58(3):555-560.
[19]Becker R,Enders W,Hurn S.Modeling inflation and money demand using a Fourier-series approximation[J].Contributions to Economic Analysis,2006,276:221-246.
[20]Stiglitz J E,Weiss A.Credit rationing in markets with imperfect information[J].The American Economic Review,1981,71(3):393-410.
[21]De Bondt G,Mojon B,Valla N.Interest rate setting by universal banks and the monetary policy transmission mechanism in the euro area[J].Working Paper,European Central Bank,Frankfurt,2002.
[22]Hansen B E.Threshold effects in non-dynamic panels:Estimation,testing,and inference[J].Journal of Econometrics,1999,93(2):345-368.
[23]曾薇,陈收,周忠宝.金融监管对商业银行产品创新影响——基于两阶段DEA模型的研究[J].中国管理科学,2016,24(5):1-7.
[24]钱雪松,杜立,马文涛.中国货币政策利率传导有效性研究:中介效应和体制内外差异[J].管理世界,2015,(11):11-28+187.
[25]周生宝,王雪标,郭俊芳.我国通胀预期与通胀的动态关联性——基于宏观金融模型的研究[J].中国管理科学,2014,22(11):27-35.