关键词: 费雪效应, 利率粘性, 傅里叶近似, 门限误差修正模型

Abstract: 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 constant-real-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.

Key words: Fisher effect, interest rate stickiness, Fourier approximation, threshold error correction model