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本文基于2006年10月至2012年10月间1-12个月期限的上海银行间同业拆放利率(SHIBOR)和同期CPI数据,采用时间序列组合回归模型对我国费雪效应进行了实证研究。结果表明:在理性预期前提下,1-6个月的短期期限内,名义利率充分反映了物价水平预期,即我国存在着完全的费雪效应;如果认为公众的物价水平预期是适应性的,则在9-12个月较长期限内,我国同样存在完全的费雪效应,据此提出相关政策建议。
Based on SHIBOR and CPI data of 1-12 months from October 2006 to October 2012, this paper uses the time series combination regression model to test the Fisher effect in China. The results show that within the short-term period of 1-6 months, the nominal interest rate fully reflects the expectation of price level under the rational expectation, that is, there is a complete Fisher effect in our country. If we think the public’s price level is expected to be adaptive, Then within a relatively long period of 9-12 months, there is also a complete Fisher effect in our country, and the relevant policy suggestions are put forward accordingly.