The Relationship between Interest Rates and Inflation:Examining the Fisher Effect in China

作     者：Serdar Ongan Ismet Gocer Serdar Ongan;Ismet Gocer

作者机构：Department of EconomicsSt.Mary's College of MarylandSt.Mary's CityMD 20686-3001USA Department of EconometricsAdnan Menderes UniversityAydin 09016Turkey 

出 版 物：《Frontiers of Economics in China-Selected Publications from Chinese Universities》 (中国高等学校学术文摘·经济学（英文版）)

年 卷 期：2020年第15卷第2期

页      面：247-256页

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

主　　题：Fisher effect nonlinear autoregressive distributed lag(NARDL)model asymmetric dynamic multipliers China treasury bonds inflation interest rates 

摘      要：This study revisits the Fisher effect using a different empirical method that considers a potential nonlinear relationship between interest rates(treasury bond rates)and inflation in *** rising uncertainty and asymmetric information in financial markets between bond holders and bond issuers suggest such a potential nonlinear *** this aim,we apply Shin et al. s(2014)nonlinear autoregressive distributed lag(NARDL)model with asymmetric dynamic multipliers for the sample period *** empirical findings reveal symmetric and asymmetric partial Fisher effects for all sample bond rates in ***,we find that 20-year bond rates experience the lowest partial Fisher effect.