对费雪效应之谜的解答：来自非线性协整检验的证据-数量经济学专业论文.docxVIP

华中科技大学硕士学位论文 华 中 科 技 大 学 硕 士 学 位 论 文 II II Abstract Fisher effect hypothesis has been always a hot-debated topic. This hypothesis states that the nominal interest rates will follow the change of expected inflation in a one -to-one way, which means the real interest rates will never change during the whole process. That is to say, if this fisher effect holds water, monetary policies will be of neutrality .Previous studies assuming that the fisher relationship is linear fail to find hard evidence for this hypothesis. This is so-called the “fisher effect puzzle”. Recently, many new researches argue that the nominal interest rates and inflation may have a nonlinear long-run relationship which may help us to solve this puzzle. Therefore, in this paper, we will apply a nonlinear co-integration test to the fisher relationship on the basis of these new nonlinear theories. In the first part of this paper, we will detailedly present the significance of such topic and also an introduction for previous studies of fisher effect from all over the world. After that, in the following part, we will show the development of nonlinear co-integration tests where I roughly divide these tests into three categories:1,the residual-based nonlinear co-integration tests.2,the ECM-based nonlinear co-integration tests. 3,the tests for co-integration with nonlinear co-integration vector. Finally, the empirical research of this paper investigates seven OECD countries, using a nonlinear STAR error correction model and test. And we eventually find obvious nonlinear fisher effect in these countries. Key words: fisher effect; nonlinear co-integration; nonlinear adjustment mechanism III III 目录 摘要 I ABSTRACT II HYPERLINK \l _bookmark0 1 绪论 1 HYPERLINK \l _bookmark1 1.1 选题的意义 1 HYPERLINK \l _bookmark2 1.2. 关于费雪效应的文献综述 3 HYPERLINK \l _bookmark3 2 非线性协整模型与检验 7 HYPERLINK \l _bookmark4 2.1 对协整理论的认识 7 HYPERLINK \l _bookmark5 2.2 线性协整模型与检验 8 HYPERLINK \l _bookmark6 2.3 基于残差的非线性协整模型与检验 12 HYPERL