人民币有效汇率指数与股票指数的实证研究

文章构建沪深两市A股指数(IS)、人民币有效汇率指数(NE)、调整的国内生产总值(GDP/CPI)和狭义货币供应量(M1)多因素模型,运用协整分析实证框架。首先进行单位根平稳性检验保证序列同阶单整后建立的LS协整关系;之后利用EG两步法,对残差检查平稳度,运用误差修正ECM模型修正协整关系;接着利用脉冲响应函数方法和方差分解阐明汇市是影响股市的重要因素;最后利用EGARCH说明中国股市波动效应的非对称性。实证研究结果分析表明:中国股票市场受汇率影响很大,表明国际化程度提升;并且股市的不对称对政府宏观调控经济的手段及能力提出较高要求。     

中国经济费雪效应的实证研究:1987-2007——基于多个国家和地区的面板数据分析

文章利用1987-2007年中国和日本等10个国家的通货膨胀率和利率数据,分别使用相应的检验方法对这些数据进行面板单位根和面板协整检验,得出中国存在部分费雪效应的结论.然后使用FMOLS和DOLS分别时中国费雪方程进行估计,进一步证实:中国在样本期内不存在完全费雪效应,而只有部分费雪效应,且费雪效应大小大约在0.5-0.7之间.     

应计利润分离模型的效力检验——基于中国资本市场的实证研究

应计利润分离法是盈余管理研究中常用的方法,本文使用2006年新准则颁布后的中国资本市场数据,对研究中常用的四种应计利润分离模型进行了效力检验。这四种模型分别是基本Jones模型、修正Jones模型、业绩匹配Jones模型和非线性Jones模型。研究发现:无论是综合样本估计还是分行业样本估计,四种模型的拟合性都较好,但业绩匹配Jones模型和非线性Jones模型的表现更为突出;分年度、分行业样本估计的效果要优于综合样本估计;操控性应计利润的盈余持续性检验结果说明四种被检验模型都能有效地揭示盈余管理;二项检验结果显示,基本Jones模型、业绩匹配Jones模型和非线性Jones模型犯第一类错误的频率较高,容易夸大盈余管理。综合比较而言,在中国资本市场上,修正Jones模型设定较优。     

城市化、FDI与经济增长间关系的实证分析——以北京市为例

利用1987—2011年北京的时间序列数据,采用单位根检验、协整检验、误差修正模型、Granger因果关系检验和脉冲函数分析等方法和模型,对城市化、FDI与经济增长三者间的长期和短期关系进行了检验和分析。结果表明:城市化与经济增长互为Granger因果关系;城市化与FDI也互为Granger因果关系;经济增长是FDI的Granger原因,但FDI不是经济增长的Granger原因的概率高达31.8%。     

R&D公共投资与自主创新能力的协整分析——以吉林省为例

运用时间序列的非结构方程动态均衡分析方法,对吉林省1992-2005年R&D公共投资与自主创新能力的数据变量进行平稳性检验、协整分析及因果关系检验。建立了二者之间基于VAR的误差修正模型,揭示了吉林省自主创新能力与R&D公共投资的动态均衡关系,并提出进一步提高自主创新能力的对策建议。     

基于协整理论的中国宏观消费函数分析

本文采用 1978———2002年间的宏观消费与收入数据,运用协整理论,对中国宏观消费函数的实证分析。分别对数据进行了单整和协整检验,在检验的基础上建立了中国宏观消费与收入的误差修正模型和长期均衡关系。分析结果表明:全样本时间段内,消费与收入均为三阶单整序列,但不存在协整关系;以 1991年为界将全部样本分为两段后检验发现,该两个时间段内的消费与收入均存在协整关系。从而,中国宏观消费与收入的误差修正模型和长期均衡关系都存在。     

金融发展与储蓄增长的关联机制研究

依据生命周期假说,将金融发展变量引入储蓄模型中,定量分析金融发展、收入水平、人口结构对居民储蓄增长的影响作用。选取2001~2016年季度时间序列数据,通过构造ARDL边限检验解释说明各变量间长期协整关系,并使用动态最小二乘法(DOLS)对人均居民储蓄方程的长期系数进行估计,通过构造误差修正模型说明金融发展的短期影响机制。实证结果表明,从长期看金融发展对人均居民储蓄存在显著的促进作用,其波动在短期内给居民储蓄波动带来正向影响。     

基于时间序列的上证综合指数分析及预测

近年来,随着我国金融体系越发完善,机遇与风险并存,金融市场的潜在危机也日益显现,所以对股价的合理预测变得更为重要。鉴于此,选取时间序列作为模型,使用R语言作为实现的软件,先对序列进行平稳性检验和白噪声检验,计算出不同的模型的AIC值,最终选择ARIMA(2,2,0)作为报告使用模型,用时间序列回归来对上证综指进行拟合预测。     

伪回归和误差修正模型的实证分析

一、问题的提出 在金融数据分析和计量经济学中,经常会使用时间序列数据,特别是在线性回归模型中,即使yt=x_tβ μ_t(t=1,2,A,T)解释变量和被解释变量有一定的相关关系,但是往往会出现令人意外的结果,比如说,t检验和F检验都通过,且参数具有明显的经     

金融危机前后“费雪关系”的分阶段检验与货币政策启示

随着目前通货膨胀预期的加剧,名义利率再次成为抑制通货膨胀的重要工具,因此需要我们对我国经济发展不同阶段的费雪关系给出进一步的分析和检验。通过名义利率和通货膨胀率之间的协整关系检验,发现金融危机发生后的费雪关系进一步弱化,因此需要考虑名义利率对通货膨胀预期调控的有效性,并注重货币总量管理来保持价格水平的稳定性。     

Trend breaks and the fisher hypothesis in canada and the United States

Using the sequential estimation methodology developed by Banerjee, Lumsdaine and Stock (Journal of Business and Economic Statistics, 10(3), 271–87, 1992), Zivot and Andrews (Journal of Business and Economic Statistics, 10(3), 251–70, 1992) and extended by Lumsdaine and Papell (Review of Economics and Statistics, 79(2), 212–18, 1997), empirical evidence is found consistent with the hypothesis that the 90-day Treasury Bill rate and the inflation rate in Canada and the US are stationary around a deterministic trend with two breaks. When the breaks are filtered out, the data is consistent with partial long-run adjustment of the nominal interest rate to an inflation shock, but not of the size predicted by the Fisher Effect.     

The Fisher effect: new evidence and implications

Using monthly data in the 1980s and early 1990s, our results do not support the short-run Fisher effect since short-term interest rates are associated with negligible changes in expected inflation. However, inflation and nominal interest rates exhibit common stochastic trends in the long run. Consequently, the correlation between nominal interest rates and inflation rates increases with maturity until they move in a one-to-one relation at long horizon. This is evident by the correlation coefficients of the Johansen test for cointegration that increase with the maturity of US government securities from 2 to 5 years.     

The effects of inflation uncertainty on interest rates: a nonlinear approach

In this article, we investigate the effects of inflation variability on short-term interest rates within a nonlinear smooth transition regression framework. The test results suggest that only the conditional mean of the inflation is a nonlinear process whereas the conditional variance is time variant but linear. Using the square root of conditional variance as a proxy for inflation risk, we estimate Fisher equation augmented with inflation risk. Although the estimated Fisher equations suggest that inflation risk reduces short-term interest rates, we find that the effects of inflation risk on interest rates are regime-dependent. Particularly, we find that the negative effects of inflation variability on nominal rates are greater in low-inflationary regimes when compared to high-inflationary regimes. On the other hand, it is found that both inflation and inflation uncertainty raise the expected inflation effect.     

An examination of the Fisher Hypothesis: the case of Turkey

This study examines the famous Fisher Hypothesis (FH) for Turkey. FH asserts that nominal interest rates adjust on a one-to-one basis to expected changes in inflation rates. Using the Johansen cointegration method for the Turkish monthly interest rate and inflation rate data, we find that it is possible to determine the long-run relationship—but not the one-to-one basis—between nominal interest rates and inflation. Our findings suggest that full FH does not hold but there is a very powerfull Fisher effect in the case of Turkey from 1990 to 2003.     

Monetary deregulation and inverting the inverted fisher effect

We find evidence that deregulation allowing interest payments on checkable deposits decreased (increased) the sensitivity of the real (nominal) rate of interest to expected inflation. Our results provide further confirmation of the Inverted Fisher Effect.     

Fisher’s Effect: An Empirical Examination Using India’s Time Series Data

The study examines the Fisher’s hypothesis using India’s macroeconomic data with main objective of ascertaining the empirical relationship between nominal interest rate and expected inflation. The study collected monthly time series data on interest rate (lending rate) and CPI growth rate (inflation) from Reserve Bank of India’s database spanning from 1990M01 to 2015M03. To achieve the objective, the study first examined the univariate stochastic properties of the series using test that assumed the presence of structural: Zivot and Andrews (J Bus Econ Stat 10(3):251–270, 1992) and Perron (J Econ 80:355–385, 1997) on one hand and those that assumed no break: Elliot et al. (Econometrica 64:813–836, 1996) and Kwiatkowski et al. (J Econom 54:159–178, 1992) on the other hand. The result for the univariate stochastic properties revealed that inflation is level stationary whereas lending rate is differenced stationary. This finding is consistent with the two tests considered as mentioned above. To examined the Fisher’s effect, given the result of the univariate stochastic properties, the study checked the multivariate counterpart using test that assumed break; Gregory and Hensen (J Econom 70:99–126, 1996) and the one that assumed no break; Pesaran et al. (J Appl Econom 16:289–326, 2001). The result reveals the absence of long run equilibrium between nominal interest rate and inflation for the full and sub-samples which is against Fisher’s proposition. This finding can be attributed to the following reasons: firstly, the conduct of monetary policy by RBI is passive; that is, the policy rate response less than proportionate to change in inflation. Secondly, the presence of distortion in the interest rate pass-through channel makes the sign, speed and magnitude of monetary policy uncertain and finally, the dominant of informal financial sector in India that makes short term policy rate ineffective monetary policy instrument. Therefore the study concludes that the conduct of monetary policy is responsible for the rejection of Fisher’s hypothesis in India.

     

On some neglected implications of the Fisher effect

Following the lead of Fama [American Economic Review 65 (1975) 269–282] and of other influential articles, such as Mishkin [Journal of Monetary Economics 30 (1992) 195–215], it has become standard to interpret the Fisher effect as the ability of short-term interest rate to predict future inflation. However, in this article we demonstrate that by restricting to zero the instantaneous response of expected inflation to an interest rate shock, one can identify a disturbance that economic agents, according to the Fisherian framework, should evaluate as transitory. An important implication of this result is that short-term nominal interest rates cannot be interpreted as predictors, at least not long-run predictors, of inflation. We illustrate this result with an empirical application to US postwar data.     

A note on the specification of the fisher equation under inflation uncertainty

The effect of uncertainty on the relationship between the nominal interest rate and the expected rate of inflation, the Fisher equation, is examined both theoretically and empirically. It is found that the coefficient of the expected rate of inflation is significantly below unity. Variable rates of inflation tend to effect the nominal rate of interest positively, but real yields are apparently effected only by expected inflation, but not its variance.     

The Fisher hypothesis: a multi-country analysis

This paper tests whether the Fisher hypothesis holds for a sample of 26 countries by assessing the long run relationship between nominal interest rates and inflation rates taking into consideration the short run dynamics of interest rates. The empirical evidence supports the hypothesis that there is a one-to-one relationship between the interest rate and inflation for more than half of the countries under study.     

Are US macroeconomic series difference stationary or trend-break stationary?

This article tests for the presence of a unit-root in all time series included in the extended Nelson–Plosser data set using the statistics devised by Zivot and Andrews, Perron and Murray and Zivot. It specifies the mixed model characterization of the trend-break stationary alternative that allows for a simultaneous break in both the intercept and slope of the trend-function. It rejects the unit-root null hypothesis for real GNP, nominal GNP, real per capita GNP, industrial production, employment, GNP deflator, nominal wages, interest rate and common stock prices. Use of appropriate critical values to assess the significance of the trend-function coefficients reveals that the slope-break should be included in real GNP, nominal GNP, real per capita GNP, nominal wages, interest rate and common stock prices. The results indicate that there is less evidence against the unit-root hypothesis with the extended Nelson–Plosser data compared to the original Nelson–Plosser data.