Interest rates,inflation, and the Fisher effect in China |
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Authors: | José R. Sánchez-Fung |
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Affiliation: | Economics-Business School, University of Nottingham, Ningbo, China |
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Abstract: | The paper estimates the relationship between the nominal Treasuries rate and inflation in China. The dynamic econometric analysis yields a preferred, automatically reduced, empirical model revealing a Fisher effect. But the results are sensitive to using different sub-samples encompassed in the decade-and-a-half period following the disassociation of Treasuries from the People’s Bank of China administered interest rates at the end of the 1990s. |
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Keywords: | Fisher effect inflation nominal interest rate dynamic econometric modelling China |
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