我国货币政策与通货膨胀的非线性机制识别
5167 
314
上海财经大学学报 2012 年 第 14 卷第 03 期, 页码：77 - 83
摘要
参考文献
摘要
本文在对名义利率与通货膨胀的协整检验的基础上,构建门限向量误差修正模型(TVECM),识别名义利率与通货膨胀之间的非线性及非对称调整机制。结果发现,名义利率与通货膨胀的误差修正模型存在门限效应;并且我国名义利率存在非对称调整偏好;在名义利率与通货膨胀的二元系统中,通货膨胀表现出一定程度的"弱外生性"。进而表明现阶段利率政策对于抑制目前的高通胀存在一定的难度,还应该辅以其他的货币政策,必要时可采取行政手段进行价格干预。
[1]刘金全、郭整风、谢卫东.时间序列的分整检验与“费雪效应”机制分析[J].数量经济与技术经济研究.2003(4):59-63.
[2]Balke,N.S.,Fomby,T.B..Threshold cointegration[J].International Economic Review1997(3):627-645.
[3]Baum,C.F.,Barkoulas,J.T.,Caglayan,M..Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era[J].Journal of International Money and Finance.2001(20):379-399.
[4]Bonham,C.S.Correct Cointegration Test of the Long Run Relationship Between Nominal Interest and In-flation[J].Applied Economics.1991(23):1487-1492.
[5]Caner,M.,Hansen,B.E..Threshold Autoregression with a Unit Root[J].Econometrica.2001(6):1555-1596.
[6]Chan,K.S.and Tong,H..On Likelihood Ratio Tests for Threshold Autoregression[J].Journal of the Royal Statistical Society.1990(3):469-476.
[7]Chan,K.S..Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autore-gressive Model[J].The Annals of Statistics.1993(1):520-533.
[8]Cooray,Arusha.The Fisher effect:a review of the literature[M].Macquarie economics research papers,2002.
[9]Enders,W.,Falk,B..Threshold-autoregressive,median-unbiased,and cointegration tests of purchasing power parity[J].International Journal of Forecasting.1998(14):171-186.
[10]Enders,W.,Siklos,E.P..Cointegration and Threshold Adjustment[J].Journal of Business&Economic Statistics.2001(2):166-176.
[11]Engle,Granger.Co-integration and Error Correction:Representation,Estimation,and Testing[J].Econ-ometrica.1987(2):251-276.
[12]Fama,E.F..Short Term Interest Rates as Predictors of Inflation[J].American Economic Review.1975(65):269-282.
[13]Fisher,Irving.The Theory of Interest[M].Macmillan,New York,1930.
[2]Balke,N.S.,Fomby,T.B..Threshold cointegration[J].International Economic Review1997(3):627-645.
[3]Baum,C.F.,Barkoulas,J.T.,Caglayan,M..Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era[J].Journal of International Money and Finance.2001(20):379-399.
[4]Bonham,C.S.Correct Cointegration Test of the Long Run Relationship Between Nominal Interest and In-flation[J].Applied Economics.1991(23):1487-1492.
[5]Caner,M.,Hansen,B.E..Threshold Autoregression with a Unit Root[J].Econometrica.2001(6):1555-1596.
[6]Chan,K.S.and Tong,H..On Likelihood Ratio Tests for Threshold Autoregression[J].Journal of the Royal Statistical Society.1990(3):469-476.
[7]Chan,K.S..Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autore-gressive Model[J].The Annals of Statistics.1993(1):520-533.
[8]Cooray,Arusha.The Fisher effect:a review of the literature[M].Macquarie economics research papers,2002.
[9]Enders,W.,Falk,B..Threshold-autoregressive,median-unbiased,and cointegration tests of purchasing power parity[J].International Journal of Forecasting.1998(14):171-186.
[10]Enders,W.,Siklos,E.P..Cointegration and Threshold Adjustment[J].Journal of Business&Economic Statistics.2001(2):166-176.
[11]Engle,Granger.Co-integration and Error Correction:Representation,Estimation,and Testing[J].Econ-ometrica.1987(2):251-276.
[12]Fama,E.F..Short Term Interest Rates as Predictors of Inflation[J].American Economic Review.1975(65):269-282.
[13]Fisher,Irving.The Theory of Interest[M].Macmillan,New York,1930.
引用本文
张小宇, 刘金全. 我国货币政策与通货膨胀的非线性机制识别[J]. 上海财经大学学报, 2012, 14(3): 77–83.
导出参考文献，格式为：
