时间序列的分整检验与“费雪效应”机制分析ahref=1a

*130012(Walsh1998)(FisherEffectFisher1936)MacdonaldMurphy(1988)GrangerMishkin(1992))(),(),(111tEtjrEtjREtttπ−−−+=tj),(tjR),(tjr)(tπt)(⋅1−tE)1(−trtEtjREtt=−−−)(),(11πrtttEjtRεπβµ++=−)(),(120034*(02BJY019)(02JAZJD790007)1µβtεtttEtµππ+=−)()(1tttRηπβµ++=tttεµη+=β01ˆ=β1ˆβ(Mills1999)()R1999GDPGDPttπ-50510152025309091929394959697989900011Dicky-FullerPP(Phllips-PerronMills1999)11%(*)()I(1)tRtπ1ADFPPtR-0.99*-0.84*-2.58tπ-1.23*-1.82*-2.58(fractionalintegration)(GewekeandPoter1983)ADFPP(Mills1999){ARIMA(p,d,q)(L}tYµ)2ttdLYLLεµ)()()1)((Θ=−−ΦppLLLΦ−−Φ−=ΦL)(1)(1qqLLLθθ+++=ΘK11)(01d1=d0=d0d1ddARFIMA(),,(fdp),,fdpttduLYLL)()()1)((Θ=−−Φµu(t),0(2σNdL)1−∑∞=+Γ−Γ−Γ=−0)1()()()1(kkdLkddkLΓARFIMA()(x),,fdp5.00dk12)(−≈dkkρ0121−−d01−k15.dARFIMA(),,fdp1dGewekePoter(1983)djjjdcIηωω+−=)2/(sin4lnˆ)](ln[2nj,,1L=Tjj/2πω=1,,1−=TjLTTgn=)()(jIωYjω21|)(|21)(∑=−=TttitYYeTIωπωnT)(Tgn=tη2σ2(t-)101d212=n16=n20=ntR-1.06(-6.69)1.02(-8.37)1.06(-10.4)tπ-1.83(-9.68)-1.72(-8.63)-1.41(-6.93)Johansen(Johansen1988)()3Johansen1%tRtπ3Johansen0.11117.5424.600.0060.93412.973Geweke,J.andPoter,H,S.,Theestimationandapplicationoflongmemorytimeseriesmodels,JournalofTimeSeriesAnalysis,1983,4,221~238.Mishkin,F.S.,Isthefishereffectforreal?Aexaminationoftherelationshipbetweeninflationandtheinterests?JournalofMonetaryEconomics,1992,30,195~215.Mcculloch,RandMurphy,P.,Testingforthelong-runrelationshipsbetweennominalinterestratesandinflationusingcointegrationtechniques,AppliedEconomics,1989,21,439~447.Walsh,C.E.,MonetaryTheoryandPolicy,CM:MITPress,1998.Mills,T.C.,TheEconometricModellingofFinancialTimeSeries,secondedition,Cambridge:CambridgeUniversityPress,1999.Johansen,S.,Statisticalanalysisofcointegrationvector,JournalofEconomicDynamicsandControl,1988,12,231~54.PositiveAnalysisofFisherEffectsbetweenNominalInterestsandInflationLiuJinquanGuoZhengfengXieWeidong4