| Through analyzing the theoretical background of Fisher Effect and Fisher’s theory of interest, this paper reveals that Fisher Effect is a kind of effect based on the classical theory of real interest and it requires rapid market clearing and price elasticity. However, the real world can’t satisfy the premise of this theory, for it is not an ideal environment without "friction", it is difficult to apply Fisher’s theory of interest in the short term. At present, the Fisher Effect Test is not appropriate for it simplifies the real interest as a constant intercept term. So, I can’t help trying to combine econometrics of natural rate of interest with the Fisher Effect Test. Based on this idea, this paper constructs measurement equations which includes IS curve, the aggregate supply curve based on the Phillips curve, the Fisher Effect equation;state equations which includes the natural log of potential GDP, short-term natural rate of interest, the expected inflation rate and so on; the measurement equations together with the state equations constitutes the state space model. The estimation results of SSM show that the trends of the short-term natural rate of interest can be divided into two stages. The first stage is from the first quarter of2002to the fourth quarter of2007. During this period, there is a rapid decline and the numerical value of the short-term natural rate of interest decreased from0.08to0.02. The second stage is from the first quarter of2008to the third quarter of2013, the trend is nearly a horizontal line, numerical value is between0.020and0.011, and the mean value is about0.014. From the first quarter of2002to the third quarter of2013, the estimated value of the Fisher coefficient was1.0, so China has fully Fisher Effect. The estimation results between SSM model and ECM model are very different. ECM model supports partial Fisher Effect. Therefore, using short-term natural rate of interest to estimate Fisher Effect may be the key to the mysteries of Fisher Effect. |
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