The Threshold Effect And Time-varying Characteristics Of The Influence Of Our Country’s Economic Growth On Fisher Effect

With the globalization of the economy,our country’s interest rate control has been gradually opened,and the relationship between nominal interest rate and inflation rate has become the core issue of the interest rate market.The Fisher effect means that changes in nominal interest rates can reflect changes in inflation expectations.It is a key indicator to measure the relationship between nominal interest rates and inflation rates,and is a good predictor of expected inflation.To study whether there is Fisher effect between nominal interest rate and inflation rate not only has important theoretical value,but also has important practical significance.Interest rates are not only affected by inflation,but also by macroeconomic fluctuations,which makes the interaction between nominal interest rates and inflation rates nonlinear,asymmetric,and changing over time.The Fisher equation should be thresholded or time-varying.Therefore,this paper selects the indicators reflecting economic growth in eight industry fields,and uses the principal component analysis method to reduce the dimensionality to obtain comprehensive indicators of economic growth.The Fisher effect is used to test the threshold effect and time-varying characteristics,and the following main conclusions are obtained:1.Economic growth has an impact on the Fisher effect.Under the threshold model and the time-varying model,the Fisher effect results of the Fisher equation with the integrated economic growth indicators are obviously larger than the original Fisher equation.It shows that economic growth is one of the reasons why the Fisher effect theory is inconsistent with the actual results.And under both models,economic growth has a significant negative impact on nominal interest rates.2.Due to the endogeneity of Fisher effect and Wicksell effect,this paper uses Wicksell effect to correct interest rate and inflation rate,and further establishes threshold model and time-varying model for the revised data.The empirical results show that the addition of the comprehensive indicators of economic growth and the correction of the Wicksell effect can well solve the Fisher effect paradox.The interest rate and inflation rate were revised by the Wicksell effect,and the revised threshold model and the time-varying parameter stochastic fluctuation model were established.It was found that under the two models,the revised Fisher effect was closer to 1 than before the revision.Explain that the Wicksell effect is an important cause of the Fisher puzzle.3.The Fisher effect of our country’s interest rate market has obvious time-varying volatility.Under the time-varying model,the Fisher effect after the correction of the Wicksell effect is much larger than that before the correction.And in the comparison between the threshold model and the time-varying model,the mean value of the Fisher effect under the time-varying model is 0.9123,which is closer to 1 than that under the threshold model,indicating that the time-varying model is a more suitable model for studying the Fisher effect of our country’s interest rate market.