We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
The Relationship between Interest Rates and Inflation: Examining the Fisher Effect in China.
- Authors
Ongan, Serdar; Gocer, Ismet
- Abstract
This study revisits the Fisher effect using a different empirical method that considers a potential nonlinear relationship between interest rates (treasury bond rates) and inflation in China. The rising uncertainty and asymmetric information in financial markets between bond holders and bond issuers suggest such a potential nonlinear relationship. To this aim, we apply Shin et al.'s (2014) nonlinear autoregressive distributed lag (NARDL) model with asymmetric dynamic multipliers for the sample period 2002M7-2018M4. The empirical findings reveal symmetric and asymmetric partial Fisher effects for all sample bond rates in China. Furthermore, we find that 20-year bond rates experience the lowest partial Fisher effect.
- Publication
Frontiers of Economics in China, 2020, Vol 15, Issue 2, p247
- ISSN
1673-3444
- Publication type
Academic Journal
- DOI
10.3868/s060-011-020-0011-6