Please wait a minute...
Frontiers of Economics in China

ISSN 1673-3444

ISSN 1673-3568(Online)

CN 11-5744/F

Postal Subscription Code 80-978

Front. Econ. China    2020, Vol. 15 Issue (2) : 247-256    https://doi.org/10.3868/s060-011-020-0011-6
Orginal Article
The Relationship between Interest Rates and Inflation: Examining the Fisher Effect in China
Serdar Ongan1(), Ismet Gocer2()
1. Department of Economics, St. Mary's College of Maryland, St. Mary's City, MD 20686-3001, USA
2. Department of Econometrics, Adnan Menderes University, Aydin 09016, Turkey
 Download: PDF(315 KB)  
 Export: BibTeX | EndNote | Reference Manager | ProCite | RefWorks
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.

Keywords Fisher effect      nonlinear autoregressive distributed lag (NARDL) model      asymmetric dynamic multipliers      China      treasury bonds      inflation      interest rates     
Issue Date: 10 July 2020
 Cite this article:   
Serdar Ongan,Ismet Gocer. The Relationship between Interest Rates and Inflation: Examining the Fisher Effect in China[J]. Front. Econ. China, 2020, 15(2): 247-256.
 URL:  
https://academic.hep.com.cn/fec/EN/10.3868/s060-011-020-0011-6
https://academic.hep.com.cn/fec/EN/Y2020/V15/I2/247
[1] Yuqing Xing. How the iPhone Widens the U.S. Trade Deficit with China: The Case of the iPhone X[J]. Front. Econ. China, 2020, 15(4): 642-658.
[2] Yi Che, Weiqiang Liu, Yan Zhang, Lin Zhao. China’s Exports during the Global COVID-19 Pandemic[J]. Front. Econ. China, 2020, 15(4): 541-574.
[3] Xiaobo He, Fang Xiao. Unintended Consequences of Lockdowns: Evidence from Domestic Helpers in Urban China[J]. Front. Econ. China, 2020, 15(4): 521-540.
[4] Tunye Qiu, Yuqi Chu. Age Patterns of China's Repeat Migration[J]. Front. Econ. China, 2020, 15(3): 433-471.
[5] Jiadong Tong, Ziliang Yu, Jiayun Xu, Meng Tong. The Belt and Road Initiative and China's Export: A Soft Power Perspective[J]. Front. Econ. China, 2020, 15(3): 313-354.
[6] Yufei Liu, Xi Qu, Wei Wang, Xiaokun Chang. Does Population Aging Hinder the Accumulation of Human Capital? Evidence from China[J]. Front. Econ. China, 2020, 15(2): 257-281.
[7] Xin Jin. A Bayesian Nonparametric Investigation of the Predictive Effect of Exchange Rates on Commodity Prices[J]. Front. Econ. China, 2020, 15(2): 179-210.
[8] Xiaoheng Zhang, Xu Tian. Firm-Level TFP Growth in the Chinese Automobile Industry[J]. Front. Econ. China, 2020, 15(1): 103-123.
[9] Yi Che, Zuojun Fan, Yan Zhang. The Effect of Land Reallocation on Off-Farm Employments in Rural China[J]. Front. Econ. China, 2019, 14(3): 401-427.
[10] Leo H. Chan, Maritza Sotomayor, Donald Lien. Impacts of the Contributions of FDI and Remittances on the Economic Growth in Asia and Latin America: A Comparative Study[J]. Front. Econ. China, 2019, 14(3): 371-400.
[11] Yunpeng Sun, Jingjia Zhang. Effectiveness of Monetary Policy in China: Evidence from Factor-Augmented Vector Autoregression Model[J]. Front. Econ. China, 2019, 14(3): 336-370.
[12] Dani Rodrik. Where Are We in the Economics of Industrial Policies?[J]. Front. Econ. China, 2019, 14(3): 329-335.
[13] Nidhi Bagaria, Saba Ismail. Export Performance of China: A Constant Market Share Analysis[J]. Front. Econ. China, 2019, 14(1): 110-130.
[14] Xianchun Xu. The Slowdown of China’s Economic Growth in Terms of Statistics[J]. Front. Econ. China, 2019, 14(1): 72-79.
[15] Justin Yifu Lin. China’s Growth Deceleration: Causes and Future Growth Prospect[J]. Front. Econ. China, 2019, 14(1): 26-52.
Viewed
Full text


Abstract

Cited

  Shared   
  Discussed