The Fisher effect in the Chinese economy.
Item
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Title
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The Fisher effect in the Chinese economy.
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Identifier
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AAI9417502
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identifier
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9417502
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Creator
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Qian, Fang.
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Contributor
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Adviser: Thom Thurston
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Date
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1994
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Language
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English
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Publisher
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City University of New York.
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Subject
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Economics, Finance
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Abstract
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This dissertation studies the Fisher effect, i.e., the relationships between inflation rates and interest rates, in the Chinese economy.;The simplest model for the Fisher effect is a linear regressive model of the inflation rate regressed on the interest rate. As pointed out by Barsky, however, this linear model tells us the Fisher effect as well as the persistence of inflation. An ARIMA model can be found to describe the persistence of inflation, but a careful study reveals that it actually represents a mixture of the Fisher effect and the persistence of inflation. In other words, the above linear model and ARIMA model can not separate the Fisher effect and the persistence of inflation.;In this dissertation, I propose a new ARIMA model of the inflation rate cross-correlated with the interest rate. This new model has two parts: one is for the Fisher effect and the other is for the persistence of inflation. By applying this model to Chinese data and U.S. data, I discover that these two parts are independent. Therefore the new ARIMA model may be used to separate the Fisher effect and the persistence of inflation. The computation results on Chinese data indicate an apparent short-run Fisher effect. The computation results on U.S. data coincide with the standard theory of the Fisher effect in the U.S. economy and hence confirm the validity of the new model.
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Type
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dissertation
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Source
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PQT Legacy CUNY.xlsx
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degree
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Ph.D.
