Interest rates, inflation, and the Fisher effect in China

José Sánchez-Fung

Macroeconomics and Finance in Emerging Market Economies, 2019, vol. 12, issue 2, 124-133

Abstract: The paper estimates the relationship between the nominal Treasuries rate and inflation in China. The dynamic econometric analysis yields a preferred, automatically reduced, empirical model revealing a Fisher effect. But the results are sensitive to using different sub-samples encompassed in the decade-and-a-half period following the disassociation of Treasuries from the People’s Bank of China administered interest rates at the end of the 1990s.

Date: 2019
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DOI: 10.1080/17520843.2019.1592206

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