Nonlinear dynamics of interest rate and inflation
提出一种新的非线性双变量混合自回归模型，分析美国1953-2004年季度数据，发现名义利率与通胀共享一个非线性成分，支持长期中两者一对一变动，实际利率平稳。
Abstract According to several empirical studies US inflation and nominal interest rates as well as the real interest rate can be described as unit root processes. These results imply that nominal interest rates and expected inflation do not move one‐for‐one in the long run, which is incongruent with theoretical models. In this paper we introduce a new nonlinear bivariate mixture autoregressive model that seems to fit quarterly US data (1953 : II–2004 : IV) reasonably well. It is found that the three‐month Treasury bill rate and inflation share a common nonlinear component that explains a large part of their persistence. The real interest rate is devoid of this component, indicating one‐for‐one movement of the nominal interest rate and inflation in the long run and, hence, stationarity of the real interest rate. Copyright © 2006 John Wiley & Sons, Ltd.