股票价格和通货膨胀关系研究.docVIP

　　 摘 　要 股票价格和通货膨胀的关系是近年来金融经济学界和货币当局非常关注的课题之一。 本文主要探讨的是目前我国股票价格所包含的未来通货膨胀的信息以及是否有必要将股票价格纳入物价指数中两个问题。 本文通过对国内外文献的综述，选择适合我国的经济模型进行实证研究。对于前者，即我国股票价格所包含的未来通货膨胀信息，本文从验证“费雪效应”和验证股票价格对通货膨胀的预测能力两个角度出发进行研究，得出的结论是“费雪效应”在我国不成立。我国股票价格有对未来通货膨胀预测的能力，但是这种预测能力是不稳定的。对于后者，即是否有必要将股票价格纳入物价指数中，本文采用了“动态因素指数”方法进行研究和分析，得出的结论是，在“动态因素指数”中，股票价格所占的比重非常小，几乎可以忽略。 因此，本文的结论认为：虽然目前我国股票价格波动对实体经济的作用开始显现，并且成为货币政策传导机制的一部分，但是目前很难或者没有必要将股票价格直接纳入中央银行的视野中。 关键字：费雪效应　传导机制　预测　动态因素指数　 Abstract The relationship between stock price and inflation is one of the problems to which financial economists and monetary bureaus pay great deal of attentions in recent years. This paper will focus on two points, the future information of future inflation which be reflected in stock price and whether it is necessary to bring stock price into price index, which is studied and analyzed on an empirical basis with a model that fits financial situation of China through domestic and foreign literature review. With the concern of the former point, it is studied by validating 揊isher effect攁nd the anticipating ability of stock price to inflation, with the result that 揊isher effect攄oes not work in China and the information laid out is very difficult to unscramble, and the anticipating ability of the stock price to inflation exists, but is quite instable. By using 揇ynamic Factor Index攖o do the research and analysis on the latter point, whether it is necessary to bring stock price into price index, we conclude that the proportion stock price account for in 揇odynamic Factor Index攊s very little and could almost be ignored. Therefore, it is very difficult or unnecessary to directly bring stock price into the concern of the central bank (PBC), although the effect of the stock price to the real economics begins to emerge and hlave become a part of monetary policy transmission mechanism. Keywords: Fisher effect Transmission mechanism Forecasting Dynamic factor index 1研究背景和思路 1.1研究背景和意义。自1996年我国对经济有效调控，实现“软着陆”