股价波动与通货膨胀关系实证研究.docVIP

股价波动与通货膨胀关系实证研究 　　摘要:本文运用格兰杰因果关系检验、脉冲响应函数和方差分解等计量方法,得出以下主要结论:股票价格是影响通货膨胀和通胀预期的重要变量;股票价格是通货膨胀、通胀预期的格兰杰原因,反向因果关系不明显;股票价格的上升,在相当短的时期内,即1―2个季度内,与通货膨胀率和通胀预期负相关,然后从第2―3季度开始,股票价格与通货膨胀率和通胀预期正相关,第9季度开始,股票价格与通货膨胀率和通胀预期负相关。利用财富效应和替代效应假说,本文认为当财富效应大于替代效应时,股价与通货膨胀正相关;当财富效应小于替代效应时,股价与通货膨胀负相关。最后,提出了政策建议。 　　关键词:股票价格;通货膨胀;通胀预期;格兰杰因果关系检验;脉冲响应函数;方差分解 　　 　　Abstract:Using some econometric methods,such as Granger causality test,impulse response function(IRF)and variance decomposition(VD),the mainly empirical results of this paper are as follows:stock price is key variable to inflation and inflation expectations,stock price is the Granger cause to inflation and inflation expectations,the reverse causal relation is not obvious.In quite short time,namely in 1st-2nd quarters,the rise in stock price will get a negative correlation on inflation and inflation expectations,then with the beginning of 2nd-3rd quarters,stock price,inflation and inflation expectations are being positively related. Next,from the 9th quarter,the stock price negatively correlated with inflation and inflation expectations. In the words of the wealth effect and the substitution effect hypothesis,when the wealth effect is bigger than the substitution effect,the stock price and the inflation are being positively related. When the wealth effect is smaller than the substitution effect,the stock price negatively correlated with inflation. At the end,this paper proposed some policy suggestions. 　　Key Words:stock price,inflation,inflation expectations,granger causality test,IRF,VD 　　中图分类号:F822.5 文献标识码:A文章编号:1674-2265(2010)04-0063-06 　　 　　一、文献回顾与评论 　　 　　关于股票市场价格与产品市场通货膨胀关系的研究主要集中在两个方面:一是股票价格与通货膨胀存在怎样的相关关系,也就是说两者是正相关还是负相关;二是股票价格是否是通货膨??的先行指标,也就是说股票价格变化是否引导了通货膨胀的变化。关于第一个问题的实证研究大致有三种不同的结论:(1)股票价格与通货膨胀率之间存在明显的负相关关系,这种研究结论占主体。如Fama(1981)、Balduzzi(1995)、Bakshi和Chen(1996)、Gallagher和Taylor(2002)等对美国以及其他工业国家的实证研究发现股票价格与通货膨胀之间呈负相关关系。国内学者刘金全等(2004)对中国的实证研究认为我国股票价格与通货膨胀率之间存在负相关关系。(2)两者之间存在正相关关系。如Khil和Lee(2000)、Crosby(2001)、Choudhr