通货膨胀与股票价格波动

发布时间：2018-02-04 00:57

本文关键词： 股票价格波动通货膨胀货币政策　出处：《财经问题研究》2010年12期 　论文类型：期刊论文

【摘要】：股票收益和通货膨胀之间的关系不仅依赖于供给冲击和需求冲击,而且还受到货币政策制度的影响。需求冲击使得两者是正相关的,供给冲击对两者关系的作用还和货币政策制度有关。顺周期的货币政策使得供给冲击对两者关系是正相关的,而逆周期的货币政策使得供给冲击对两者关系是负相关的。对中国1991年1月—2009年7月实践的经验分析表明,股票收益和通货膨胀的相关性发生了两次结构性突变。进一步分析表明,1997年6月股票收益和通货膨胀的结构性突变主要是由货币政策制度引起的;2005年8月股票收益和通货膨胀的结构性突变主要是供给冲击和需求冲击的相对重要性发生了改变而导致的。
[Abstract]:The relationship between stock returns and inflation depends not only on supply and demand shocks, but also on monetary policy. The effect of supply shock on the relationship between the two is also related to the monetary policy system. The pro-cyclical monetary policy makes the supply shock positively related to the relationship between the two. However, the counter-cyclical monetary policy makes the supply shock negatively related to the two. The empirical analysis of China's practice from January 1991 to July 2009 shows that, There were two structural changes in the correlation between stock returns and inflation. Further analysis showed that the structural changes in stock returns and inflation in June 1997 were mainly caused by the monetary policy system; the stock closed on August 2005. The structural abrupt change of profit and inflation is mainly caused by the change of the relative importance of supply shock and demand shock.
【作者单位】：上海财经大学金融学院;
【基金】：上海财经大学研究生科研创新基金项目(CXJJ-2009-325)
【分类号】：F224;F822.5;F832.51
【正文快照】： 一、引言通货膨胀是宏观经济中的一个重要概念,是国家进行宏观调控的重要指标,一般来说,高的通货膨胀将会增加经济运行的风险,导致未来产出的不确定性,因而,未定权益类资产价格的波动将增加。如果股票(实际)收益率取决于实体经济,而实体经济运行和名义货币是相互独立的,则费

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