• 金融问题探讨 •

### 三区制下我国通货膨胀率和股票收益率关系的实证研究——基于马尔科夫区制转换VAR模型

1. 1. 华东师范大学经济与管理学部;
2. 安信证券研究中心
• 出版日期:2019-07-15 发布日期:2019-07-22
• 作者简介:龙翠红,华东师范大学经济与管理学部副教授(上海,200241);王海维,安信证券研究中心研究员(上海,200080);颜雨欣,华东师范大学经济与管理学部硕士研究生。

### An Empirical Study on the Relationship between Inflation Rate and Stock Return under the Three-Regime System: Based on the Markov-Switching VAR Model

LONG Cui-hong1, WANG Hai-wei2, YAN Yu-xin1

• Online:2019-07-15 Published:2019-07-22

Abstract:

The correlation between inflation rate and actual stock return rate has always been one of the hot issues in macroeconomics. By constructing a theoretical model of asymmetric relations between stock return and inflation rate and establishing the Markov Regime-Switching VAR model to explore their relationship under the three-regime system,we come to some conclusions:Stock return is low under low inflation,the highest under moderate inflation and the lowest under hyperinflation,except the coexistence of "deflation and bull market" during the second half of 2014;by giving inflation rate a positive external impact,actual stock return changes reversely in three regimes,so that the "riddle of Fisher Effect" does exist in the A-share market of China;actual stock return rate and inflation rate also show a negative trend when the economic system transits between systems by innovatively applying the regime-switching impulse response function.