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

doi:10.16382/j.cnki.1000-5579.2019.04.017

华东师范大学(哲学社会科学版) ›› 2019, Vol. 51 ›› Issue (4): 164-174.doi: 10.16382/j.cnki.1000-5579.2019.04.017

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

龙翠红¹, 王海维², 颜雨欣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

摘要/Abstract

摘要：

通货膨胀率和实际股票收益率的相关性一直是宏观经济及金融等研究领域的热点问题之一。通过构建非对称的通货膨胀率和实际股票收益率的理论模型，并建立马尔科夫区制转换VAR模型研究三区制下我国的上述两者关系后发现：剔除2014年下半年"杠杠牛"导致的唯一一次"通缩与牛市"并存现象，低通胀下实际股票收益率较低，温和通胀下实际股票收益率最高，高通胀下实际股票收益率最低；给定通货膨胀率一个正向的外界冲击，实际股票收益率在3个区制内均呈现负向变动的趋势，我国A股市场存在"费雪效应之谜"；创新性地应用区制转换脉冲响应函数分析发现，经济系统进行区制间转换时实际股票收益率与通胀率也呈现负向变动的态势。

关键词: 股票收益率, 通货膨胀率, A股市场, 马尔可夫区制转换

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.

Key words: stock return rate, inflation rate, A-share market, Markov-switching

龙翠红, 王海维, 颜雨欣. 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[J]. 华东师范大学(哲学社会科学版), 2019, 51(4): 164-174.

LONG Cui-hong, WANG Hai-wei, YAN Yu-xin. An Empirical Study on the Relationship between Inflation Rate and Stock Return under the Three-Regime System: Based on the Markov-Switching VAR Model[J]. Journal of East China Normal University (Philosoph, 2019, 51(4): 164-174.

参考文献

苟小菊、王世雷,2009,《通货膨胀率和股票收益率的相关性的实证研究——基于马尔可夫转换模型》,《北京理工大学学报(社会科学版)》第4期。
郭建军,2008,《对中国股票市场费雪效应及相关"波动性假说"的检验》,《上海金融》第11期。
韩学红、郑妍妍、伍超明,2008,《对我国股票收益率与通货膨胀率关系的解释:1992-2007》,《金融研究》第4期。
刘金全、谢卫东,2003,《中国经济增长与通货膨胀的动态相关性》,《世界经济》第6期。
刘金全、马亚男,2009,《股票收益率与通货膨胀率的相关性研究——基于对我国经济周期波动过程的考察》,《吉林大学社会科学学报》第1期。
王海维,2017,《我国通货膨胀率和股票收益率关系的实证研究——基于MS-VAR模型》,华东师范大学硕士学位论文。
王宇伟、丁慧、盛天翔,2018,《股票收益率与通货膨胀预期的动态影响关系研究——基于TVP-VAR-SV模型的实证研究》,《南开经济研究》第6期。
薛福星,2006,《中国股票市场中实际收益与通货膨胀的关系》,《统计与决策》第1期。
张兵,2005,《基于状态转换方法的中国股市波动研究》,《金融研究》第3期。
赵留彦,2016,《股票收益与通货膨胀:中国高通胀时期的实证研究》,《经济学(季刊)》第2期。
Barnes, M., Boyd, J.H. and Smith, B.D., 1999, "Inflation and Asset Returns", European Economic Review, Vol.43, No.4.
Boamah, M.I., 2017, "Common Stocks and Inflation:An Empirical Analysis of G7 and BRICS", Atlantic Economic Journal, Vol.45, No.2.
Bodie, Z., 1975, Hedging Against Inflation, Ph. D. Dissertation, Massachusetts Institute of Technology.
Cifter, A., 2015, "Stock Returns, Inflation, and Real Activity in Developing Countries:A Markov-Switching Approach", Panoeconomicus, Vol.62, No.1.
Cornell, B. and French, K.R., 1983, "The Pricing of Stock Index Futures", Journal of Futures Markets, Vol.3, No.1.
Crosby, M., 2001, "Stock Returns and Inflation", Australian Economic Papers, Vol.40, No.2.
Fama, E.F., 1981, "Stock Returns, Real Activity, Inflation, and Money", American Economic Review, Vol.71, No.4.
Fama, E.F. and Schwert, G.W., 1977, "Asset Returns and Inflation", Journal of Financial Economics, Vol.5, No.2.
Gultekin, N., 1983, "Stock Market Returns and Inflation:Evidence from Other Countries", Journal of Finance, Vol.38, No.1.
Hess, P. and Lee, B., 1999, "Stock Returns and Inflation with Supply and Demand Disturbances", Review of Financial Studies, Vol.12, No.5.
Hondroyiannis, G. and Papapetrou, E., 2006, "Stock Returns and Inflation in Greece:A Markov-Switching Approach", Review of Financial Economics, Vol.15, No.1.
Kaul, G., 1987, "Stock Returns and Inflation:The Role of the Monetary Sector", Journal of Financial Economics, Vol.18, No.2.
Kolluri, B. and Wahab, M., 2008, "Stock Returns and Expected Inflation:Evidence from an Asymmetric Test Specification", Review of Quantitative Finance and Accounting, Vol.30, No.4.
Krolzig, H.M., 2013, "Markov-Switching Vector Autoregressions Modelling, Statistical Inference, and Application to Business Cycle Analysis", Springer Science and Business Media, Vol.454.
Liu, Z. and Wang, S., 2017, "Decoding Chinese Stock Market Returns:Three-State Hidden Semi-Markov Model", Pacific-Basin Finance Journal, Vol.44.
McMillan, D.G., 2017, "Stock Return Predictability:The Role of Inflation and Threshold Dynamics", International Review of Applied Economics, Vol.31, No.3.
Modigliani, F. and Cohn, R.A., 1979, "Inflation, Rational Valuation and the Market", Financial Analysts Journal, Vol.35, No.2.
Nelson, C.R., 1976, "Inflation and Rates of Return on Common Stocks", The Journal of Finance, Vol.31, No.2.

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

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

RichHTML

PDF

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 1

编辑推荐

Metrics

本文评价