通胀率对中国股票市场波动影响的传导机制研究  

An Analysis of Transmission Mechanism of the Stock Market's Reaction to Inflation Rate

作　　者：杨黎波[1] 

机构地区：[1]西南政法大学管理学院,重庆401120

出　　处：《重庆大学学报（社会科学版）》2014年第4期46-56,共11页Journal of Chongqing University(Social Science Edition)

基　　金：重庆市社会科学规划项目(12XJY019);重庆市教委科技项目(KJ130103);西南政法大学2013年青年教师资助项目(2013-XZQN27)

摘　　要：通过研究不同通胀率趋势状态下股票实际收益与通胀率的影响关系,足以判断股票市场与不同宏观经济变量之间的逻辑关系。实证研究发现,1994年1月至1999年12月通胀率下滑时期,通胀率与股票真实收益率之间存在微弱负相关,实际上是受不显著的代理效应影响;2000年1月至2011年9月通胀率震荡攀升时期,通胀率与股票真实收益率显著负相关,来源于显著的代理与货币幻觉效应。因此,通胀率影响股票真实收益率的传导机制以及股票市场对各种经济变量变动的敏感度都取决于通胀率趋势状态,而采取适度紧缩的货币政策事先抑制通胀率趋势性上扬,就能达到维护市场稳定发展的作用。By making clear the relationship between inflation rates and stock real return in different states of inflation＇s trend, this article finds the correlation between stock market and macroeconomic variables. By econometric testing, it is showed that weak negative relationship between real stock return and inflation stems from weak proxy effect during Jan 1994 to Dec 1999 which is characterized as go-down trend of inflation and strong negative real stock return-inflation relationship stems from remarkable proxy and money illusion effect during Jan 2000 to September 2011 which is characterized as go-up trend of inflation, so the transmission mechanism of inflation rate to market and the sensitivity of stock price changes to macroeconomic news depends on the state of inflation and implementing the appropriate tight monetary policy in advance to control the go-up trend of inflation can maintains the stability of stock market.

关 键 词：非预期通胀 代理效应 风险溢价 货币幻觉 

分 类 号：F822.5[经济管理—财政学]