通货膨胀与股票估值偏差的非线性关系分析  

Analysis on Nonlinear Relationship between Inflation and Stock Valuation Bias

作　　者：庞晓波[1] 钱锟[1] Pang Xiaobo Qian Kun(Business School, Jilin University, Changchun 130012, China)

机构地区：[1]吉林大学商学院,长春130012

出　　处：《统计与决策》2017年第18期152-156,共5页Statistics & Decision

基　　金：国家社会科学基金资助项目(16BJY161)

摘　　要：文章根据莫迪利安尼提出的货币幻觉假说,构建通货膨胀与股票分红收益关系的理论模型,并运用门限模型和TVP-VAR模型检验通货膨胀与股票估值偏差的非线性关系。门限模型结果表明,通货膨胀对股票估值偏差的影响存在门限效应,当处于低通货膨胀水平时,通货膨胀对股票估值偏差的影响更显著;TVP-VAR模型结果表明,通货膨胀对股票估值偏差部分在不同时期的影响程度具有明显的差异,在稳健的货币政策下,通货膨胀对股票估值偏差的冲击影响较大,货币幻觉导致股票价格的波动加剧。This paper is based on the money illusion hypothesis proposed by Modigliani to construct a theoretical model of the relationship between inflation and stock dividend yield, and then uses the threshold model and TVP-VAR model to test the nonlinear relationship between inflation and stock valuation bias. The result of the threshold model shows that the impact of inflation on the stock valuation bias has a threshold effect, and at the low inflation level, the impact of inflation on the stock valuation bias is more significant. TVP-VAR model result shows that the inflation influence of the bias on the stock price has a significant difference in different periods; under the stable monetary policy, the impact of inflation on the stock valuation bias is greater, and the money illusion leads to a drastic fluctuation of the stock.

关 键 词：货币幻觉 主观风险溢价 门限模型 TVP-VAR模型 

分 类 号：F832.5[经济管理—金融学]