我国股票价格与通货膨胀关系的实证分析  

Empirical Analysis on Relationship Between China’s Stock Price and Its Inflation

作　　者：于扬 王维国[2] 王春枝 Yu Yang;Wang Weiguo;Wang Chunzhi(School of Statistics and Mathematics, Inner Mongolia University of Finance and Economics ,Hohhot 010070, China;School of Economics, Dongbei University of Finance and Economics, Dalian Liaoning 116025, China)

机构地区：[1]内蒙古财经大学统计与数学学院,呼和浩特010070 [2]东北财经大学经济学院,辽宁大连116025

出　　处：《统计与决策》2018年第7期165-168,共4页Statistics & Decision

基　　金：国家社会科学基金资助项目(13CJ7Y010);内蒙古自治区高等学校科学研究项目(NJZY18130);内蒙古财经大学教育改革专项基金(JXYB1603)

摘　　要：文章选择高频股票价格等先行指标构建多种AR-M-MIDAS模型研究了我国股票价格对通货膨胀的影响机制及作用路径,结果表明,我国股票价格对通货膨胀存在显著正向效应,随着高频变量滞后阶数的递增,股票价格对通货膨胀的影响机制呈凹型下降趋势,且当滞后阶数增长至30阶时,Beta-AR（1）-M-MIDAS在我国通货膨胀的实时预报方面具有较高的精确性和时效性。This paper chooses the leading indicators like high-frequency stocks＇ price to construct various AR-M-MIDAS models and study the influence mechanism and action path of stock price on inflation in China. The study result shows that there are significant positive effects of stock price On inflation; with the progressive increase of hysteresis order of the high-frequency variable, the influence trend of stock price on inflation is concavely dropping; and when the lag order rises to 30 steps, Beta-AR （1）-M-MIDAS has high accuracy and timeliness in the real-time forecasting of inflation.

关 键 词：AR-M-MIDAS类模型 权重函数 通货膨胀 股票价格 

分 类 号：F222.3[经济管理—国民经济]