时变、资产价格与通胀对冲——基于MS-VECM模型实证  

Time-varying, Asset Price and Inflation Hedging——Based on MS-VECM Model

作　　者：张杰[1] ZHANG Jie(School of Finance,Southwestern University of Finance and Economics,Chengdu Sichuan 611130)

机构地区：[1]西南财经大学金融学院,四川成都611130

出　　处：《西部金融》2018年第9期8-15,共8页West China Finance

摘　　要：本文基于国内房地产、黄金、股票、债券四类资产价格与通胀水平之间的区制动态关系进行了研究。结果表明,四类资产价格在不同区制下与通货膨胀之间表现出不同的协整关系,房地产与股票价格在两个区制下与通货膨胀水平表现出强弱不同的协整关系;黄金与债券价格则只在一个区制中表现出与通货膨胀之间的协整关系,说明四类资产价格均能成为通胀预期的领先指标,投资于四类资产有助于投资者对冲通胀风险,但其作用效果依区制不同而不同,其中房地产与股票在长短期内均能有效对冲通胀,而黄金与债券资产在长期内可有效抵御通胀,在短期内则难以发挥相应作用。The paper studies the dynamic relationship between the asset price of real estate, gold, stock, bond and inflation level in China.The results show-that under different regions, these four types of asset prices show different eointegration relationship with inflation. The real estate and stock prices in the two regions show the different strength of eointegration relationship with inflation, and gold and bond prices have eointegration relationship with inflation only in one region, which indicates that four types of asset prices can become the leading indicators of inflation expectations, and investment in above assets helps investors to hedge the risk of inflation, but the effect varies according to regions. The real estate and stock can effectively hedge against inflation in both short term and long term. Gold and bonds can effectively resist inflation in the long term, but in a shorter period it is difficult for them to play the corresponding role.

关 键 词：通货膨胀 资产价格 时变 通胀对冲 区制装换 

分 类 号：F832.2[经济管理—金融学]