资产收益率与通货膨胀率关联性的实证分析  

A Positive Analysis of the Dynamic Relationship between Stock Returns and Inflation

作　　者：刘金全[1] 王风云[1] 

机构地区：[1]吉林大学数量经济研究中心,吉林长春130012

出　　处：《财经研究》2004年第1期123-128,共6页Journal of Finance and Economics

基　　金：国家社会科学基金项目(02BJY019)和教育部重大项目(02JAZJD790007)资助

摘　　要：通过研究股票实际收益率与通货膨胀波动性之间的关系,可以判断股票市场波动和宏观经济运行之间的联系。我们检验发现,通货膨胀率的波动能够影响股票实际收益率的变化,这说明价格水平变化不仅影响消费品之间的替代,也影响投资品之间的替代。因此,通过积极货币政策缓解通货紧缩压力,可以增强股票市场的规模活性并形成收益率上升的稳定预期。By studying the relationship between stock real returns and inflation, we could find the correlation between stock market volatility and macroeconomic conditions. By econometric testing, we find that inflation volatility could influence the changes in actual stock returns. This means that changes in price not only affects the substitutions of consumption goods, but also those of investment goods. Therefore, by implementing the active monetary policy, we could loosen the pressure of deflation, expand the stock market scale, and form the stable expectation of increasing stock return.

关 键 词：通货膨胀率 股票收益率 波动性 

分 类 号：F822.5[经济管理—财政学]