中国股票收益、通货膨胀与货币部门的角色分析  

Real Stock Returns, Inflation and the Role of Monetary Sector in China

作　　者：刚猛[1] 陈金贤[1] 

机构地区：[1]西安交通大学管理学院,陕西西安710049

出　　处：《西安交通大学学报（社会科学版）》2004年第1期30-34,共5页Journal of Xi'an Jiaotong University：Social Sciences

基　　金：国家社会科学基金项目(1BJ012)

摘　　要：　Kaul(1987)假设股票收益与通货膨胀的关系是由货币部门的平衡过程决定的,而且这种关系会随货币需求和货币供给因素的影响变化而变动。利用中国数据实证检验支持了Kaul的假说,中国货币政策在1995～2002年之间表现为逆经济周期特性,导致了股票收益与通货膨胀的负相关关系。Kaul (1987) hypothesized that the relations between stock returns and inflation are caused by the equilibrium process in the monetary sector, and moreover, these relations vary over time in a systematic manner depending on the influence of money demand and supply factors. This paper empirically tests the relationship between real stock returns and inflation in China. The relation is found to be negative and stable from January 1995 to July 2002, and the monetary growth is non-pro-cyclical to the variation of real economic activity. Our results support Kaul′s hypothesis.

关 键 词：股票收益 通货膨胀 货币部门 

分 类 号：F830.91[经济管理—金融学]