通货膨胀与股票收益的关系研究——基于具有财务杠杆与货币效用的资产定价模型

发布时间：2018-06-27 00:09

本文选题：股票收益率 + 通货膨胀　；参考：《金融研究》2011年09期

【摘要】：探究通货膨胀与股票收益的关系,是考察宏观经济与金融市场互动机制的重要视角,也是当前学界的热点问题。本文以一般均衡模型为基础,通过设定货币效用函数(MIUF)并引入财务杠杆来分析货币经济下的资产定价问题,从而得到了一些重要的理论关系。其中,实际股票收益和通货膨胀都同时受到产出冲击与货币冲击的影响;股权溢价既取决于产出波动,也取决于产出增长与货币增长的相关程度。财务杠杆对通货膨胀与实际股票收益率关系的影响在不同条件下具有不对称性。对于通货膨胀与实际股票收益率的负相关关系,不存在财务杠杆时,必须是发生在产出增长与通货膨胀负相关的"滞胀区制"或"缩长区制";存在财务杠杆时,根据货币增长和产出增长之间的协方差与产出增长的方差可能存在的大小关系,财务杠杆只需符合不同的取值区间。
[Abstract]:Exploring the relationship between inflation and stock returns is not only an important angle of view to examine the interaction mechanism between macro economy and financial market, but also a hot issue in current academic circles. Based on the general equilibrium model, this paper analyzes the asset pricing problem under the monetary economy by setting the monetary utility function (MIUF) and introducing financial leverage, and obtains some important theoretical relations. Among them, both real stock returns and inflation are affected by both output shocks and currency shocks; equity premiums depend on both output volatility and the degree of correlation between output growth and currency growth. The influence of financial leverage on the relationship between inflation and real stock return is asymmetric under different conditions. For the negative correlation between inflation and real stock returns, when there is no financial leverage, it must occur in the stagflation zone system or the "contraction zone system", which is negatively related to output growth and inflation. According to the possible relationship between the covariance between monetary growth and output growth and the variance of output growth, financial leverage only needs to conform to different value ranges.
【作者单位】：中山大学岭南学院;
【基金】：广东省自然科学基金项目(10151027501000103) 广东省研究生示范课程建设项目(10SFKC02) 中山大学{9川基金博士生重要创新项目的资助
【分类号】：F224;F820.5;F830.91

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