中国股票市场的通货膨胀风险规避功能研究

发布时间：2018-05-12 06:27

本文选题：股票收益率 + 通货膨胀率　；参考：《学术论坛》2010年03期

【摘要】："费雪效应"假说认为股票投资是对冲通货膨胀风险的理想工具。而已有实证研究则发现二者的关系并不确定,这在一定程度上可能是由于不同实证研究选择的数据所处经济发展阶段不同。文章选择中国1992年5月~2008年6月为研究区间,区分不同的经济周期阶段,通过SVAR模型实证检验了中国股票市场的通货膨胀风险规避功能。研究结果表明,供给冲击的影响导致股票收益率与通货膨胀率呈现相关关系,这种关系与其所处经济周期阶段有关,在经济衰退阶段(1992年5月~2001年12月)二者负相关,意味着股票投资不再是对冲通货膨胀风险的有效工具;在经济扩张阶段(2002年1月~2008年6月)二者正相关,股票投资可以有效地避免通货膨胀风险。并且研究结果还显示,股票市场中供需双方的行为、预期以及政府的宏观经济政策均可能影响中国股票市场的通货膨胀风险规避功能。
[Abstract]:The Fisher effect hypothesis holds that stock investment is an ideal tool to hedge inflation risk. However, some empirical studies have found that the relationship between the two is uncertain, which may be due to the different economic development stages of the data selected by different empirical studies. This paper selects China from May 1992 to June 2008 as the research interval, differentiates the different economic cycle stages, and empirically tests the inflation risk aversion function of China's stock market through SVAR model. The results show that the impact of supply shocks leads to a correlation between stock returns and inflation, which is related to the stage of the economic cycle, and negatively related to the period of economic recession (May 1992 to December 2001). It means that stock investment is no longer an effective tool to hedge inflation risk. In the period of economic expansion (January 2002 to June 2008), stock investment can effectively avoid inflation risk. The results also show that the behavior of both supply and demand, the expectation and the macroeconomic policy of the government may affect the risk aversion function of inflation in Chinese stock market.
【作者单位】：南开大学经济学院数量经济研究所;天津财经大学商学院;
【分类号】：F224;F832.51;F822.5

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