通货膨胀对我国股票市场收益影响研究

发布时间：2017-12-31 01:26

本文关键词：通货膨胀对我国股票市场收益影响研究　出处：《山东大学》2013年硕士论文　论文类型：学位论文

【摘要】：2007年下半年以来,我国经济进入一轮新的通胀周期,面对持续的通货膨胀,股票作为大众熟悉的投资品能否应对通货膨胀的冲击呢?著名经济学家费雪提出了费雪效应,他认为：名义利率会随预期通货膨胀率的波动作一一对应的调整,使名义利率与一般物价水平长期正相关,而实际利率由实体经济活动决定,一般不做变化可视为常数。扩展到股票市场,股票名义收益率与预期通货膨胀率也应该是一对一正比关系,而实际股票收益率则不受通货膨胀率影响。那么费雪效应在我国股票市场上是否成立呢?本文选取2000年至2012年的月度数据和季度数据,以费雪效应为出发点针对通货膨胀对股票收益率的影响进行实证研究。本文共分为五部分。第一章主要介绍了本文的研究背景、研究意义、文章结构以及创新和不足。第二章首先介绍通货膨胀相关理论,然后阐述费雪效应理论的由来及在股票市场上的拓展,并介绍了解释费雪效应悖论的几种著名假说,最后针对股票收益率对通货膨胀的传递途径进行理论分析。第三章展开实证研究。首先我们通过将实际股票收益率对实际通货膨胀率进行回归我们初步得出费雪效应不成立。然后我们分别利用H-P滤波和ARIMA方法将通货膨胀率分解为预期和非预期通货膨胀,再用实际股票收益率对两者进行回归,最终得出结论-费雪效应在我国股票市场上不成立。在此基础上,我们检验了目前西方解释费雪效应悖论最有影响力的三大假说---代理假说、波动性假说、反向因果关系假说,在检验波动性假说时我们利用GARCH模型求得通货膨胀率时间序列的条件异方差作为通货膨胀率的波动性指标。第四章建立股票收益率、通货膨胀率、货币供应量增长率和产出增长率四变量VAR模型,并进行了格兰杰因果检验和脉冲响应分析,以进一步研究股票收益率和通货膨胀率相互关系。第五章是文章的主要结论和政策建议。通过研究,本文发现我国股票市场上费雪效应不成立,即股票不是应对通货膨胀的良好保值品。代理假说和波动性假说均不能解释我国股票市场上股票收益率与通货膨胀率的负相关关系,货币供应量的变化造成了两者的负相关关系。通过建立VAR模型,得到相关系数矩阵,并且格兰杰因果检验发现,通货膨胀和股票收益率具有单向的因果关系：通货膨胀是股票收益率的格兰杰因,但股票收益率不是通货膨胀的格兰杰因,由此也说明股票收益并不能通过金融市场的传导途径对通货膨胀施加有效影响。脉冲响应分析进一步证实了上述结论
[Abstract]:Since the second half of 2007, China's economy has entered a new round of inflation cycle, in the face of persistent inflation, the stock as the public familiar with the investment goods can cope with the impact of inflation? Famous economist Fisher proposed fisher effect, he believes that the nominal interest rate will wave action with the expected inflation rate corresponding to the nominal interest rate adjustment. With the general price level of a long-term positive correlation, and the actual interest rate is determined by the real economic activity, generally does not change, is regarded as a constant. Extended to the stock market, the stock of nominal yields and expected inflation rate should be a one-to-one positive relationship, but the actual stock return is not affected by the inflation rate. Then the Fisher Effect in the stock market in China is established? Monthly and quarterly data from 2000 to 2012 in this paper, the fisher effect as the starting point for the inflation of An empirical study of the impact of stock returns.
This paper is divided into five parts. The first chapter mainly introduces the research background, the significance of this study, the structure and innovation and shortcomings. The second chapter first introduces the related theory and then discusses the origin of inflation, Fisher Effect Theory and development in the stock market, and introduces several famous hypothesis explain the Fisher effect paradox, finally the stock return rate of inflation transmission were analyzed. The third chapter is an empirical study. First, we will through the actual stock returns to the actual inflation rate of return we draw the fisher effect is not exist. Then we use H-P filter and ARIMA method to the inflation rate into expected and unexpected inflation, and both of them are return the actual stock returns, ultimately concluded that fisher effect does not hold in the stock market in China on the basis of this, We examined the Western interpretation of the most influential Fisher Effect paradox three hypothesis - proxy hypothesis, volatility hypothesis, reverse causality hypothesis, volatility in test false say we use GARCH model to obtain the conditions of inflation time series heteroskedasticity as inflation volatility index. In the fourth chapter, the establishment of stock returns and the rate of inflation, money supply growth of four variable VAR model growth rate and output, and Grainger causality test and impulse response analysis, to further study the stock return rate and inflation rate relationship. The fifth chapter is the main conclusion and policy suggestions.
Through the research, we found that China's stock market on the fisher effect does not hold, the stock is not Inflation Hedging products. Good proxy hypothesis and the volatility hypothesis can not explain China's stock market on stock returns and a negative correlation between the rate of inflation, money supply changes caused a negative correlation between the two. Through the establishment of VAR model, correlation coefficient matrix, and Grainger causality test found that inflation and the stock returns have one-way causal relationship: inflation is the stock returns of Glenn Jain, but the stock return inflation is not Glenn Jain, this also shows that the stock returns does not exert an active influence on inflation through the pathway of the financial market. Pulse response analysis further confirms the above conclusions.

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51;F822.5

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