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通貨膨脹對我國股票市場收益影響研究

發(fā)布時間:2017-12-31 01:26

  本文關(guān)鍵詞:通貨膨脹對我國股票市場收益影響研究 出處:《山東大學(xué)》2013年碩士論文 論文類型:學(xué)位論文


  更多相關(guān)文章: 通貨膨脹 股票收益率 H-P濾波 ARIMA模型 GARCH模型 VAR模型


【摘要】:2007年下半年以來,我國經(jīng)濟(jì)進(jìn)入一輪新的通脹周期,面對持續(xù)的通貨膨脹,股票作為大眾熟悉的投資品能否應(yīng)對通貨膨脹的沖擊呢?著名經(jīng)濟(jì)學(xué)家費(fèi)雪提出了費(fèi)雪效應(yīng),他認(rèn)為:名義利率會隨預(yù)期通貨膨脹率的波動作一一對應(yīng)的調(diào)整,使名義利率與一般物價水平長期正相關(guān),而實際利率由實體經(jīng)濟(jì)活動決定,一般不做變化可視為常數(shù)。擴(kuò)展到股票市場,股票名義收益率與預(yù)期通貨膨脹率也應(yīng)該是一對一正比關(guān)系,而實際股票收益率則不受通貨膨脹率影響。那么費(fèi)雪效應(yīng)在我國股票市場上是否成立呢?本文選取2000年至2012年的月度數(shù)據(jù)和季度數(shù)據(jù),以費(fèi)雪效應(yīng)為出發(fā)點(diǎn)針對通貨膨脹對股票收益率的影響進(jìn)行實證研究。 本文共分為五部分。第一章主要介紹了本文的研究背景、研究意義、文章結(jié)構(gòu)以及創(chuàng)新和不足。第二章首先介紹通貨膨脹相關(guān)理論,然后闡述費(fèi)雪效應(yīng)理論的由來及在股票市場上的拓展,并介紹了解釋費(fèi)雪效應(yīng)悖論的幾種著名假說,最后針對股票收益率對通貨膨脹的傳遞途徑進(jìn)行理論分析。第三章展開實證研究。首先我們通過將實際股票收益率對實際通貨膨脹率進(jìn)行回歸我們初步得出費(fèi)雪效應(yīng)不成立。然后我們分別利用H-P濾波和ARIMA方法將通貨膨脹率分解為預(yù)期和非預(yù)期通貨膨脹,再用實際股票收益率對兩者進(jìn)行回歸,最終得出結(jié)論-費(fèi)雪效應(yīng)在我國股票市場上不成立。在此基礎(chǔ)上,我們檢驗了目前西方解釋費(fèi)雪效應(yīng)悖論最有影響力的三大假說---代理假說、波動性假說、反向因果關(guān)系假說,在檢驗波動性假說時我們利用GARCH模型求得通貨膨脹率時間序列的條件異方差作為通貨膨脹率的波動性指標(biāo)。第四章建立股票收益率、通貨膨脹率、貨幣供應(yīng)量增長率和產(chǎn)出增長率四變量VAR模型,并進(jìn)行了格蘭杰因果檢驗和脈沖響應(yīng)分析,以進(jìn)一步研究股票收益率和通貨膨脹率相互關(guān)系。第五章是文章的主要結(jié)論和政策建議。 通過研究,本文發(fā)現(xiàn)我國股票市場上費(fèi)雪效應(yīng)不成立,即股票不是應(yīng)對通貨膨脹的良好保值品。代理假說和波動性假說均不能解釋我國股票市場上股票收益率與通貨膨脹率的負(fù)相關(guān)關(guān)系,貨幣供應(yīng)量的變化造成了兩者的負(fù)相關(guān)關(guān)系。通過建立VAR模型,得到相關(guān)系數(shù)矩陣,并且格蘭杰因果檢驗發(fā)現(xiàn),通貨膨脹和股票收益率具有單向的因果關(guān)系:通貨膨脹是股票收益率的格蘭杰因,但股票收益率不是通貨膨脹的格蘭杰因,由此也說明股票收益并不能通過金融市場的傳導(dǎo)途徑對通貨膨脹施加有效影響。脈沖響應(yīng)分析進(jìn)一步證實了上述結(jié)論
[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.

【學(xué)位授予單位】:山東大學(xué)
【學(xué)位級別】:碩士
【學(xué)位授予年份】:2013
【分類號】:F224;F832.51;F822.5

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