發(fā)布時(shí)間：2018-11-28 20:31

【摘要】：通貨膨脹預(yù)期是長(zhǎng)期以來(lái)宏觀經(jīng)濟(jì)領(lǐng)域的重要課題,其影響因素是學(xué)界和宏觀調(diào)控部門(mén)關(guān)注的重點(diǎn)之一。微觀企業(yè)的盈利信息,特別是盈利表現(xiàn)、盈利預(yù)測(cè)和盈利預(yù)期偏差均與通貨膨脹存在必然的聯(lián)系。但各個(gè)經(jīng)濟(jì)主體在形成通貨膨脹預(yù)期時(shí),是否考慮了這些信息卻是學(xué)術(shù)界尚未明確回答的問(wèn)題(S.P.Kothari,2012),本文將在中國(guó)的經(jīng)驗(yàn)證據(jù)上嘗試回答這一問(wèn)題。本文根據(jù)2002年2季度至2015年3季度滬深A(yù)股上市公司自發(fā)披露的預(yù)期盈利和真實(shí)盈利計(jì)算,并加權(quán)平均得到盈利預(yù)測(cè)偏差,以CPI和PPI度量我國(guó)的通貨膨脹水平。論文使用朗潤(rùn)C(jī)PI預(yù)測(cè)及和訊PPI預(yù)測(cè)數(shù)據(jù)作為經(jīng)濟(jì)學(xué)家的通貨膨脹預(yù)期,根據(jù)央行儲(chǔ)戶(hù)調(diào)查系統(tǒng)數(shù)據(jù),采用Carlson-Parkin法計(jì)算居民的通貨膨脹預(yù)期,并根據(jù)通脹預(yù)期及真實(shí)通脹計(jì)算通脹預(yù)期偏誤。論文首先采用VEC模型基礎(chǔ)上的格蘭杰因果檢驗(yàn)統(tǒng)計(jì)量,檢驗(yàn)盈利預(yù)測(cè)偏差與通貨膨脹的關(guān)系。實(shí)證結(jié)果發(fā)現(xiàn),企業(yè)盈利預(yù)測(cè)偏差是CPI的格蘭杰因,工業(yè)企業(yè)盈利預(yù)測(cè)偏差是PPI的格蘭杰因,意味著企業(yè)盈利預(yù)測(cè)信息有助于預(yù)測(cè)未來(lái)通脹。在控制貨幣因素、經(jīng)濟(jì)增長(zhǎng)率等因素的基礎(chǔ)上,論文做通貨膨脹預(yù)期偏差關(guān)于滯后盈利預(yù)期偏差的回歸分析。實(shí)證結(jié)果顯示,盈利預(yù)測(cè)偏差對(duì)經(jīng)濟(jì)學(xué)家的CPI預(yù)期偏差影響不顯著,對(duì)經(jīng)濟(jì)學(xué)家PPI預(yù)期偏差影響結(jié)果不穩(wěn)健,對(duì)公眾CPI預(yù)期偏差影響顯著。結(jié)果意味著,經(jīng)濟(jì)學(xué)家對(duì)CPI的預(yù)期充分吸收了企業(yè)盈利預(yù)測(cè)偏差信息,但經(jīng)濟(jì)學(xué)家PPI預(yù)期是否充分吸收盈利預(yù)測(cè)偏差信息證據(jù)不足,公眾通脹預(yù)期也并未充分吸收企業(yè)盈利預(yù)測(cè)偏差信息。論文的一系列穩(wěn)健性檢驗(yàn)說(shuō)明上述結(jié)果是穩(wěn)健的。論文的主要?jiǎng)?chuàng)新點(diǎn)和貢獻(xiàn)在于,對(duì)回答通貨膨脹預(yù)期是否充分吸收微觀企業(yè)的盈利信息提供我國(guó)的經(jīng)驗(yàn)證據(jù)。
[Abstract]:Inflation expectation is an important subject in the field of macroeconomics for a long time, and its influencing factors are one of the focal points of academic circles and macro-control departments. The profit information, especially the profit performance, the deviation of profit forecast and profit expectation of micro enterprises have certain relation with inflation. However, whether or not the economic agents take these information into account is an unanswered question (S.P. Kotharii 2012). This paper will try to answer this question on the empirical evidence in China. This paper calculates the expected profit and the real profit of the Shanghai and Shenzhen A-share listed companies spontaneously from the second quarter of 2002 to the third quarter of 2015, and obtains the deviation of the average profit forecast. The inflation level of our country is measured by CPI and PPI. The paper uses Langrun CPI forecast and PPI forecast data as economists' inflation expectation. According to the data of central bank depositor survey system, Carlson-Parkin method is used to calculate the residents' inflation expectation. And based on inflation expectations and real inflation calculation of inflation expectations bias. Firstly, Granger causality test statistic based on VEC model is used to test the relationship between profit forecast deviation and inflation. The empirical results show that the deviation of corporate profit forecast is Granger of CPI, and that of industrial enterprise is Granger of PPI, which means that the information of enterprise earnings forecast is helpful to predict future inflation. On the basis of controlling monetary factors, economic growth rate and other factors, the paper makes regression analysis of inflation expectation deviation about lag profit expectation deviation. The empirical results show that the deviation of earnings forecast has no significant effect on the CPI expected deviation of economists, but the effect on PPI expected deviation of economists is not robust, and it has a significant impact on the public CPI expected bias. The result means that economists' expectation of CPI fully absorbs the deviation information of enterprise profit forecast, but the evidence of whether economist PPI's expectation fully absorbs the deviation information of profit forecast is insufficient. Public inflation expectations also did not fully absorb corporate earnings forecast bias information. A series of robust tests show that the above results are robust. The main innovation and contribution of this paper is to provide empirical evidence to answer whether inflation expectations fully absorb the profit information of micro enterprises.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2016
【分類(lèi)號(hào)】：F275;F822.5

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