本文選題：股票收益率 + 通貨膨脹率�。� 參考：《湖南大學(xué)》2014年碩士論文

【摘要】：通貨膨脹作為制定相關(guān)宏觀經(jīng)濟(jì)政策的重要參考指標(biāo)，其波動(dòng)特征和未來走勢(shì)對(duì)經(jīng)濟(jì)形勢(shì)的發(fā)展有重要的影響。股票市場(chǎng)作為金融市場(chǎng)的代表，其周期波動(dòng)會(huì)對(duì)社會(huì)貨幣總供給與貨幣總需求產(chǎn)生結(jié)構(gòu)性的影響，從而影響通脹率的波動(dòng)。因此，研究股票市場(chǎng)與通貨膨脹率之間的關(guān)系，有助于我國宏觀經(jīng)濟(jì)政策的正確制定，并對(duì)判斷市場(chǎng)經(jīng)濟(jì)政策的效應(yīng)具有重要意義。 通貨膨脹與股票實(shí)際收益率之間關(guān)系不是純粹的只有一種形式，其可能存在四種相關(guān)關(guān)系：正相關(guān)、負(fù)相關(guān)、不確定與不相關(guān)，實(shí)際的市場(chǎng)經(jīng)濟(jì)中股市收益與通貨膨脹率之間一般呈現(xiàn)出非線性、非對(duì)稱性的關(guān)系。Markov機(jī)制轉(zhuǎn)換VAR模型（MSVAR）在研究非線性動(dòng)態(tài)關(guān)系中有很廣泛的應(yīng)用，因?yàn)镸arkov機(jī)制轉(zhuǎn)換能很好地刻畫出時(shí)間序列的非線性機(jī)制轉(zhuǎn)換的過程，然而，MSVAR模型卻存在對(duì)數(shù)據(jù)依賴程度高、估計(jì)參數(shù)過多、擬合程度低等問題，貝葉斯統(tǒng)計(jì)推斷方法以及MCMC算法的運(yùn)用為解決以上這些問題提供了良好的解決方案。 本文首先針對(duì)股市收益與通脹波動(dòng)關(guān)系分析過程中隨機(jī)參數(shù)條件下的建模問題，構(gòu)建貝葉斯Markov轉(zhuǎn)換VAR模型。然后，通過分析模型的統(tǒng)計(jì)結(jié)構(gòu)，設(shè)置參數(shù)的先驗(yàn)概率分布，利用貝葉斯統(tǒng)計(jì)方法，推斷模型參數(shù)的后驗(yàn)分布，設(shè)計(jì)相應(yīng)的兩次Gibbs抽樣算法對(duì)模型參數(shù)進(jìn)行貝葉斯估計(jì)。最后，利用貝葉斯Markov轉(zhuǎn)換VAR模型研究股票回報(bào)率，通脹率波動(dòng)成分和通脹率趨勢(shì)成分三者間的動(dòng)態(tài)關(guān)系，研究結(jié)果表明：貝葉斯Markov轉(zhuǎn)換VAR模型更準(zhǔn)確地刻畫出三變量之間波動(dòng)關(guān)系的非線性動(dòng)態(tài)特征。在機(jī)制轉(zhuǎn)移的具體過程中，股票收益率在“市場(chǎng)緊縮區(qū)制”分別與持久性通脹率，，暫時(shí)性通脹率呈正相關(guān)，在“市場(chǎng)擴(kuò)張區(qū)制”短期內(nèi)與通脹率呈弱正相關(guān)，長期內(nèi)與通脹率呈負(fù)相關(guān)，表明了費(fèi)雪效應(yīng)和代理效應(yīng)分別在市場(chǎng)的不同機(jī)制中體現(xiàn)出來。說明了股票收益率與通脹率的波動(dòng)關(guān)系并不總是遵循費(fèi)雪效應(yīng)，可能存在多種關(guān)系。
[Abstract]:Inflation is an important reference index for the formulation of relevant macroeconomic policies, and its fluctuation characteristics and future trends have an important impact on the development of the economic situation. As the representative of financial market, the periodic fluctuation of stock market will have a structural impact on the total supply of money and the aggregate demand of money, thus affecting the fluctuation of inflation rate. Therefore, the study of the relationship between stock market and inflation rate is helpful to the correct formulation of macroeconomic policy in China, and it is of great significance to judge the effect of market economy policy. The relationship between inflation and real return of stocks is not purely one form, it may have four kinds of correlation: positive correlation, negative correlation, uncertainty and non-correlation, In the actual market economy, the relationship between stock market income and inflation rate is generally nonlinear and asymmetric. Markov mechanism transformation VAR model is widely used in the study of nonlinear dynamic relationship. Because Markov mechanism transformation can well depict the process of nonlinear mechanism transformation of time series, however, there are many problems in the model, such as high degree of dependence on data, excessive estimation of parameters and low degree of fitting, etc. Bayesian statistical inference and the application of MCMC algorithm provide a good solution to these problems. In this paper, the Bayesian Markov transform VAR model is constructed for the modeling of stochastic parameters in the process of analyzing the relationship between stock market returns and inflation volatility. Then, by analyzing the statistical structure of the model and setting the prior probability distribution of the parameters, the Bayesian statistical method is used to infer the posterior distribution of the model parameters, and the corresponding two-time Gibbs sampling algorithm is designed to estimate the model parameters. Finally, we use Bayesian Markov transform VAR model to study the dynamic relationship among stock return rate, inflation fluctuation component and inflation trend component. The results show that the Bayesian Markov transform VAR model can more accurately describe the nonlinear dynamic characteristics of the volatility relationship between three variables. In the specific process of mechanism transfer, stock yield is positively correlated with persistent inflation rate, temporary inflation rate in "market contraction zone" system, and weakly positive correlation with inflation rate in "market expansion zone system" in the short term. In the long run, there is a negative correlation between Fisher effect and inflation rate, which indicates that Fisher effect and agency effect are reflected in different mechanisms of market. It shows that the fluctuating relationship between stock yield and inflation does not always follow Fisher effect, and there may be a variety of relationships.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.51;F822.5

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