摘要
通过建立马尔可夫向量误差修正模型,分别在高通胀和低通胀两个区制内研究股票实际收益率和通货膨胀率的相关性。根据实证分析结果,股指和CPI之间存在正向协整关系,协整误差对CPI的短期波动具有正向的修正作用。对于同步相关性,在低通胀区制内,股票收益率和通货膨胀率正相关,在高通胀区制内,股票收益率和通货膨胀率负相关。短期相关性不显著。
The paper discusses the correlation between real stock return and inflation rate in Chinese Mainland market based on Markov Regime Switching Model. According to the result of empirical analysis, there exists a positive cointegration relationship between real stock index and CPI. Cointegration error has a significantly correction effect on short-time fluctuation of CPI. In low inflation regime, there exists a positive contemporaneous correlation; and in high inflation regime, a negative but weak contemporaneous correlation exists. The correlation in the short term is not significant in statistics.
出处
《北京理工大学学报（社会科学版）》
CSSCI
2009年第4期50-53,62,共5页
Journal of Beijing Institute of Technology：Social Sciences Edition
