摘要
股票收益率与通货膨胀率之间的关系至今仍无定论。采用1991年1月到2011年8月的月度数据,运用VAR模型对我国的股票收益率与通货膨胀率之间的关系进行实证分析,结果发现不论是预期的通货膨胀还是非预期的通货膨胀与股票实际收益率都是负相关关系。表明费雪效应在我国不成立,股票并不是对冲通货膨胀风险的理想工具。
Between stock returns and inflation relationship has remained open. In this paper, in January 1991 to August 2011 monthly data, the use of VAR models for China＇s stock returns and inflation relationship between the empirical analyses found that both the expected inflation or unexpected inflation and real stock returns are negatively correlated. That the Fisher effect does not hold in our county, the stock is not the ideal tool for hedging inflation risk.
出处
《金融理论与实践》
CSSCI
北大核心
2012年第4期1-4,共4页
Financial Theory and Practice
