摘要
本文运用TVP-VAR-SV模型,实证分析了股票收益率与通胀预期以及未预期通胀之间的动态影响关系。结果表明:一方面,在"通胀幻觉"作用下,通胀预期对股票收益率形成负向影响,未预期通货膨胀则对股票收益率形成正向影响。进一步的研究发现,未预期通胀对股票收益率的影响更为显著。另一方面,股票收益率能够推高通货膨胀预期,也对未预期通胀形成了正向冲击。上述变量间的相互影响还具有时变特征。本文建议,应进一步重视通胀预期管理,提高政策透明度,降低未预期的通胀水平,避免其形成推动通货膨胀与资产价格间螺旋式上升的机制。
This paper uses TVP-VAR-SV model to empirically analyze the dynamic relationship between stock returns and inflation expectations. There are two major results out of the study.Firstly,under the effect of inflation illusion,expected inflation has negative impact on stock returns,while unexpected inflation has positive impact on stock returns. The latter impact is even more significant than the first one. Secondly,stock returns may help to increase both inflation expectations and unexpected inflation. Moreover,the interaction between inflation expectations and stock returns is time-varying. The study draws a conclusion that we should pay more attention to inflation expectation management,improve policy transparency,reduce the level of unexpected inflation,and avoid a spiral increase of inflation and asset price.
作者
王宇伟
丁慧
盛天翔
Wang Yuwei;Ding Hui;Sheng Tianxiang(School of Economics,Nanjing University,Nanjing 210093,China;School of Finance,Nanjing University of Finance and Economics,Nanjing 210023,China;College of Finance,Nanjing Agriculture University,Nanjing 210095,China)
出处
《南开经济研究》
CSSCI
北大核心
2018年第6期129-148,共20页
Nankai Economic Studies
基金
教育部"创新团队发展计划"滚动支持项目"经济转型期稳定物价的货币政策"(IRT_17R52)
教育部人文社会科学研究青年基金项目"‘物价+金融’双稳定视角下中国广义价格指数构建与调控研究"(18YJC790024)的资助
中央专项资金(010414380001)
国家自然科学基金面上项目"信贷传导渠道下货币政策与资本监管的协调研究"(71673132)
