通货膨胀与中国股票价格波动——基于货币幻觉假说的解释

The Effects of Inflation on China's Stock Prices:An Explanation Based on Money Illusion Hypothesis

本文研究货币幻觉是否有助于解释中国低通胀环境下股票价格膨胀机制。应用动态戈登增长模型,将反映股市估值水平的红利-股价比率分解为代理效应、通货膨胀风险溢价效应和货币幻觉效应三个动态部分。中国股票市场的这三个动态分解部分和通货膨胀之间关系的实证结果表明:代理效应不存在,通货膨胀风险溢价效应的解释力弱,而通货膨胀解释了货币幻觉效应时序变化的较大部分,说明近十年来我国股市两次暴涨主要是在长期低通货膨胀背景下,通过投资者的货币幻觉引起的。

This paper suggests an explanation based on money illusion hypothesis for the mechanism of sharp run-ups in stock prices during the low inflation period in China. The paper applies the dynamic Gordon growth model to decompose the dividend-price into three dynamic parts which capture the proxy effect, risk premium effect, and money illusion effect. The empirical results of the relationships between the three parts and inflation in China show that the proxy effect does not exist, risk premium effect is weak, and the level of inflation explains a majority of the time-series variation in money illusion effect. Long-term low inflation spurs China＇s stock market to rise sharply twice via money illusion last decade.