价格周期中的“股票收益率与通货膨胀率之谜”

Stock Return-Inflation Puzzle in Price Cycles

采用Blanchard和Quah的方法构建结构SVAR模型,可以将系统冲击(或新息)分解为供给冲击和需求冲击,通过脉冲响应函数探讨"股票收益率与通货膨胀率之谜"的原因。依据1991年1月～2008年10月的价格水平序列,对整个样本区间分阶段进行检验,结果表明,供给冲击的影响在三个阶段中分别导致实际股票收益率和通货膨胀率负相关、正相关、正相关。Fama关于解释"股票收益率与通货膨胀率之谜"的"代理假说"成立,即通货膨胀率通过实际变量与实际股票收益率相关。

Based on the method supposed by Blanchard ＆ Quah, the authors build a structural vector autoregressive model and decompose innovations into two parts, which are stock supply shock and demand shock. Thereby, the authors can investigate the reason of the stock return and inflation puzzle through the impulse response function. By the series of price level from January, 1991 to October, 2008, the authors divide the whole period into three sub periods. The empirical analysis shows that in these three periods, the relation influenced by the supply shock between these two variables is negative correlation, positive correlation and positive correlation respectively. Then, the proxy hypothesis proposed by Fama that intercept the stock return - inflation puzzle is correct, so the inflation is correlated with stock returns through the other real variables.