通货膨胀与股票收益的关系研究——基于具有财务杠杆与货币效用的资产定价模型

On the Relationship between Inflation and Stock Returns

探究通货膨胀与股票收益的关系,是考察宏观经济与金融市场互动机制的重要视角,也是当前学界的热点问题。本文以一般均衡模型为基础,通过设定货币效用函数(MIUF)并引入财务杠杆来分析货币经济下的资产定价问题,从而得到了一些重要的理论关系。其中,实际股票收益和通货膨胀都同时受到产出冲击与货币冲击的影响;股权溢价既取决于产出波动,也取决于产出增长与货币增长的相关程度。财务杠杆对通货膨胀与实际股票收益率关系的影响在不同条件下具有不对称性。对于通货膨胀与实际股票收益率的负相关关系,不存在财务杠杆时,必须是发生在产出增长与通货膨胀负相关的"滞胀区制"或"缩长区制";存在财务杠杆时,根据货币增长和产出增长之间的协方差与产出增长的方差可能存在的大小关系,财务杠杆只需符合不同的取值区间。

This article offers a tractable MIUF-type monetary asset pricing model with financial leverage. In this economy, financial leverage .leads to a closer relation between the monetary sector and the asset market. The real stock return and inflation are both influenced by the real shock and monetary shock. Due to the financial leverage, equity premium is shown to be jointly determined by the uncertainty and the covariance of the output growths and money growth. For the real stock returns-inflation relation, the financial leverage plays asymmetric roles in different regimes. Especially, to explain the negative real stock returns-inflation relation, the stagflation regime or deflationary-expansion regime is required when the financial leverage is absent, while different financial leverage value interval is required to compatible with the comparison results of covariance of the output growth and money growth and the output growth uncertainty when the financial leverage is present.