摘要
为了判断股票价格与通货膨胀之间的相互关系,本文使用自回归分布滞后模型,对实际股票收益率与预期通货膨胀率进行回归检验,并检验了产生通货膨胀的格兰杰原因,发现我国股票市场并不存在"费雪效应",并且检验实际经济增长是通货膨胀产生的最主要原因,因此我国股票市场与实际经济发展之间的关系并不明显。
The paper investigates the nature of the relationship between stock prices and inflation rates, by using the auto regress distributed lag models and Granger Causality Tests. By exploring the data from the China’s economy, we get the evidences that suggest, in general case, stock prices and inflation rates exhibit a negative correlation relationship, and real economic growth is the main cause of inflation.
出处
《吉林华桥外国语学院学报》
2007年第2期87-93,共7页
Journal of Jilin Huaqiao University of Foreign Languages
