股票收益率与国债收益率的动态关系——从Fed Model到G-K Model

The Dynamic Relationship between Stock and Treasury Bond Yields

本文基于Fed Model和G-K Model考察了中国和美国股票与债券收益率的动态关系。结论认为股票收益率与债券市场收益率并不存在简单的线性均衡关系,背后起决定性作用的是经济周期力量。在经济稳中趋缓,货币稳健中性、金融去杠杆、经济调结构的当下,中国股票与债券收益率或将保持温和震荡格局。

This paper makes use of the Fed Model and the G-K Model to examine the dynamic relationship between stock and bond yields in China and the United States. The paper＇ s conclusion is that there is no simple linear equilibrium relationship between stock and bond market yields. The economic cycle plays a decisive role in driving changes in a series of indicators. With a background of slower economic growth a stable and neutral monetary policy combined with financial deleveraging and structural economic adjustment China＇s stock and bond yields may need to adjust to a series of moderate shocks.