三区制下我国通货膨胀率和股票收益率关系的实证研究——基于马尔科夫区制转换VAR模型

An Empirical Study on the Relationship between Inflation Rate and Stock Return under the Three-Regime System: Based on the Markov-Switching VAR Model

通货膨胀率和实际股票收益率的相关性一直是宏观经济及金融等研究领域的热点问题之一。通过构建非对称的通货膨胀率和实际股票收益率的理论模型,并建立马尔科夫区制转换VAR模型研究三区制下我国的上述两者关系后发现:剔除2014年下半年“杠杠牛”导致的唯一一次“通缩与牛市”并存现象,低通胀下实际股票收益率较低,温和通胀下实际股票收益率最高,高通胀下实际股票收益率最低;给定通货膨胀率一个正向的外界冲击,实际股票收益率在3个区制内均呈现负向变动的趋势,我国A股市场存在“费雪效应之谜”;创新性地应用区制转换脉冲响应函数分析发现,经济系统进行区制间转换时实际股票收益率与通胀率也呈现负向变动的态势。

The correlation between inflation rate and actual stock return rate has always been one of the hot issues in macroeconomics. By constructing a theoretical model of asymmetric relations between stock return and inflation rate and establishing the Markov Regime-Switching VAR model to explore their relationship under the three-regime system, we come to some conclusions: Stock return is low under low inflation, the highest under moderate inflation and the lowest under hyperinflation, except the coexistence of “deflation and bull market” during the second half of 2014;by giving inflation rate a positive external impact, actual stock return changes reversely in three regimes, so that the “riddle of Fisher Effect” does exist in the A-share market of China;actual stock return rate and inflation rate also show a negative trend when the economic system transits between systems by innovatively applying the regime-switching impulse response function.