我国艺术品投资收益率与通货膨胀率相关性研究

A Study on the Relationship between the Rate of Return to Art and Inflation Rate in China

通过构建三区制下的马尔可夫区制转换模型,分析2000-2018年不同通货膨胀率情况下我国艺术品投资收益率与通货膨胀率的相关性,研究发现:温和通胀时我国艺术品投资收益率较高,爬行式通胀时收益率最高,通货紧缩时收益率最低,且通货紧缩概率与其他两区制总概率相比较低。因此,在大多数时间内艺术品投资收益率较为可观;艺术品投资收益率与通货膨胀率的相关性是非线性的,在通货紧缩和爬行式通胀区制内,艺术品收益率和通货膨胀率正相关,而在温和通胀区制内,艺术品收益率和通货膨胀率负相关。研究结论表明,除通货紧缩时期外,我国艺术品市场具有较良好的投资价值。

By constructing a Markov Regime-Switching VAR model to analyze the relationship between the return rate of china s art market and inflation rate under different level of inflation rate during 2000 to 2018,this study finds that:the return rate of China s art market is high under moderate inflation,the highest under creeping inflation and the lowest under deflation;the probability of deflation is significantly lower than the total probability of the other two regimes,which indicates that the return of China s art market is considerable in most periods;the relationship between the return rate of china s art market and inflation rate is nonlinear;in deflation regime and creeping inflation regime,there exists a positive contemporaneous correlation,while in moderate inflation regime,a negative contemporaneous correlation exists.These research conclusions show that except the deflationary period,China s art market has relatively good investment value.