通胀预期、通胀预测误差与股票收益的非线性动态效应——理论分析与实证研究

The Nonlinear Dynamics Assessment of Inflation Expectations,Inflation Surprise and Stock:ReturnsTheoretical Analysis and Empirical Research

本文首先在单一商品经济体框架下阐述通胀预期和通胀预测误差影响股票收益的微观机理。然后,基于长短期非对称视角,运用非线性自回归分布滞后(NARDL)模型对我国通胀预期和股票收益之间的非线性累积动态效应进行实证研究。研究发现,通胀预期和通胀预测误差对股票收益的影响均是非对称的,且长短期影响具有异质性。具体而言,通胀预期和通胀预测误差的弱化对股票收益的影响更为显著;通胀预期、通胀预测误差对股票收益的正向影响主要表现在短期,长期内它们对股票收益具有抑制作用,说明股票投资仅能在短期内抵御通胀风险。机制检验表明,利率和投资者情绪是预期通胀与通胀预测误差影响股票收益的两条重要渠道。

Since the COVID-19,the continued loose monetary policies of various countries in the world have strengthened inflation expectations.Since inflation is always one of the important factors for investors to make investment decisions,the upward pressure of inflation will bring about the instability of the stock market,result⁃ing in the dual fluctuations of prices and financial markets.Price stability and financial stability are important objectives of dual-pillar regulation.It is of great importance to clarify the relationship between inflation expecta⁃tions and stock returns for the accurate realization of the target of dual-pillar regulation policies and investors'bet⁃ter avoidance of inflation risks.In the framework of a single commodity economy,the nonlinear relationships between stock returns and inflation expectations and inflation surprise are discussed in this paper.Furthermore,based on the asymmetric long-term and short-term perspective,the nonlinear autoregressive distributed lag(NARDL)model is applied to conduct empirical research.The empirical results show that the positive and negative changes of inflation expectation and inflation surprise have asymmetric effects on stock returns in the short and long term.The response of stock return to the negative change of inflation expectation or inflation surprise is greater,which indicates that the weakening of inflation expectation or inflation surprise has a more significant impact on stock return.The positive relationships between inflation expectation,inflation surprise and stock returns are mainly shown in the short term,and in the long term,inflation expectation and inflation surprise have a restraining effect on stock returns.It shows that stock investment can resist the inflation risk in the short term,but in the long term,stock investment is no longer an effective tool to resist the inflation risk.