实际股票收益、通货膨胀与货币政策的周期性

Real Stock Returns, Inflation and Monetary Cyclical Nature in China

国外经验表明,顺周期和逆周期货币政策对实际股票收益和通货膨胀的关系有着不同的影响。顺周期货币政策导致实际股票收益与通货膨胀呈正相关关系,逆周期货币政策导致二者呈负相关关系。1991年1月～2002年10月期间,中国实际股票收益与通货膨胀呈现明显的负相关关系,且二者的负相关关系是稳定的;货币政策基本上表现为逆经济周期特性,但调整缓慢,导致了实际股票收益与通货膨胀的负相关关系;格兰杰因果检验表明,实际经济活动是通货膨胀的格兰杰原因,货币供给不是通货膨胀的格兰杰原因,支持了Fama提出的关于股票收益与通货膨胀负相关的代理效应假设。

This paper empirically tests the relationship between real stock returns and inflation in China. The relation was found to be negative and stable from January 1991 to October 2002 in China. Monetary growth was neutral to the variation of real economic activity, while inflation was accommodated with real output. Through Granger causality test, real output was found to be the Granger cause of inflation, and monetary growth was the Granger cause of inflation. Overall, the results support Fama's proxy hypothesis.