摘要
自费雪效应(假说)提出以来,通货膨胀率与股票收益率之间的关系引发了大量的争论,但二者之间的关系并无定论。本文利用门槛回归模型对通货膨胀率和股票收益率之间的关系进行的再检验,我们的研究发现:总体上,通货膨胀率和股票收益率表现为负相关,并且具有显著的门槛效应,当通货膨胀率较低或处于通货紧缩时,股票收益率和通货膨胀率之间存在不显著的负相关关系,而当通货膨胀率较高时,则表现为显著的负相关关系,呈现出明显的非对称性的特征,股票并不是抵御通货膨胀风险理想的保值品。此外,我们还对黄金类股票和黄金现货也进行了检验,研究表明,黄金现货与通货膨胀关系不显著,而黄金股收益率与沪深股市指数类似,与通货膨胀率具有显著的负相关关系,均非理想的抵御通胀保值品。
There is no consistent conclusion in empirical research about the the Fisher effect reflecting the relationship between inflation rate and stock return. In this paper, the threshold regression model is employed to examine the Fisher effects in China＇s Stock Market. The results find that the stock returns and inflation rate shows a negative correlation, which shows that the Fisher effect does not hold in China＇s stock market. But there exists an obvious threshold effect： the negative correlation is not significant during the period of low inflation or deflation, but when the inflation rate is high, the negative correlation is significant, which show an obvious asymmetric feature. This result indicates that stock is not an ideal hedge against inflation in China. Additionally, further tests show that the price of gold spot is not significantly related with inflation and the negative relation between inflation and the index of gold stocks implies those gold stocks are also not a good hedge.
出处
《数理统计与管理》
CSSCI
北大核心
2013年第1期155-164,共10页
Journal of Applied Statistics and Management
基金
教育部人文社科基金项目"积极财政政策
价格水平决定与通货膨胀治理研究"(10YJA790041)
福建省社科基金项目"我国财政支出的动态
非均衡增长效应与通货膨胀风险研究"(2009B064)
国家社科基金重点项目"转变经济发展方式的理论与政策研究"(10AJL004)
吉林大学基本科研业务费项目(2011ZZ021)
吉林大学985平台项目资助
