通货膨胀率与股票收益率关系——基于门槛回归模型的再检验

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。

The Retest of Fisher Effect in China's Stock Market Based on Threshold Regression Model

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.