| 通货膨胀率和股票收益率的相关性的实证研究——基于马尔可夫转换模型 |
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| 引用本文： | 苟小菊,王世雷.通货膨胀率和股票收益率的相关性的实证研究——基于马尔可夫转换模型[J].北京理工大学学报(社会科学版),2009,11(4):50-53. |
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| 作者姓名： | 苟小菊 王世雷 |
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| 作者单位： | 1.中国科学技术大学管理学院, 合肥 230027 |
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| 摘 要： | 通过建立马尔可夫向量误差修正模型，分别在高通胀和低通胀两个区制内研究股票实际收益率和通货膨胀率的相关性。根据实证分析结果，股指和CPI之间存在正向协整关系，协整误差对CPI 的短期波动具有正向的修正作用。对于同步相关性，在低通胀区制内，股票收益率和通货膨胀率正相关，在高通胀区制内，股票收益率和通货膨胀率负相关。短期相关性不显著。
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| 关 键 词： | 股票实际收益 通货膨胀率 马尔可夫区制转换 向量误差修正模型 |
| 收稿时间： | 2008/11/25 0:00:00 |
An Empirical Study of the Correlation between Real Stock Return and Inflation Rate on the Basis of Markov Regime Switching Mode |
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| GOU Xiao-jv and WANG Shi-lei.An Empirical Study of the Correlation between Real Stock Return and Inflation Rate on the Basis of Markov Regime Switching Mode[J].Journal of Beijing Institute of Technology(Social Sciences Edition),2009,11(4):50-53. |
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| Authors: | GOU Xiao-jv and WANG Shi-lei |
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| Institution: | 1.School of Management,China University of Science and Technology, Hefei 230027 |
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| Abstract: | The paper discusses the correlation between real stock return and inflation rate in Chinese Mainland market based on Markov Regime Switching Model.According to the result of empirical analysis,there exists a positive cointegration relationship between real stock index and CPI.Cointegration error has a significantly correction effect on short-time fluctuation of CPI.In low inflation regime,there exists a positive contemporaneous correlation;and in high inflation regime,a negative but weak contemporaneous cor... |
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| Keywords: | real stock return inflation rate Markov regime switching vector error correction |
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