再探究通貨膨脹與股票報酬之關係：結構向量自迴歸之分析

Re-Investigating the Relationship between Inflation and Stock Returns: A SVAR Analysis

黃介正(Chieh-Cheng Huang)

指導教授 ： 張瑞娟

國立暨南國際大學/管理學院/經濟學系/碩士(2009年)

摘要

根據費雪關係式 (Fisher relationship)，通貨膨脹會與資產的報酬率呈現一比一的正向關係，但許多研究指出通貨膨脹與股票報酬之間卻呈現出顯著的負向關係；因此，在通貨膨脹與股票報酬之間長久以來便存在著迷思。本文將依循Gallagher and Taylor (2002) 所發展的架構，依據 Fama (1981) 提出的代理假說(proxy hypothesis) 來解釋通貨膨脹與股票報酬之間的關係，更進一步的將通貨膨脹分解成由供給面與需求面所引發之通貨膨脹，來探討其間之關係。在實證方法上，本文利用結構性向量自迴歸模型 (structural vector autoregression) 的估計方法，以美國與日本這兩個影響全球股市甚鉅的國家，以1957年第一季至2007年第四季的實際資料做為研究對象，藉以探討兩個國家分解過後之通貨膨脹與股票報酬之間的關係為何。該估計後的結果顯示，在日本與美國這兩個國家，由供給面所引發的通貨膨脹，確實與股票報酬呈現負向之關係。

關鍵字

通貨膨脹 ； 股票報酬 ； 結構性向量自迴歸

並列摘要

According to the Fisher relationship, there is a one-for-one and positive relationship between inflation and asset returns. However, many studies have pointed out that there is a significantly negative relationship between inflation and stock returns. Therefore, inflation and stock returns has been a long-lasting puzzle. This thesis will follow Gallagher and Taylor’s framework (2002) and Fama’s (1981) proxy hypothesis to explore the relationship between inflation and stock returns, with further breaking down the inflation from the supply and demand sides. Methodologically, this paper uses the estimation of structural vector autoregressive model to separately discuss the relationship between inflation and stock returns in the United States and Japan, which are two of big countries to mostly affect the global stock market. By analyzing the sample from the first quarter of 1957 to the fourth quarter of 2007, our estimation results show that there is a significantly negative relationship between inflation and stock returns due to a supply-side shock in both the United States and Japan.

並列關鍵字

Inflation ； Stock Returns ； Structural Vector Autoregression

參考文獻

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