通货膨胀与股票收益:需求冲击与供给冲击效应分解

将影响宏观经济波动的冲击分解为两类:供给冲击和需求冲击,并考察它们对通货膨胀和股票收益关系的影响.一个简化的理论模型表明,供给冲击导致通货膨胀与股票收益负相关,而需求冲击则导致通货膨胀与股票收益正相关;供给冲击下通货膨胀和价格水平都是逆经济周期的,而需求冲击下通货膨胀和价格水平则是顺经济周期的.以上结果也得到中国经验数据的支持.中国的经验还表明,短期股票收益动态更大程度上由供给冲击决定,而短期通货膨胀动态则主要由需求冲击决定.在总体或长期上,实际股票收益和通货膨胀呈现负相关关系,归因于两类冲击中供给冲击的效应占相对主导地位.

Stock returns and inflation: Decomposition analysis in effects of aggregate demand and aggregate supply disturbances

This paper decomposes the macroeconomic dynamics into the demand disturbances and supply disturbances, and discusses their effects on the relationship between inflation and stock return. The simple theoretical model shows that the supply disturbances lead to the negative correlation across inflation and stock returns while the demand disturbances lead to their positive correlation. Furthermore, both inflation rate and price level are countercyclical under the supply disturbances while they are procyclical under the demand disturbances. These conclusions are supported by the empirical results of China. The empirical results also show that the short-term dynamics of stock returns is largely due to the supply disturbances while the short-term dynamics of inflation is largely due to the demand disturbances. It totally manifests the negative correlation between inflation and stock return due to supply shocks dominating over demand shocks.