CAJ | 학술논문

通过研究不同通胀率趋势状态下股票实际收益与通胀率的影响关系,足以判断股票市场与不同宏观经济变量之间的逻辑关系。实证研究发现,1994年1月至1999年12月通胀率下滑时期,通胀率与股票真实收益率之间存在微弱负相关,实际上是受不显著的代理效应影响;2000年1月至2011年9月通胀率震荡攀升时期,通胀率与股票真实收益率显著负相关,来源于显著的代理与货币幻觉效应。因此,通胀率影响股票真实收益率的传导机制以及股票市场对各种经济变量变动的敏感度都取决于通胀率趋势状态,而采取适度紧缩的货币政策事先抑制通胀率趋势性上扬,就能达到维护市场稳定发展的作用。
통과연구불동통창솔추세상태하고표실제수익여통창솔적영향관계,족이판단고표시장여불동굉관경제변량지간적라집관계。실증연구발현,1994년1월지1999년12월통창솔하활시기,통창솔여고표진실수익솔지간존재미약부상관,실제상시수불현저적대리효응영향;2000년1월지2011년9월통창솔진탕반승시기,통창솔여고표진실수익솔현저부상관,래원우현저적대리여화폐환각효응。인차,통창솔영향고표진실수익솔적전도궤제이급고표시장대각충경제변량변동적민감도도취결우통창솔추세상태,이채취괄도긴축적화폐정책사선억제통창솔추세성상양,취능체도유호시장은정발전적작용。
By making clear the relationship between inflation rates and stock real return in different states of inflation＇s trend, this article finds the correlation between stock market and macroeconomic variables. By econometric testing, it is showed that weak negative relationship between real stock return and inflation stems from weak proxy effect during Jan 1994 to Dec 1999 which is characterized as go-down trend of inflation and strong negative real stock return-inflation relationship stems from remarkable proxy and money illusion effect during Jan 2000 to September 2011 which is characterized as go-up trend of inflation, so the transmission mechanism of inflation rate to market and the sensitivity of stock price changes to macroeconomic news depends on the state of inflation and implementing the appropriate tight monetary policy in advance to control the go-up trend of inflation can maintains the stability of stock market.