An Empirical Analysis of the Relation between Stock Returns and Inflation: Some Evidence from China

摘要：

We explain the relation between stock returns and inflation from two different shocks: supply shocks and demand shocks. Supply shocks are derived from real output shocks and cause a negative relation between stock returns and inflation, while demand shocks are influenced by monetary shocks and generate a positive relation between stock returns and inflation. The empirical results show that the relation between stock returns and inflation varies over time, greatly depending on the relative importance of the two types of shocks.

关键词： Stock Returns Inflation Supply and Demand Shocks SVAR Model

作者: HE Xiaowei CHEN Zhaoxu

作者单位: School of Economics and Management, P.R.China, Tsinghua University Great Wall Securities Co.Ltd., P. Department of Public Management, Changchun Taxation College, P.R.China, 130117

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-5

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）