通货膨胀与中国股票价格波动_基于货币幻觉假说的解释_刘仁和.pdf

通货膨胀与中国股票价格波动 # 149 # ¹ 通货膨胀与中国股票价格波动 ) ) ) 基于货币幻觉假说的解释 刘 仁 和 ( 华南农业大学经济管理学院) = 本文研究货币幻觉是否有助于解释中国 通胀环境下股票价格膨胀机 制应用动态戈登增长模型, 将反映股市估值水平的红利- 股价比率分解为代理效 应通货膨胀风险溢价效应和货币幻觉效应三个动态部分中国股票市场的这三个 动态分解部分和通货膨胀之间关系的实证结果表明: 代理效应不存在, 通货膨胀风 险溢价效应的解释力弱, 而通货膨胀解释了货币幻觉效应时序变化的较大部分, 说 明近十年来我国股市两次暴涨主要是在长期 通货膨胀背景下, 通过投资者的货币 幻觉引起的 股票 货币幻觉 代理假说 风险溢价 F 830191 A The Effects of Inflation on Chinaps Stock Prices: An Explanation Based on Money Illusion Hypothesis Abstract: T his paper sug gest s an ex planation based on money illu sion hypot h- esis or t he mechanism o shar p run- up s in sto ck prices during t he low in lat io n pe- r io d in China1T he paper applies t he dy namic Gordon gro wt h m odel t o deco mpose the div idend- pr ice int o t hr ee dy namic part s w hich capt ure the pro xy e ect , risk pre- m ium e ect , and money illu sion e ect1 T he em pirical results o t he relat ionships bet w een t he three par ts and in lat io n in China show t hat t he prox y e ect does not ex ist , risk premium e ect is w eak, and t he level o in lation ex plains a majorit y o the t im e- series v ariat ion in mo ney illu sion e ect1 L ong- term low in lat ion spurs China. s st ock market to rise sharply t w ice v ia money illu sio n last decade1 Key ords: Sto ck M arket ; Mo ney Il lusio n; Pr oxy H ypot hesis; Risk Premium ¹ ( : ( : 06J A 790038) , , # 150 #