臺灣博碩士論文加值系統

於本論文，我們將檢視在長期保有期間下，股票報酬與通貨膨脹之間的關係。一般而言，股票資產之價值應該與通貨膨脹無關；然而，實際上我們卻不易得到這樣的結果。許多實證文獻已發現通貨膨脹與股票報酬存在負的短、長期關係。Boudoukh & Richardson (1993, 簡稱BR) 使用工具變數估計方法，重新檢視二者關係，結果發現於長期保有期間 (五年期) 下，名目股票報酬與事前 (以及事後) 通貨膨脹率呈正的關係。BR所使用的工具變數，包括以過去一年與五年的通貨膨脹率，並以此當作未來通貨膨脹率之預期值。本論文則欲提供相當的證據，以支持BR的觀點，我們相信通貨膨脹率的持續性愈強，則BR的結果的合理性愈大。我們使用許多工業以及新興國家的月資料，結果證據顯示，傾向於支持費雪假說以及於長保有期間下通貨膨脹率與股價報酬率呈正的關係；是故，我們的實證結果可視為BR模型之延伸或補充。

In this dissertation, we examine the relation between stock returns and inflation at long horizons. In principle, equities ought to be an inflation hedge. In practice, however, evidence of such behavior has been difficult to come by. Numerous empirical studies have documented that increase in inflation have negative, short-run but positive, long-run effects on stock returns. Boudoukh & Richardson (1993, BR) re-investigated the relation using instrumental variables estimation method and found that long-horizon (five years) nominal stock returns are positively related to both ex ante and ex post long-term inflation. The main set of instruments for BR includes the past one-year and five-year inflation rates, which are used as predictors of future inflation. In this dissertation, however, we provide some evidence to support BR’s arguments. We believe that the more persistence in inflation we have found, the more reasonable BR’s results are. Using monthly data from many industrial and emerging countries, we find support for Fisher Hypothesis, as well as a positive relation between long-horizon nominal stock returns and expected inflation. Our empirical results complement and strengthen those of BR.

目 錄

致謝---------------------------------------------------------------------------------------i
中文摘要--------------------------------------------------------------------------------ii
英文摘要-------------------------------------------------------------------------------iii
目錄-------------------------------------------------------------------------------------iv
圖目錄-----------------------------------------------------------------------------------v
表目錄----------------------------------------------------------------------------------vi

第一章 緒論--------------------------------------------------------------------------1

第二章 文獻回顧--------------------------------------------------------------------4

第三章 BR模型之應用-----------------------------------------------------------10
第一節 IV方法---------------------------------------------------------------10
第二節 BR模型--------------------------------------------------------------13

第四章 持續性的判斷-------------------------------------------------------------16

第五章 樣本資料與實證分析------------------------------------------------22
第一節 樣本期間-------------------------------------------------------------22
第二節 實證分析-------------------------------------------------------------23

第六章 結論與未來研究方向----------------------------------------------33

參考文獻------------------------------------------------------------------------------50

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