股票報酬與通貨膨脹之關係:TAR模型的應用
| Autor: | Ya-Hui Zhan, 詹雅惠 |
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| Rok vydání: | 2011 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 99 According to the Fisher equation, we know that any asset's nominal return influenced by expected inflation rate and real returns. Many former empirical evidences indicate the relationship between stock returns and inflation is negative which is contrasted to Fisher equation. In order to reconcile the puzzle, we try to use threshold autoregressive model to investigate stock return whethere influenced by inflation or not. According to the empirical results, we find there exists a nonlinear relationship between stock return and inflation for G7 countries.While the inflation rate is low, the relationship between stock return and inflation is positive.This implies that holding stock can be used to avoid inflation risk. However, while inflation rate is high, the relationship between stock return and inflation is negative for some countries. In this circumstance stock would not be a good hedge tool against inflation risk. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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