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本文采用SVAR模型研究供需两端的独立冲击下的股票收益与通货膨胀的关系。结果表明:在我国,供方的冲击引起股票收益与通货膨胀的正相关关系;而需方的冲击引起股票收益与通货膨胀的负相关关系。本文通过讨论供需双方对股票收益率和通胀率的传导机制中存在的问题,提出政策建议。
This paper uses SVAR model to study the relationship between stock returns and inflation under the independent shocks of supply and demand. The results show that in China, the impact of supply side causes a positive correlation between stock returns and inflation, while the impact of demand side causes the negative correlation between stock returns and inflation. In this paper, policy recommendations are put forward by discussing the problems existing in the transmission mechanism between supply and demand of stock returns and inflation.