通货膨胀与农业股票收益多尺度分析

摘要

通货膨胀水平与股票收益率的关系是金融学研究的热点问题之一。文章介绍了小波方法的多尺度分析原理，采用农林指数月度收盘价的对数收益率和消费者价格指数分别代表农业股票收益率和通货膨胀率的水平，得到2007年9月到2012年12月农业股票收益率和通货膨胀率的统计特征。以小波方法分解已知的时间序列，得到不同尺度的数值，利用最小二乘法实证两者之间的关系，得到在中尺度和大尺度的分析周期上，两者具有统计意义上显著地正相关关系，支持了费雪效应假说。而在短尺度分析周期上，两者又具有统计意义上的负相关性，出现了费雪效应悖论。%The relationship between inflation and capital markets is a central issue in finance. The theory about multi-scale analysis of wavelet methods was introduced. The statistical characteristics of agricultural stock returns and inflation from September 2007 to December 2012 were presented. Decomposition of the known time series by using the wavelet method, different scales of values could be reached. Empirical analysis was studied by the least squares method. The results show significant positive relationship in the intermediate-scale and large-scale analysis between the agricultural stock returns and inflation, supporting the hypothesis of the Fisher effect. While in the short-scale analysis, the relationship is significantly negative, yielding the paradox of the Fisher effect.