1、外文题目CANMACROECONOMICVARIABLESEXPLAINLONGTERMSTOCKMARKETMOVEMENTSACOMPARISONOFTHEUSANDJAPAN出处SCHOOLOFECONOMICSANDFINANCE,UNIVERSITYOFSTANDREWS,STANDREWS,UK,作者ANDREASHUMPEPETERMACMILLANCANMACROECONOMICVARIABLESEXPLAINLONGTERMSTOCKMARKETMOVEMENTSACOMPARISONOFTHEUSANDJAPANBYANDREASHUMPEPETERMACMILLAN原文A
2、BSTRACTWITHINTHEFRAMEWORKOFASTANDARDDISCOUNTEDVALUEMODELWEEXAMINEWHETHERANUMBEROFMACROECONOMICVARIABLESINFLUENCESTOCKPRICESINTHEUSANDJAPANACOINTEGRATIONANALYSISISAPPLIEDINORDERTOMODELTHELONGTERMRELATIONSHIPBETWEENINDUSTRIALPRODUCTION,THECONSUMERPRICEINDEX,MONEYSUPPLY,LONGTERMINTERESTRATESANDSTOCKPRI
3、CESINTHEUSANDJAPANFORTHEUSWEFINDTHEDATAARECONSISTENTWITHASINGLECOINTEGRATINGVECTOR,WHERESTOCKPRICESAREPOSITIVELYRELATEDTOINDUSTRIALPRODUCTIONANDNEGATIVELYRELATEDTOBOTHTHECONSUMERPRICEINDEXANDALONGTERMINTERESTRATEWEALSOFINDANINSIGNIFICANTALTHOUGHPOSITIVERELATIONSHIPBETWEENUSSTOCKPRICESANDTHEMONEYSUPP
4、LYHOWEVER,FORTHEJAPANESEDATAWEFINDTWOCOINTEGRATINGVECTORSWEFINDFORONEVECTORTHATSTOCKPRICESAREINFLUENCEDPOSITIVELYBYINDUSTRIALPRODUCTIONANDNEGATIVELYBYTHEMONEYSUPPLYFORTHESECONDCOINTEGRATINGVECTORWEFINDINDUSTRIALPRODUCTIONTOBENEGATIVELYINFLUENCEDBYTHECONSUMERPRICEINDEXANDALONGTERMINTERESTRATETHESECON
5、TRASTINGRESULTSMAYBEDUETOTHESLUMPINTHEJAPANESEECONOMYDURINGTHE1990SANDCONSEQUENTLIQUIDITYTRAPKEYWORDSSTOCKMARKETINDICES,COINTEGRATION,INTERESTRATESIINTRODUCTIONASIGNIFICANTLITERATURENOWEXISTSWHICHINVESTIGATESTHERELATIONSHIPBETWEENSTOCKMARKETRETURNSANDARANGEOFMACROECONOMICANDFINANCIALVARIABLES,ACROSS
6、ANUMBEROFDIFFERENTSTOCKMARKETSANDOVERARANGEOFDIFFERENTTIMEHORIZONSEXISTINGFINANCIALECONOMICTHEORYPROVIDESANUMBEROFMODELSTHATPROVIDEAFRAMEWORKFORTHESTUDYOFTHISRELATIONSHIPONEWAYOFLINKINGMACROECONOMICVARIABLESANDSTOCKMARKETRETURNSISTHROUGHARBITRAGEPRICINGTHEORYAPTROSS,1976,WHEREMULTIPLERISKFACTORSCANE
7、XPLAINASSETRETURNSWHILEEARLYEMPIRICALPAPERSONAPTFOCUSSEDONINDIVIDUALSECURITYRETURNS,ITMAYALSOBEUSEDINANAGGREGATESTOCKMARKETFRAMEWORK,WHEREACHANGEINAGIVENMACROECONOMICVARIABLECOULDBESEENASREFLECTINGACHANGEINANUNDERLYINGSYSTEMATICRISKFACTORINFLUENCINGFUTURERETURNSMOSTOFTHEEMPIRICALSTUDIESBASEDONAPTTHE
8、ORY,LINKINGTHESTATEOFTHEMACROECONOMYTOSTOCKMARKETRETURNS,ARECHARACTERISEDBYMODELLINGASHORTRUNRELATIONSHIPBETWEENMACROECONOMICVARIABLESANDTHESTOCKPRICEINTERMSOFFIRSTDIFFERENCES,ASSUMINGTRENDSTATIONARITYFORASELECTIONOFRELEVANTSTUDIESSEEINTERALIAFAMA1981,1990,FAMAANDFRENCH1989,SCHWERT1990,FERSONANDHARV
9、EY1991ANDBLACK,FRASERANDMACDONALD1997INGENERAL,THESEPAPERSFOUNDASIGNIFICANTRELATIONSHIPBETWEENSTOCKMARKETRETURNSANDCHANGESINMACROECONOMICVARIABLES,SUCHASINDUSTRIALPRODUCTION,INFLATION,INTERESTRATES,THEYIELDCURVEANDARISKPREMIUMANALTERNATIVE,BUTNOTINCONSISTENT,APPROACHISTHEDISCOUNTEDCASHFLOWORPRESENTV
10、ALUEMODELPVM1THISMODELRELATESTHESTOCKPRICETOFUTUREEXPECTEDCASHFLOWSANDTHEFUTUREDISCOUNTRATEOFTHESECASHFLOWSAGAIN,ALLMACROECONOMICFACTORSTHATINFLUENCEFUTUREEXPECTEDCASHFLOWSORTHEDISCOUNTRATEBYWHICHTHESECASHFLOWSAREDISCOUNTEDSHOULDHAVEANINFLUENCEONTHESTOCKPRICETHEADVANTAGEOFTHEPVMMODELISTHATITCANBEUSE
11、DTOFOCUSONTHELONGRUNRELATIONSHIPBETWEENTHESTOCKMARKETANDMACROECONOMICVARIABLESCAMPBELLANDSHILLER1988ESTIMATETHERELATIONSHIPBETWEENSTOCKPRICES,EARNINGSANDEXPECTEDDIVIDENDSTHEYFINDTHATALONGTERMMOVINGAVERAGEOFEARNINGSPREDICTSDIVIDENDSANDTHERATIOOFTHISEARNINGSVARIABLETOCURRENTSTOCKPRICEISPOWERFULINPREDI
12、CTINGSTOCKRETURNSOVERSEVERALYEARSTHEYCONCLUDETHATTHESEFACTSMAKESTOCKPRICESANDRETURNSMUCHTOOVOLATILETOACCORDWITHASIMPLEPRESENTVALUEMODELENGLEANDGRANGER1987ANDGRANGER1986SUGGESTTHATTHEVALIDITYOFLONGTERMEQUILIBRIABETWEENVARIABLESCANBEEXAMINEDUSINGCOINTEGRATIONTECHNIQUESTHESEHAVEBEENAPPLIEDTOTHELONGRUNR
13、ELATIONSHIPBETWEENSTOCKPRICESANDMACROECONOMICVARIABLESINANUMBEROFSTUDIES,SEEINTERALIAMUKHERJEEANDNAKA1995,CHEUNGANDNG1998,NASSEHANDSTRAUSS2000,MCMILLAN2001ANDCHAUDHURIANDSMILES2004NASSEHANDSTRAUSS2000,FOREXAMPLE,FINDASIGNIFICANTLONGRUNRELATIONSHIPBETWEENSTOCKPRICESANDDOMESTICANDINTERNATIONALECONOMIC
14、ACTIVITYINFRANCE,GERMANY,ITALY,NETHERLANDS,SWITZERLANDANDTHEUKINPARTICULARTHEYFINDLARGEPOSITIVECOEFFICIENTSFORINDUSTRIALPRODUCTIONANDTHECONSUMERPRICEINDEX,ANDSMALLERBUTNEVERTHELESSPOSITIVECOEFFICIENTSONSHORTTERMINTERESTRATESANDBUSINESSSURVEYSOFMANUFACTURINGTHEONLYNEGATIVECOEFFICIENTSAREFOUNDONLONGTE
15、RMINTERESTRATESADDITIONALLY,THEYFINDTHATEUROPEANSTOCKMARKETSAREHIGHLYINTEGRATEDWITHTHATOFGERMANYANDALSOFINDINDUSTRIALPRODUCTION,STOCKPRICESANDSHORTTERMRATESINGERMANYPOSITIVELYINFLUENCERETURNSONOTHEREUROPEANSTOCKMARKETSNAMELYFRANCE,ITALY,NETHERLANDS,SWITZERLANDANDTHEUKINTHISPAPER,WEWILLDRAWUPONTHEORY
16、ANDEXISTINGEMPIRICALWORKASAMOTIVATIONTOSELECTANUMBEROFMACROECONOMICVARIABLESTHATWEMIGHTEXPECTTOBESTRONGLYRELATEDTOTHEREALSTOCKPRICEWETHENMAKEUSEOFTHESEVARIABLES,INACOINTEGRATIONMODEL,TOCOMPAREANDCONTRASTTHESTOCKMARKETSINTHEUSANDJAPANINCONTRASTTOMOSTOTHERSTUDIESWEEXPLICITLYUSEANEXTENDEDSAMPLESIZEOFMO
17、STOFTHELASTHALFCENTURY,WHICHCOVERSTHEMOSTSEVERESTOCKMARKETBOOMSINUSANDJAPANWHILEJAPANSHAYDAYSHAVEBEENINTHELATE1980S,THEUSSTOCKMARKETBOOMOCCURREDDURINGTHE1990SANDENDEDIN2000JAPANSSTOCKMARKETHASNOTYETFULLYRECOVEREDFROMASIGNIFICANTDECLINEDURINGTHE1990S,ANDATTHETIMEOFWRITING,TRADESATAROUNDAQUARTEROFTHEV
18、ALUEITSAWATITSPEAKIN19892THEAIMOFTHISPAPERISTOSEEWHETHERTHESAMEMODELCANEXPLAINTHEUSANDJAPANESESTOCKMARKETWHILEYIELDINGCONSISTENTFACTORLOADINGSTHISMIGHTBEHIGHLYRELEVANT,FOREXAMPLE,TOPRIVATEINVESTORS,PENSIONFUNDSANDGOVERNMENTS,ASMANYLONGTERMINVESTORSBASETHEIRINVESTMENTINEQUITIESONTHEASSUMPTIONTHATCORP
19、ORATECASHFLOWSSHOULDGROWINLINEWITHTHEECONOMY,GIVENEITHERACONSTANTORSLOWLYMOVINGDISCOUNTRATETHUS,THEEXPECTEDRETURNONEQUITIESMAYBELINKEDTOFUTUREECONOMICPERFORMANCEAFURTHERCONCERNMIGHTBETHEIMPACTOFTHEJAPANESEDEFLATIONONREALEQUITYRETURNSINTHISPAPER,WEMAKEUSEOFTHECOINTEGRATIONMETHODOLOGY,TOINVESTIGATEWHE
20、THERTHEJAPANESESTOCKMARKETHASBROADLYFOLLOWEDTHESAMEEQUITYMODELTHATHASBEENFOUNDTOHOLDINTHEUSINTHEFOLLOWINGSECTION,WEBRIEFLYOUTLINETHESIMPLEPRESENTVALUEMODELOFSTOCKPRICEFORMATIONANDMAKEUSEOFITINORDERTOMOTIVATEOURDISCUSSIONOFTHEMACROECONOMICVARIABLESWEINCLUDEINOUREMPIRICALANALYSISINTHETHIRDSECTIONWEBRI
21、EFLYOUTLINETHECOINTEGRATIONMETHODOLOGY,INTHEFOURTHSECTIONWEDISCUSSOURRESULTSANDINTHEFIFTHSECTIONWEOFFERASUMMARYANDSOMETENTATIVECONCLUSIONSBASEDONOURRESULTSASSUGGESTEDBYCHEN,ROLLANDROSS1986,THESELECTIONOFRELEVANTMACROECONOMICVARIABLESREQUIRESJUDGEMENTANDWEDRAWUPONBOTHONEXISTINGTHEORYANDEXISTINGEMPIRI
22、CALEVIDENCETHEORYSUGGESTS,ANDMANYAUTHORSFIND,THATCORPORATECASHFLOWSARERELATEDTOAMEASUREOFAGGREGATEOUTPUTSUCHASGDPORINDUSTRIALPRODUCTION4WEFOLLOW,CHEN,ROLLANDROSS1986,MAYSAMIANDKOH1998ANDMUKHERJEEANDNAKA1995ANDMAKEUSEOFINDUSTRIALPRODUCTIONINTHISREGARDUNANTICIPATEDINFLATIONMAYDIRECTLYINFLUENCEREALSTOC
23、KPRICESNEGATIVELYTHROUGHUNEXPECTEDCHANGESINTHEPRICELEVELINFLATIONUNCERTAINTYMAYALSOAFFECTTHEDISCOUNTRATETHUSREDUCINGTHEPRESENTVALUEOFFUTURECORPORATECASHFLOWSDEFINA1991HASALSOARGUEDTHATRISINGINFLATIONINITIALLYHASANEGATIVEEFFECTONCORPORATEINCOMEDUETOIMMEDIATERISINGCOSTSANDSLOWLYADJUSTINGOUTPUTPRICES,R
24、EDUCINGPROFITSANDTHEREFORETHESHAREPRICECONTRARYTOTHEEXPERIENCEOFTHEUS,JAPANSUFFEREDPERIODSOFDEFLATIONDURINGTHELATE1990SANDEARLYPARTOFTHE21STCENTURY,ANDTHISMAYHAVEHADSOMEIMPACTONTHERELATIONSHIPBETWEENINFLATIONANDSHAREPRICESTHEMONEYSUPPLY,FOREXAMPLEM1,ISALSOLIKELYTOINFLUENCESHAREPRICESTHROUGHATLEASTTH
25、REEMECHANISMSFIRST,CHANGESINTHEMONEYSUPPLYMAYBERELATEDTOUNANTICIPATEDINCREASESININFLATIONANDFUTUREINFLATIONUNCERTAINTYANDHENCENEGATIVELYRELATEDTOTHESHAREPRICESECOND,CHANGESINTHEMONEYSUPPLYMAYPOSITIVELYINFLUENCETHESHAREPRICETHROUGHITSIMPACTONECONOMICACTIVITYFINALLY,PORTFOLIOTHEORYSUGGESTSAPOSITIVEREL
26、ATIONSHIP,SINCEITRELATESANINCREASEINTHEMONEYSUPPLYTOAPORTFOLIOSHIFTFROMNONINTERESTBEARINGMONEYTOFINANCIALASSETS，INCLUDINGEQUITIESFORAFURTHERDISCUSSIONONTHEROLEOFTHEMONEYSUPPLYSEEURICHANDWACHTEL1981,ROGALSKIANDVINSO1977ANDCHAUDHURIANDSMILES2004THEINTERESTRATEDIRECTLYCHANGESTHEDISCOUNTRATEINTHEVALUATI
27、ONMODELANDTHUSINFLUENCESCURRENTANDFUTUREVALUESOFCORPORATECASHFLOWSFREQUENTLY,AUTHORSHAVEINCLUDEDBOTHALONGTERMINTERESTRATEEGA10YEARBONDYIELDANDASHORTTERMINTERESTRATEEGA3MONTHTBILLRATE5WEDONOTUSEASHORTTERMRATEASOURAIMHEREISTOFINDALONGTERMRELATIONSHIPBETWEENTHESTOCKMARKETANDINTERESTRATEVARIABLESCHANGES
28、INTHESHORTRATEAREMAINLYDRIVENBYTHEBUSINESSCYCLEANDMONETARYPOLICYINCONTRAST,THELONGTERMINTERESTRATESHOULDINDICATETHELONGERTERMVIEWOFTHEECONOMYCONCERNINGTHEDISCOUNTRATEFOROURLONGTERMRATEUSINGTHEUSDATAWEHAVECHOSENA10YEARBONDYIELD,HOWEVERFORJAPANWEINSTEADUSETHEOFFICIALDISCOUNTRATETHISISDUELARGELYTODATAA
29、VAILABILITYCONSTRAINTSANDTHATTHEMARKETFOR10YEARBONDSANDSIMILARMATURITIESINJAPANHASNOTBEENLIQUIDFORMOSTOFTHETIMEPERIODCOVEREDWESHOULDNOTETHATTHEDISCOUNTRATEISANOFFICIALLENDINGRATEFORBANKSINJAPAN,WHICHIMPLIESITISGENERALLYLOWERTHANAMARKETRATEUNLIKEMANYSTUDIESSEEINTERALIAMUKHERJEEANDNAKA1995ANDMAYSAMIAN
30、DKOH2000WEDONOTINCLUDETHEEXCHANGERATEASANEXPLANATORYVARIABLEWEREASONTHEDOMESTICECONOMYSHOULDADJUSTTOCURRENCYDEVELOPMENTSANDTHUSREFLECTTHEIMPACTOFFOREIGNINCOMEDUETOFIRMSEXPORTSMEASUREDINDOMESTICCURRENCYOVERTHEMEDIUMRUNADDITIONALLY,INTHEWHITEPAPERONTHEJAPANESEECONOMYIN1993,PUBLISHEDBYTHEJAPANESEECONOM
31、ICPLANNINGAGENCY,ITHASBEENPOINTEDOUTTHATTHEBOOMINTHEECONOMYDURINGTHELATE1980SHASBEENDRIVENBYDOMESTICDEMANDRATHERTHANEXPORTSGOVERNMENTOFJAPAN,1993INCONTRASTTOOURSTUDY,MANYRESEARCHERSHAVEBASEDTHEIRANALYSISONBUSINESSCYCLEVARIABLESORSTOCKMARKETVALUATIONMEASURESSUCHASTHETERMSPREADOR7DEFAULTSPREADFORTHEFO
32、RMERCATEGORYORDIVIDENDYIELDOREARNINGSYIELDFORTHELATTEREXAMPLESOFTHOSEPAPERSINCLUDEBLACK,FRASERANDMACDONALD1997CAMPBELLANDHAMAO1992CHEN,ROLLANDROSS1986COCHRAN,DEFINAANDMILLS1993FAMA1990FAMAANDFRENCH1989HARVEY,SOLNIKANDZHOU2002ANDSCHWERT1990THESEVARIABLESAREUSUALLYFOUNDTOBESTATIONARYANDASWEPLANTOMODEL
33、LONGTERMEQUILIBRIUMUSINGNONSTATIONARYVARIABLESWEDONOTINCLUDEDTHEMINOURMODELASMCADAM2003HASCONFIRMED,THEUSECONOMYHASBEENCHARACTERIZEDBYMOREFREQUENTBUTLESSSIGNIFICANTDOWNTURNSRELATIVETOTHOSESUFFEREDBYTHEJAPANESEECONOMYTHISMIGHTBEEXPLAINEDBYAHIGHERCAPITALANDEXPORTORIENTATEDJAPANESEECONOMYRELATIVETOTHEU
34、SWEMIGHTTHEREFOREEXPECTHIGHERRELATIVEVOLATILITYINCORPORATECASHFLOWSANDHENCEALSOINJAPANESESHAREPRICESAPRIORI,THEREFORE,SHAREPRICESINJAPANMAYBEMORESENSITIVETOCHANGESININDUSTRIALPRODUCTION,ALTHOUGHTHEGREATERRELATIVEVOLATILITYMAYALSOINFLUENCETHEESTIMATEDCOEFFICIENTSTANDARDERRORSINANYREGRESSIONEQUATIONHO
35、WEVER,PREVIOUSRESEARCHSEEBINSWANGER,2000HASFOUNDTHATALTHOUGHBOTHSTOCKMARKETSMOVEPOSITIVELYWITHECONOMICOUTPUT,THATTHECOEFFICIENTFOROUTPUTONEQUITYRETURNSTENDSTOBELARGERFORTHEUSDATARELATIVETHEJAPANESEDATACAMPBELLANDHAMAO1992ALSOFINDSMALLERPOSITIVECOEFFICIENTSFORTHEDIVIDENDPRICERATIOANDTHELONGSHORTINTER
36、ESTRATESPREADONSTOCKMARKETRETURNSINJAPANRELATIVETOTHEUSINASAMPLECOVERINGMONTHLYDATAFROM1971TO1990THUSTHEINTUITIVEEXPECTATIONOFHIGHERCOEFFICIENTSINJAPANDUETOHIGHERCAPITALANDEXPORTEXPOSUREHASNOTBEENCONFIRMEDEMPIRICALLYINEXISTINGRESEARCHJAPANSBANKINGCRISISANDSUBSEQUENTASSETDEFLATIONDURINGTHE1990SCOULDH
37、AVECHANGEDSIGNIFICANTLYTHEINFLUENCEOFANUMBEROFVARIABLES,PARTICULARLYTHEINTERESTRATEANDMONEYSUPPLYTOOURKNOWLEDGE,THEREHASNOTBEENANYEMPIRICALSTUDYOFTHEPRESENTVALUEMODELINJAPANAFTERTHEEARLY1990SANDTHUSTHESEVEREDOWNTURNWITHLOWECONOMICGROWTHANDDEFLATIONEXISTINGSTUDIESOFTHEJAPANESESTOCKMARKETBEFORE1990INC
38、LUDEBROWNANDOTSUKI1990,ELTONANDGRUBER1988,ANDHAMAO1988,ALTHOUGHTHESEPAPERSMAINLYCONSIDERSTATIONARYBUSINESSCYCLEVARIABLESANDRISKFACTORSANDTHEREFORECANNOTGIVEANINDICATIONOFTHEEMPIRICALRELATIONSHIPSWEMIGHTEXPECTTOFINDINOURMODELINTHISPAPERWECOMPARETHEUSANDJAPANOVERTHEPERIODJANUARY1965UNTILJUNE2005THEUSE
39、OFMONTHLYDATAGIVESTHEOPPORTUNITYTOANALYSEAVERYRICHDATASET,TOOURKNOWLEDGEEARLIERPAPERSHAVEONLYANALYSEDSHORTERPERIODSORHAVEMADEUSEOFALOWERDATAFREQUENCYTHISALLOWSUSTOINCLUDETHEIMPACTOFTHEHISTORICALLYHIGHVOLATILITYOFBOTHSTOCKMARKETSTHEUSSTOCKMARKETSHOWEDVERYHIGHRETURNSBETWEEN1993AND1999,WHILEFROM2000UNT
40、IL2003RETURNSHAVEBEENVERYLARGEANDNEGATIVEINTHEJAPANESESTOCKMARKETDURINGTHEPERIODFROM1980THROUGHTO1990,RETURNSHAVEINTHEMAINBEENLARGEANDPOSITIVEWHILETHEYTENDTOHAVEBEENLARGENEGATIVEFORMOSTOFYEARSBETWEEN1990AND2003THEIMPACTOFRECENTPROBLEMSTOTHEJAPANESEBANKINGSECTORISALSOCAPTUREDINOURDATASEEGOVERNMENTOFJ
41、APAN,1993MOSTEXISTINGRESEARCHHASBEENAPPLIEDTOUSDATAANDVERYLITTLEISKNOWNABOUTTHEDIFFERENCESBETWEENUSANDJAPANESESTOCKMARKETVALUATIONTHISPAPERINVESTIGATESTHEDIFFERENCESANDCOMMONPATTERNSINBOTHCOUNTRIESINORDERTOVERIFYWHETHERTHESAMEVARIABLESTHATEXPLAINAGGREGATESTOCKMARKETMOVEMENTINTHEUSCANALSOBEUSEDTODOSO
42、INJAPANCONCLUSIONINORDERTOACHIEVEADEEPERUNDERSTANDINGOFLONGTERMSTOCKMARKETMOVEMENTS,ACOMPARISONOFTHEUSANDJAPANESESTOCKMARKET,USINGMONTHLYDATAOVERTHELAST40YEARSHASBEENCONDUCTEDUSINGUSDATAWEFOUNDEVIDENCEOFASINGLECOINTEGRATIONVECTORBETWEENSTOCKPRICES,INDUSTRIALPRODUCTION,INFLATIONANDTHELONGINTERESTRATE
43、THECOEFFICIENTSFROMTHECOINTEGRATINGVECTOR,NORMALISEDONTHESTOCKPRICE,SUGGESTEDUSSTOCKPRICESWEREINFLUENCED,ASEXPECTED,POSITIVELYBYINDUSTRIALPRODUCTIONANDNEGATIVELYBYINFLATIONANDTHELONGINTERESTRATEHOWEVER,WEFOUNDTHEMONEYSUPPLYHADANINSIGNIFICANTINFLUENCEOVERTHESTOCKPRICEINJAPAN,WEFOUNDTWOCOINTEGRATINGVE
44、CTORSONENORMALISEDONTHESTOCKPRICEPROVIDEDEVIDENCETHATSTOCKPRICESAREPOSITIVELYRELATEDTOINDUSTRIALPRODUCTIONBUTNEGATIVELYRELATEDTOTHEMONEYSUPPLYWEALSOFOUNDTHATFOROURSECONDVECTOR,NORMALISEDONINDUSTRIALPRODUCTION,THATINDUSTRIALPRODUCTIONWASNEGATIVELYRELATEDTOTHEINTERESTRATEANDTHERATEOFINFLATIONANEXPLANA
45、TIONOFTHEDIFFERENCEINBEHAVIOURBETWEENTHETWOSTOCKMARKETSMAYLIEINJAPANSSLUMPAFTER1990ANDITSCONSEQUENTLIQUIDITYTRAPOFTHELATE1990SANDEARLY21STCENTURY外文题目CANMACROECONOMICVARIABLESEXPLAINLONGTERMSTOCKMARKETMOVEMENTSACOMPARISONOFTHEUSANDJAPAN出处SCHOOLOFECONOMICSANDFINANCE,UNIVERSITYOFSTANDREWS,STANDREWS,UK,
46、作者ANDREASHUMPEPETERMACMILLAN译文宏观经济变量可以解释长期的股市走势一个美国和日本比较研究在一个标准的贴现值模型的框架内，我们考察宏观经济变量是否影响美国和日本的股票价格。利用美国和日本的数据，利用协整分析的方法，以长期工业生产，居民消费价格指数，货币供给，长期利率和股票价格之间的关系建立模型。对于美国股市的研究，我们发现一个协整向量，此时股票价格和工业生产总值正相关，和居民消费价格指数和长期利率负相关。我们还发现美国股市价格和货币供应量显著相关（积极的）。然而，对于日本的数据分析，我们发现两个协整向量。第一协整向量，股票价格和工业生产正相关和货币供应量负相关。对于第
47、二个协整向量，我们发现工业生产与消费者价格指数和长期利率呈现负相关。这些结果的出现可能是由于日本经济在90年代不景气和随之而来的流动性陷阱造成的。关键词股票市场指数，协整利率。引言现在存在的一个重要文献，利用多个不同的股票市场和不同的时间序列范围，探讨股市回报和宏观经济和金融变量范围的关系。现有的金融经济理论提供研究这一关系的多种模式。一种是通过套利定价理论（APT）（ROSS，1976）连接宏观经济变量与股票市场回报的方式，其中多个风险因素可以解释资产报酬率。而在亚太早期的实证论文侧重于对个人无风险回报的研究，也可能是对股市总体回报的研究，凡是一个特定的宏观经济变量的变化，可以被看作是一个潜
48、在的系统性风险因素的变化，从而影响股票未来的回报。大部分的实证研究是基于APT理论，讨论宏观经济和股市回报的关系。假设趋势平稳，模型的特点是在短期内宏观经济变量和股价之间存在一阶差分。相关的研究特别挑选见FAMA1981,1990,FAMA和FRENCH1989,SCHWERT1990,FERSON和HARVEY1991和BLACK,FRASER和MACDONALD1997。在一般情况下，这些论文表明股市收益率与宏观经济变量的变化显着相关，如工业生产，通货膨胀，利率，收益曲线和风险溢价。另一种方法，但不和上一种方法抵触，是贴现现金流或现值模型（PVM）该模型涉及股票价格未来的预期现金流量，以及
49、这些未来现金流量的折现率。同样，所有影响未来的预期现金流量的折现率或宏观经济变量，都会通过现金流量的折现对股票价格产生影响。该PVM的模型的优点在于它可以把重点放在股市与宏观经济变量的长期关系。CAMPBELL和SHILLER1988探讨股票价格，收益和预期收益的关系，几年来他们发现，分析股息收益的长期平均曲线和收益率变动对于预测当前股票价格和股票的回报是比较有效的。他们得出结论，这些事实表明股票价格和收益太不稳定无法用一个简单的现值模型解释。ENGLEGRANGER1987和GRANGER1986表明，可以使用协整技术检测长期均衡变量之间的有效性。在一些研究中这些都被应用到股票价格与宏观经济变量之间的长期关系分析中，特别是看到MUKHERJEE和NAKA1995,CHEUNG和NG1998,NASSEH和STRAUSS2000,MCMILLAN2001和CHAUDHURI和SMILES2004NASSEH和STRAUSS2000,他们发现，例如，在法国，德国，意大利，荷兰，瑞士和英国，找到了一个股票价格与国内和国际经济活动之间的显着长期关系。特别是他们发现工业生产和居民消费价格指数之间的高度正相关，与短期利率和制造业企业规模存在较小的正相关性，与长期利率呈现负相关性。此外，他们发现欧洲股市与德国的股市联系紧密，同时发现德国的工业生产，股票价格与短期利率对其他欧洲国家的股
