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外文翻译Word格式.docx

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外文翻译Word格式.docx

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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外文翻译@#@外文翻译@#@外文题目：

@#@Canmacroeconomicvariablesexplainlongtermstockmarketmovements?

@#@AcomparisonoftheUSandJapan@#@出处：

@#@SchoolofEconomicsandFinance,UniversityofStAndrews,StAndrews,UK,@#@作者：

@#@AndreasHumpePeterMacmillan@#@原文：

@#@@#@ABSTRACT@#@WithintheframeworkofastandarddiscountedvaluemodelweexaminewhetheranumberofmacroeconomicvariablesinfluencestockpricesintheUSandJapan.Acointegrationanalysisisappliedinordertomodelthelongtermrelationshipbetweenindustrialproduction,theconsumerpriceindex,moneysupply,longterminterestratesandstockpricesintheUSandJapan.FortheUSwefindthedataareconsistentwithasinglecointegratingvector,wherestockpricesarepositivelyrelatedtoindustrialproductionandnegativelyrelatedtoboththeconsumerpriceindexandalongterminterestrate.Wealsofindaninsignificant（althoughpositive）relationshipbetweenUSstockpricesandthemoneysupply.However,fortheJapanesedatawefindtwocointegratingvectors.Wefindforonevectorthatstockpricesareinfluencedpositivelybyindustrialproductionandnegativelybythemoneysupply.Forthesecondcointegratingvectorwefindindustrialproductiontobenegativelyinfluencedbytheconsumerpriceindexandalongterminterestrate.ThesecontrastingresultsmaybeduetotheslumpintheJapaneseeconomyduringthe1990sandconsequentliquiditytrap.@#@Keywords:

@#@StockMarketIndices,Cointegration,InterestRates.@#@I.Introduction.@#@Asignificantliteraturenowexistswhichinvestigatestherelationshipbetweenstockmarketreturnsandarangeofmacroeconomicandfinancialvariables,acrossanumberofdifferentstockmarketsandoverarangeofdifferenttimehorizons.Existingfinancialeconomictheoryprovidesanumberofmodelsthatprovideaframeworkforthestudyofthisrelationship.@#@Onewayoflinkingmacroeconomicvariablesandstockmarketreturnsisthrougharbitragepricingtheory（APT）（Ross,1976）,wheremultipleriskfactorscanexplainassetreturns.WhileearlyempiricalpapersonAPTfocussedonindividualsecurityreturns,itmayalsobeusedinanaggregatestockmarketframework,whereachangeinagivenmacroeconomicvariablecouldbeseenasreflectingachangeinanunderlyingsystematicriskfactorinfluencingfuturereturns.MostoftheempiricalstudiesbasedonAPTtheory,linkingthestateofthemacroeconomytostockmarketreturns,arecharacterisedbymodellingashortrunrelationshipbetweenmacroeconomicvariablesandthestockpriceintermsoffirstdifferences,assumingtrendstationarity.ForaselectionofrelevantstudiesseeinteraliaFama（1981,1990）,FamaandFrench（1989）,Schwert（1990）,FersonandHarvey（1991）andBlack,FraserandMacDonald（1997）.Ingeneral,thesepapersfoundasignificantrelationshipbetweenstockmarketreturnsandchangesinmacroeconomicvariables,suchasindustrialproduction,inflation,interestrates,theyieldcurveandariskpremium.@#@Analternative,butnotinconsistent,approachisthediscountedcashfloworpresentvaluemodel（PVM）1.Thismodelrelatesthestockpricetofutureexpectedcashflowsandthefuturediscountrateofthesecashflows.Again,allmacroeconomicfactorsthatinfluencefutureexpectedcashflowsorthediscountratebywhichthesecashflowsarediscountedshouldhaveaninfluenceonthestockprice.TheadvantageofthePVMmodelisthatitcanbeusedtofocusonthelongrunrelationshipbetween@#@thestockmarketandmacroeconomicvariables.CampbellandShiller（1988）estimatetherelationshipbetweenstockprices,earningsandexpecteddividends.Theyfindthatalongtermmovingaverageofearningspredictsdividendsandtheratioofthisearningsvariabletocurrentstockpriceispowerfulinpredictingstockreturnsoverseveralyears.Theyconcludethatthesefactsmakestockpricesandreturnsmuchtoovolatiletoaccordwithasimplepresentvaluemodel.EngleandGranger（1987）andGranger（1986）suggestthatthevalidityoflongtermequilibriabetweenvariablescanbeexaminedusingcointegrationtechniques.Thesehavebeenappliedtothelongrunrelationshipbetweenstockpricesandmacroeconomicvariablesinanumberofstudies,seeinteraliaMukherjeeandNaka（1995）,CheungandNg（1998）,NassehandStrauss（2000）,McMillan（2001）andChaudhuriandSmiles（2004）.NassehandStrauss（2000）,forexample,findasignificantlong-runrelationshipbetweenstockpricesanddomesticandinternationaleconomicactivityinFrance,Germany,Italy,Netherlands,SwitzerlandandtheU.K.Inparticulartheyfindlargepositivecoefficientsforindustrialproductionandtheconsumerpriceindex,andsmallerbutneverthelesspositivecoefficientsonshortterminterestratesandbusinesssurveysofmanufacturing.Theonlynegativecoefficientsarefoundonlongterminterestrates.Additionally,th