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

1、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：#Can macroeconomic variables explain long term stock market movements?#A comparison of the US and Japan#出 处：#School of Economics and Finance, University of St Andrews, St Andrews, UK,#作 者：#Andreas Humpe Peter Macmillan#原文：#ABSTRACT#Within the framework of a

2、 standard discounted value model we examine whether a number of macroeconomic variables influence stock prices in the US and Japan. A cointegration analysis is applied in order to model the long term relationship between industrial production, the consumer price index, money supply, long term intere

3、st rates and stock prices in the US and Japan. For the US we find the data are consistent with a single cointegrating vector, where stock prices are positively related to industrial production and negatively related to both the consumer price index and a long term interest rate. We also find an insi

4、gnificant （although positive） relationship between US stock prices and the money supply. However, for the Japanese data we find two cointegrating vectors. We find for one vector that stock prices are influenced positively by industrial production and negatively by the money supply. For the second co

5、integrating vector we find industrial production to be negatively influenced by the consumer price index and a long term interest rate. These contrasting results may be due to the slump in the Japanese economy during the 1990s and consequent liquidity trap. #Keywords:# Stock Market Indices, Cointegr

6、ation, Interest Rates.#I. Introduction.#A significant literature now exists which investigates the relationship between stock market returns and a range of macroeconomic and financial variables, across a number of different stock markets and over a range of different time horizons. Existing financia

7、l economic theory provides a number of models that provide a framework for the study of this relationship. #One way of linking macroeconomic variables and stock market returns is through arbitrage pricing theory （APT） （Ross, 1976）, where multiple risk factors can explain asset returns. While early e

8、mpirical papers on APT focussed on individual security returns, it may also be used in an aggregate stock market framework, where a change in a given macroeconomic variable could be seen as reflecting a change in an underlying systematic risk factor influencing future returns. Most of the empirical

9、studies based on APT theory, linking the state of the macro economy to stock market returns, are characterised by modelling a short run relationship betweenmacroeconomic variables and the stock price in terms of first differences, assuming trend stationarity. For a selection of relevant studies see

10、inter alia Fama （1981, 1990）, Fama and French （1989）, Schwert （1990）, Ferson and Harvey （1991） and Black, Fraser and MacDonald （1997）. In general, these papers found a significant relationship between stock market returns and changes in macroeconomic variables, such as industrial production, inflati

11、on, interest rates, the yield curve and a risk premium. #An alternative, but not inconsistent, approach is the discounted cash flow or present value model （PVM）1. This model relates the stock price to future expected cash flows and the future discount rate of these cash flows. Again, all macroeconom

12、ic factors that influence future expected cash flows or the discount rate by which these cash flows are discounted should have an influence on the stock price. The advantage of the PVM model is that it can be used to focus on the long run relationship between #the stock market and macroeconomic vari

13、ables. Campbell and Shiller （1988） estimate the relationship between stock prices, earnings and expected dividends. They find that a long term moving average of earnings predicts dividends and the ratio of this earnings variable to current stock price is powerful in predicting stock returns over sev

14、eral years. They conclude that these facts make stock prices and returns much too volatile to accord with a simple present value model. Engle and Granger （1987） and Granger （1986） suggest that the validity of long term equilibria between variables can be examined using cointegration techniques. Thes

15、e have been applied to the long run relationship between stock prices and macroeconomic variables in a number of studies, see inter alia Mukherjee and Naka （1995）, Cheung and Ng （1998）, Nasseh and Strauss （2000）, McMillan （2001） and Chaudhuri and Smiles （2004）. Nasseh and Strauss （2000）, for example

16、, find a significant long-run relationship between stock prices and domestic and international economic activity in France, Germany, Italy, Netherlands, Switzerland and the U.K. In particular they find large positive coefficients for industrial production and the consumer price index, and smaller but nevertheless positive coefficients on short term interest rates and business surveys of manufacturing. The only negative coefficients are found on long term interest rates. Additionally, th