宏觀經(jīng)濟(jì)變量可以解釋長期的股市走勢？一個(gè)美國和日本比較研究【外文翻譯】

1、外文題目：CanmacroeconomicvariablesexplainlongtermstockmarketmovementsAcomparisonoftheUSJapan出處：SchoolofEconomicsFinanceUniversityofStrewsStrewsUK作者：reasHumpePeterMacmillanCanmacroeconomicvariablesexplainlongtermstockmarketmo

2、vementsAcomparisonoftheUSJapanByreasHumpePeterMacmillan原文：原文：ABSTRACTWithintheframewkofastarddiscountedvaluemodelweexaminewhetheranumberofmacroeconomicvariablesinfluencestockpricesintheUSJapan.Acointegrationanalysisisapp

3、liedindertomodelthelongtermrelationshipbetweenindustrialproductiontheconsumerpriceindexmoneysupplylongterminterestratesstockpricesintheUSJapan.FtheUSwefindthedataareconsistentwithasinglecointegratingvectwherestockpricesa

4、repositivelyrelatedtoindustrialproductionnegativelyrelatedtoboththeconsumerpriceindexalongterminterestrate.Wealsofindaninsignificant(althoughpositive)relationshipbetweenUSstockpricesthemoneysupply.HoweverftheJapanesedata

5、wefindtwocointegratingvects.Wefindfonevectthatstockpricesareinfluencedpositivelybyindustrialproductionnegativelybythemoneysupply.Fthesecondcointegratingvectwefindindustrialproductiontobenegativelyinfluencedbytheconsumerp

6、riceindexalongterminterestrate.ThesecontrastingresultsmaybeduetotheslumpintheJapaneseeconomyduringthe1990sconsequentliquiditytrap.Keywds:StockMarketIndicesCointegrationInterestRates.I.Introduction.relationshipbetweenstoc

7、kpricesmacroeconomicvariablesinanumberofstudiesseeinteraliaMukherjeeNaka(1995)CheungNg(1998)NassehStrauss(2000)McMillan(2001)ChaudhuriSmiles(2004).NassehStrauss(2000)fexamplefindasignificantlongrunrelationshipbetweenstoc

8、kpricesdomesticinternationaleconomicactivityinFranceGermanyItalyherlsSwitzerltheU.K.Inparticulartheyfindlargepositivecoefficientsfindustrialproductiontheconsumerpriceindexsmallerbutneverthelesspositivecoefficientsonshtte

9、rminterestratesbusinesssurveysofmanufacturing.Theonlynegativecoefficientsarefoundonlongterminterestrates.AdditionallytheyfindthatEuropeanstockmarketsarehighlyintegratedwiththatofGermanyalsofindindustrialproductionstockpr

10、icesshttermratesinGermanypositivelyinfluencereturnsonotherEuropeanstockmarkets(namelyFranceItalyherlsSwitzerltheUK).Inthispaperwewilldrawupontheyexistingempiricalwkasamotivationtoanumberofmacroeconomicvariablesthatwemigh

11、texpecttobestronglyrelatedtotherealstockprice.WethenmakeuseofthesevariablesinacointegrationmodeltocomparecontrastthestockmarketsintheUSJapan.Incontrasttomostotherstudiesweexplicitlyuseanextendedsamplesizeofmostofthelasth

12、alfcenturywhichcoversthemostseverestockmarketboomsinUSJapan.WhileJapans’haydayshavebeeninthelate1980stheUSstockmarketboomoccurredduringthe1990sendedin2000.Japans’stockmarkethasnotyetfullyrecoveredfromasignificantdeclined

13、uringthe1990satthetimeofwritingtradesataroundaquarterofthevalueitsawatitspeakin1989.2TheaimofthispaperistoseewhetherthesamemodelcanexplaintheUSJapanesestockmarketwhileyieldingconsistentfactloadings.Thismightbehighlyrelev

14、antfexampletoprivateinvestspensionfundsgovernmentsasmanylongterminvestsbasetheirinvestmentinequitiesontheassumptionthatcpatecashflowsshouldgrowinlinewiththeeconomygiveneitheraconstantslowlymovingdiscountrate.Thustheexpec

15、tedreturnonequitiesmaybelinkedtofutureeconomicperfmance.AfurtherconcernmightbetheimpactoftheJapanesedeflationonrealequityreturns.InthispaperwemakeuseofthecointegrationmethodologytoinvestigatewhethertheJapanesestockmarket