논문 : 실질주가에 대한 장기 인플레이션 중립성 분석 = Long-Run Inflation Neutrality on Real Stock Price

국문 초록 (Abstract)

본 연구에서는 King and Watson(1997)의 구조 VAR과 아시아 이머징 마켓 10개국을 이용하여 장기 인플레이션 충격에 대한 장기 실질주가 반응을 살펴보았다. VAR모형에서 파라미터들을 서로 다르게 가정하여 장기 인플레이션 충격에 대한 장기 실질주가 반응을 살펴본 결과, 파라미터가 바뀜에 따라 장기 인플레이션 충격에 대한 장기 실질주가 반응 역시 다르게 나타남을 알 수 있었다. 그러나 구조충격에 대한 충격-반응으로 본 결과, 장기 인플레이션이 항상 장기 실질주가를 하락하게 한다는 이론적 측면과는 부합하지 않았다. 오히려 아시아 이머징 마켓 10개국 중 분석 가능한 4개국의 경우, 장기 인플레이션은 장기 실질주가에 반드시 음(-)으로 영향을 미치지 않음을 나타내고 있었다.

다국어 초록 (Multilingual Abstract)

In this paper, we investigate the long-run real stock price response to a permanent inflation shock in 4 markets out of 10 Asian emerging markets using the methodology of King and Watson(1997). We use monthly inflation rate and share price index series and then we test integration and cointegration properties. Finally, we set up three cases to identify the bivariate structural VAR framework. We find that the assumed value of identifying parameters affect estimation results but analysis of impulse responses show that estimates of the long-run real stock price response to a permanent inflation shock that are negative are not plausible. In contrast, impulse response analysis indicates that estimates of the long-run real stock price response to a permanent inflation shock that are zero or positive. Therefore, we conclude that the increase in trend inflation does not make a negative long-run real stock price response to a permanent inflation shock in 5 Asian emerging markets.

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