On the Relationship between Inflation and Stock Returns
构建了一个包含金融杠杆的货币资产定价模型，研究了金融杠杆如何影响股票收益与通货膨胀的关系，并解释了不同经济体制下两者负相关的原因。
This article offers a tractable MIUF-type monetary asset pricing model with financial leverage.In this economy,financial leverage leads to a closer relation between the monetary sector and the asset market.The real stock return and inflation are both influenced by the real shock and monetary shock.Due to the financial leverage, equity premium is shown to be jointly determined by the uncertainty and the covariance of the output growths and money growth.For the real stock returns-inflation relation,the financial leverage plays asymmetric roles in different regimes.Especially,to explain the negative real stock returns-inflation relation,the stagflation regime or deflationary-expansion regime is required when the financial leverage is absent,while different financial leverage value interval is required to compatible with the comparison results of covariance of the output growth and money growth and the output growth uncertainty when the financial leverage is present.