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英文文献：The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?-股息收益率对未来infl的预测能力?ation:金钱幻觉还是理性原因?
英文文献作者：Tom Engsted,Thomas Q. Pedersen
英文文献摘要：
In long-term US data the stock market dividend yield is a strong predictor of long-horizon inflation with a negative slope coefficient. This finding is puzzling in light of the traditional Modigliani-Cohn money illusion hypothesis according to which the dividend yield varies positively with expected inflation. To rationalize the finding we develop a consumption-based model with recursive preferences and money illusion. The model with reasonable values of risk aversion and intertemporal elasticity of substitution, and either rational or adaptive expectations, implies significantly negative slope coefficients that increase numerically with the horizon in regressions of future inflation onto the dividend yield, in accordance with the data. A purely rational version of the model with no money illusion, but with a link from expected inflation to real consumption growth, also generates a negative inflation-dividend yield relationship.
在美国的长期数据中，股票市场的股息收益率是长期通货膨胀的一个强有力的预测因子，其斜率系数为负。根据传统的Modigliani-Cohn货币错觉假设，股息收益率与预期通货膨胀成正相关，这一发现令人费解。为了使这一发现合理化，我们开发了一个基于消费的具有递归偏好和金钱错觉的模型。根据数据，具有合理的风险规避值和替代的跨期弹性，以及理性或适应性预期的模型，暗示了显著负的斜率系数，在未来通货膨胀对股息收益率的回归中，这些斜率系数随着地平线的上升而递增。该模型的纯理性版本没有货币幻想，但与预期通胀与实际消费增长存在关联，也会产生一种负通胀红利收益率关系。
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