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从财富保值的角度,本文采用价格模型和价差模型分析了利用股市对名义GDP保值的问题。我们提出了利用Johansen协整和ARDL协整方法对价格模型进行研究,并且估计最优套期保值比率。研究结果表明,价格模型的效果优于价差模型,股市与名义GDP存在长期均衡关系。而且,股指相对于名义GDP的弹性为1,股指会对出现的短期偏离调整以收敛于长期均衡,而名义GDP并不会对短期偏离进行调整。通过对投资股市的长期收益与短期风险的分析,我们认为长期投资股市可以使大众财富保值,分享经济成长的成果,但需关注短期偏离风险,可以适时推出中国版401k。
From the perspective of wealth preservation, this paper analyzes the use of the stock market to maintain the nominal GDP by using the price model and the spread model. We propose the use of Johansen cointegration and ARDL cointegration method to study the price model, and estimate the optimal hedging ratio. The results show that the price model is better than the spread model, and there is a long-term equilibrium relationship between stock market and nominal GDP. Moreover, the flexibility of the index relative to the nominal GDP is 1, the index will adjust for the short-term deviations that occur, and the nominal GDP will not adjust for the short-term deviations. Through the long-term return on investment in the stock market and short-term risk analysis, we believe that long-term investment stock market can make public wealth and share the fruits of economic growth, but need to focus on short-term deviation from risk, you can timely launch China version 401k.