| 基于CPI与PPI差值的资产配置效果评估：2005-2010 |
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| 引用本文： | 段福印,李方. 基于CPI与PPI差值的资产配置效果评估：2005-2010[J]. 上海金融, 2011, 0(11) |
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| 作者姓名： | 段福印 李方 |
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| 作者单位： | 1. 中国社会科学院,北京,100195
2. 上海对外贸易学院金融学院,上海,201600 |
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| 基金项目： | 上海市教委第5期重点学科金融学建设经费资助,编号J51201 |
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| 摘 要： | 本文在众多的宏观经济指标中合成出反映企业利润变化的关键指标CPI-PPI,分析该指标与股票市场、债券市场波动的相关性,并根据这一指标的变化模拟资产配置的动态调整过程,检验使用该指标进行资产配置的有效性。
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| 关 键 词： | 资产配置 CPI-PPI 证券市场 |
The Estimate of Asset Allocation Effect based on the gap between CPI and PPI: 2005-2010 |
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| Duan Fuyin/ Li Fang. The Estimate of Asset Allocation Effect based on the gap between CPI and PPI: 2005-2010[J]. Shanghai Finance, 2011, 0(11) |
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| Authors: | Duan Fuyin/ Li Fang |
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| Affiliation: | Duan Fuyin/ Li Fang |
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| Abstract: | The paper composes a key indicator CPI-PPI from numerous macro economic indicators to reflect changes in enterprises' net income.It analyzes the correlation between this indicator and the volatility of stock market and bond market,simulates the dynamic adjustment process of asset allocation,and tests the validity of this indicator in asset allocation. |
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| Keywords: | Asset Allocation CPI-PPI Securities Market |
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