頁籤選單縮合
題 名 | 消費跨時替代效果、總體經濟政策宣告與股價的動態調整=Intertemporal Substitution Effect of Consumption, Macroeconomic Policy Announcements and the Dynamic Adjustment of Stock Prices |
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作 者 | 廖培賢; | 書刊名 | 經濟與管理論叢 |
卷 期 | 11:2 2015.07[民104.07] |
頁 次 | 頁163-198 |
分類號 | 553.01 |
關鍵詞 | 消費跨時替代效果; 籌碼效果; 流動性效果; 股利效果; 資產不完全替代; 錯向調整; Intertemporal substitution effect of consumption; Chip effect; Liquidity effect; Dividend effect; Asset substitution degree; Mis-adjustment; |
語 文 | 中文(Chinese) |
中文摘要 | 本文的理論架構係以Blanchard (1981) 這篇討論封閉經濟體系股價動態調整的經典文獻 為基礎,選擇同時考量Barro (1997)、賴景昌 (2011)、Lai and Fang (2012) 等所強調的「消 費跨時替代效果」(intertemporal substitution effect of consumption) 與Laban and Larrain (1994)、Obstfeld (1994) 等所主張的「股票與債券不完全替代」兩種特性,在物價呈現瞬 時調整的前提假設下,來從事政策當局總體經濟政策宣告效果分析。本文的分析結果顯 示:一旦貨幣當局執行擴張性的貨幣政策宣告時,短期名目股價到底會呈現何種動態調 整型態的重要決定因子中,「籌碼效果」、「流動性效果」、「股利效果」、「UU 線與* UU 線 兩線斜率正負與大小」及「政策宣告迄執行時差之大小」這五項因素占了舉足輕重的角色。 |
英文摘要 | This paper presents a macroeconomic model in a closed economy based on the framework developed by Blanchard (1981), Laban and Larrain (1994), Obstfeld (1994), Barro (1997), Lai (2011), Lai and Fang (2012), and others. In view of the intertemporal substitution effect of consumption, the free adjustment of full employment output and commodity prices and the instantaneous adjustment assumption of commodity prices, the model uses the announcement effect approach of rational expectations to investigate the dynamic adjustment pattern of stock prices. This paper concludes that if the policy authority executes the monetary policy announcement, then the chip effect, the liquidity effect, the dividend effect, the sign and magnitude of the slope between the two unstable arms and the time lag between the policy’s announcement and execution are the key factors influencing the dynamic adjustment pattern of the stock price. |
本系統中英文摘要資訊取自各篇刊載內容。