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博碩士論文 etd-0601116-183103 詳細資訊
Title page for etd-0601116-183103
論文名稱
Title
預料到的政策與股價的動態調整:小型開放經濟的分析
Anticipated Policy and Stock Price Dynamics: A Small Open Economy Analysis
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
48
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2016-06-27
繳交日期
Date of Submission
2016-07-04
關鍵字
Keywords
動態調整、匯率、股價、政策宣告、預料到的
stock prices, dynamic adjustment, exchange rates, policy announcement, anticipated
統計
Statistics
本論文已被瀏覽 5763 次,被下載 372
The thesis/dissertation has been browsed 5763 times, has been downloaded 372 times.
中文摘要
本文以Dornbusch (1976)的模型為基礎,並參考Blanchard (1981)對股票市場的設定,同時引入扣抵稅額比率及補充保費,在放寬本國股票、本國債券、外國債券等資產為完全替代的假設下,建構一個包括商品市場、貨幣市場、外匯市場與股票市場之小型開放經濟模型。此外,更進一步分析當本國民眾接收到補充保費及國內、外之貨幣政策變動的訊息時,他們的事先因應的行為將如何主導本國股價與匯率。
根據本文的分析,我們可以發現(一)提高補充保費費率,將使得股價下跌,
匯率水準不變。(二)外國利率提高,將使得股價下跌,匯率上升,且兩資產價格僅會呈現單調上升或下跌的走勢,不會有錯向調整的現象。(三)本國貨幣供給
增加,將使得股價下跌,匯率水準上升,且若政策宣告與執行間的時差夠大,體系就有可能出現錯向調整的現象。(四)政府的政策宣示會改變民眾的預期,使得股價與匯價在政策宣示後馬上產生跳動,並且在政策實際執行前股價與匯價就會先做出反應。
Abstract
This thesis introduces the stock asset into the Dornbusch (1976)small-open economy model, and assumes that domestic stock, domestic bond, and foreign bond are perfectly substitutable assets. We examine how the stock prices and exchange rates will react when domestic agents receive the news that supplementary premium, foreign interest rates or domestic money supply will raise permanently. The policy announcement from the government will change people’s expectations.Therefore, the stock price and foreign exchange rate will promptly jump up when the domestic agents receive the news. Three main conclusions emerge from the analysis. First, raising supplementary premium leads to drop on the long-run stock price but doesn’t affect exchange rate. Second, raising foreign interest rate leads to drop on the long-run stock price but the long-run exchange rate will depreciate in response. Third, the effect of increasing domestic money supply on the long-run exchange rate is negative but doesn’t affect real stock price in the long run.
目次 Table of Contents
目錄
中文摘要 i
英文摘要 ii
目錄 ii
圖目錄 iv

第一章 緒論 1
第一節 研究動機 1
第二節 文獻回顧 2
第三節 本文架構 4
第二章 理論模型 6
第一節 模型架構 6
第二節 動態分析 8
第三章 政策的宣示效果 17
第一節 恆常性提高補充保費費率 17
第二節 外國的恆常性緊縮貨幣政策 21
第三節 本國的恆常性擴張貨幣政策 26
第四章 結論 36
附錄A 38
參考文獻 40
參考文獻 References
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