資產替代性、總體經濟政策宣告與股價的動態調整

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，不但選擇融入Laban and Larrain（1994）、Obstfeld（1994）等所強調的「股票與債券不完全替代」特性，也納入總體經濟理論文獻中Holmesand Smyth（1972）、Chang and Lai（1997b）等所強調的「Holmes-Smyth效果」，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：一旦財政當局執行擴張性的財政政策宣告時，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、股利效果與「Holmes-Smyth效果」這四項因素占了舉足輕重的角色。除此之外，「股票與債券替代程度」大小更是影響名目股價波動性的關鍵因素。

關鍵字

籌碼效果； Holmes-Smyth效果；流動性效果；股利效果；資產替代性；錯向調整

並列摘要

This paper presents a macroeconomic model in a closed economy based on the framework developed by Blanchard (1981), Laban and Larrain(1994), Obstfeld(1994), Holmes and Smyth (1972), Mankiw and Summers(1986), Chang and Lai(1997b) etc. In view of the full employment output and sluggish price adjustment, the model uses the announcement effect approach of rational expectation to discuss Whether the volatility of stock price will enlarge if we take into account the asset substitution degree? Does the relative magnitude of the asset substitution degree determine the key factor of the dynamic adjustment pattern of the relevant macroeconomic variables? This paper concludes that if the policy authority executes the fiscal policy announcement, then the relative magnitude of the asset substitution degree is the key factor of the dynamic adjustment pattern of the relevant macroeconomic variables. When the policy authority executes the fiscal policy announcement, the larger of asset substitution degree and more stronger of the Holmes and Smyth effect which will increase the volatility of stock price.