資產替代性、股票市場衝擊與體制崩潰

本文以Blanchard (1981)封閉經濟的股票市場宣示效果模型為基礎，並考量Shiller and Beltratti (1992)、Laban and Larrain (1994)、Obstfeld (1994)、Andersson et al. (2008)、Baele et al. (2010)與廖培賢(2008，2010)股票與債券呈現不完全替代的假設，使用體制崩潰的分析方法來討論：一旦經濟體系遭逢股票市場需求面不利的衝擊(adverse shock)，貨幣當局為了阻擋產出水準的進一步下滑，進而利用增加貨幣供給的措施將產出水準釘住在某一固定水準的情況下，相關總體經濟變數所呈現的動態調整風貌。主要研究結果發現：(1)貨幣當局所能忍受的產出門檻下限水準不僅與體制崩潰時機有關，其也是決定體制是否會崩潰的重要關鍵樞紐因素。(2)一旦貨幣當局所能忍受的產出門檻下限水準介於期初的產出水準與新的長期均衡產出水準中間時，則(A)「流動性效果」與「直接效果與紅利效果之和」的相對大小，(B)貨幣當局所能忍受的產出門檻下限高低，(C)股票與債券兩種資產的資產替代性之相對大小三者，在決定體制崩潰過程中相關總體經濟變數調整型態的重要決定因子中占了舉足輕重的角色。

關鍵字

體制崩潰；流動性效果；直接效果；紅利效果；資產替代性

並列摘要

This paper presents a macroeconomic model in a closed economy is characterized by the framework developed by the stock market announcement effect model of Blanchard (1981) and considered the imperfect substitution between stock and bond which is emphasized by Shiller and Beltratti (1992)、Laban and Larrain (1994)、Obstfeld (1994)、Andersson et al. (2008)、Baele et al. (2010)、Liaw (2008, 2010), we use the method of regime collapsing to analyze if the monetary authority tend to curb the decreasing output level through the expansionary monetary policy which the economy is facing adversely stochastic shock on the demand side of the stock market. Under the former economic circumstances, what will be the dynamic effect of the relevant macroeconomic variables if the monetary authority executes the monetary policy? The major findings are (1) not only the output floor threshold level is the key factor of output regime collapsing, but also is the important determinant of the output regime collapsing whether or not? (2) if the output floor threshold level is between the initial output level and the new long run equilibrium output level, then (A) the relative amplitude of ＂the sum of direct effect and dividend effect＂ and ＂the liquidity effect＂ (B) the output floor threshold level and (C) the asset substitution degree of equity and bond are the three key factors to decide the dynamic path of the relevant macroeconomic economic variables.