貨幣政策、產出目標區與股價

Monetary Policy、Output Target Zone and the Stock Price

侯美惠(Mei-Huey Hou)

《經濟研究》 40卷2期 (2004/07) Pp. 145-180

https://doi.org/10.29765/TEI.200407.0001

摘要

本文將具有股票市場的封閉經濟體系與目標區文獻的研究加以融合，設立一個擁有一元一階隨機微分方程與理性預期特性的封閉經濟模型，藉此探討：在經濟體系面臨商品需求面的干擾時，如果政府實施貨幣供給穩定政策，讓總產出水準維持在一定的區間內，面對這個情況，在貨幣供給穩定政策門檻內，理性的民眾已經產生預期，那麼透過他們對股價的預期將會如何影響產出以及股價的動態走勢。

關鍵字

穩定政策 ； 產出目標區 ； 股價 ； 市場基要 ； 隨機性干擾 ； 蜜月效果

並列摘要

Following Blandchard's (1981) and Miller-Weller's (1995) work, this study builds a modified rational expectations model with a linear stochastic differential equation to show that: monetary stabilization policy could be implemented in a closed economy where money supply is adjusted only when the output level moves outside a threshold around a target level. The impact of such a state-contingent policy on the stock price is analyzed, and it is shown how the stock market will anticipate the effects of the threshold stabilization policy. The dynamic adjustment effects of the anticipated stock price on the output level and the stock price level will also be demonstrated.

並列關鍵字

Stabilization policy ； Output target zone ； Stock price ； Market fundamental ； Stochastic shocks ； Honeymoon effect

參考文獻

Beetsma, R. M. W. J. , F. van der Ploeg(1994).Intramarginal Interventions Bands and the Pattern of EMS Exchange Rate Distributions.International Economic Review.35,583-602.

Bertola, G. , L. E. O. Svensson(1993).Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models.Review of Economic Studies.60,689-712.

Bertola, G. , R. Caballero(1992).Target Zones and Realignments.American Economic Review.82,520-536.

Blanchard, O. J.(1981).Output, the Stock Market, and Interest Rates.American Economic Review.71,132-143.

Sun Yat-Sen Institute for Social Sciences and Philosophy