Inflation, Asset Returns and Exchange Rates in a Monetary Economy with Financial Leverage

財務槓桿與資產訂價

蕭文宗(Weng-Tzong Hsiao) ； 洪茂蔚(Mao-Wei Hung) ； 吳淑貞(Shue-Jen Wu)

《台灣管理學刊》 2卷1期 (2002/08) Pp. 23-51

https://doi.org/10.6295/TAMJ.2002.0201.02

摘要

本文以一般均衡模型分析貨幣經濟體系下的資本資產定價，強調財務槓桿在資產市場中的角色。研究結果發現：一、財務槓桿是造成貨幣市場與資產市場互動密切的主因。二、通貨膨脹風險貼水隨著槓桿比例提高而增加；另外，實質資產的避險功能亦與該因子息息相關。本文亦將該模型擴充為一小型開放的經濟體系，發現匯率風險亦是透過該因子而得以影響資產市場。

關鍵字

財務槓桿 ； 資產報酬 ； 匯率 ； 通貨膨脹

並列摘要

This paper investigates the effects of financial leverage on asset returns in a monetary economy. We show that monetary policy has real effects on asset prices. But, the real effects of money policy under our model are contrary to those documented in previous studies. Moreover, the structure of financial leverage gives us a new explanation for several important empirical findings such as the risk premium, the correlations of the real rates of return on assets with the rate of inflations, the growth rate of output, and the rate of money growth. We also extend this model to a two-country world and find that stock returns will be affected by exchange rates via financial leverage.

並列關鍵字

Financial leverage ； Asset returns ； Exchange rates ； Inflation

參考文獻

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