Holmes-Smyth效果、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）物價浮動的封閉經濟股票市場宣示效果模型為基礎，納入總體經濟理論文獻中Holmes and Smyth（l972）、Chang and Lai（l997b）等所強調的「Holmes-Smyth效果」來從事各種政策宣告效果分析，藉以探索（1）「Holmes-Smyth效果」的引入與考量是否會加大股價的波動性（volitility），進而對股票市場與經濟的穩定產生威脅？（2）「Holmes-Smyth效果」的強弱對相關總體經濟變數的動態調整型態是否會產生重大的影響？我們的結論顯示：（A）一旦「Holmes-Smyth效果」越為強烈（微弱），則財政當局執行擴張性的財政政策宣告，未必會助長（減緩）名目股價的波動性；（B）財政當局執行擴張性財政政策宣告時，「貨幣市場流動性效果」與「股利效果與Holmes-Smyth效果兩者之和」的相對大小這項關鍵因素，在決定名目股價動態調整型態上占了舉足輕重的角色，亦即「Holmes-Smyth效果」的強弱的確是決定相關總體經濟變數動態調整型態的重要決定因子。

關鍵字

Holmes-Smyth效果；貨幣市場流動性效果；股利效果；錯向調整；波動性

並列摘要

This paper presents a macroeconomic model in a closed economy based on the framework developed by Blanchard (1981), 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 discover (1) whether the volatility of stock price will enlarge if the Holmes-Smyth effect is relatively larger? (2) Is the relative magnitude of the Holmes-Smyth effect 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 Holmes-Smyth effect is the key factor of the dynamic adjustment pattern of the relevant macroeconomic variables. If the Holmes-Smyth effect is relatively large, at the moment of the policy authority executes the fiscal policy announcement, which may be enlarged the volatility of stock price.