經濟衝擊、產出水準與股價的波動－體制更迭模型之應用

Economic Disturbances, Equity Market and Output Regime Collapse

10.29735/SJEB.200703.0003

林弘文(Hung-Wen Lin)；陳孟甫(Meng-Fu Chen)

體制崩潰 ； 股票市場 ； 動態調整 ； Regime Collapse ； Equity Market ； Dynamic Adjustment

東吳經濟商學學報

56期（2007 / 03 / 01）

53 - 78

繁體中文

本文乃利用Blanchard (1981)的封閉經濟模型結合曹添旺及陳憶萱（民91）的分析架構來探討加入股票市場的體制崩潰模型，以了解中央銀行的干預準則及各經濟變數的調整路徑。本文的分析架構是以經濟衝擊及政府從事緊縮性結構改革，對實質商品市場及股票市場產生衝擊導致產出減少為因，政府當局固守產出下限水準為果，搭配體制崩潰題材，用以分析產出、股價及貨幣數量等經濟變數的動態走勢。研究的結果發現，政府所能忍受的產出下限水準不僅與體制崩潰的時機息息相關，同時也決定了體制是否崩潰；另外，政府所能忍受的產出下限水準的高低，左右了體制崩潰的過程中股價的動態調整型態。

The inclusion of the equity market in the regime collapse model seems to be an exception rather than a rule. This paper incorporate the ”regime collapse” approach into the Blanchard's model (1981) to fill this gap. It is found that output threshold not only is relevant to the timing of the collapse of the regime but also determines whether or not the regime will collapse at all. During the process of collapse, the output threshold influences the dynamic adjustment path of the equity price.

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