Holmes-Smyth效果、總體經濟政策宣告與股價的動態調整

Holmes-Smyth Effect, Macroeconomic Policy Announcement, and the Dynamic Adjustment of Stock Price

10.29724/TMR.201207.0002

廖培賢(Peir-Shyan Liaw)；曾生富(Sheng-Fu Zeng)

Holmes-Smyth效果 ； 貨幣市場流動性效果 ； 股利效果 ； 錯向調整 ； 波動性 ； Holmes-Smyth effect ； liquidity effect ； dividend effect ； mis-adjustment ； volitility

東海管理評論

14卷1期（2012 / 07 / 01）

29 - 67

繁體中文

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。

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.

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1. 廖培賢,曾生富(2018)。跨時政策搭配、Holmes－Smyth效果與股價的動態調整。東海管理評論，20(1)，1-49。
2. 廖培賢,陳海貞(2016)。總體經濟政策劑量宣告不確定與股價的動態調整－Holmes-Smyth效果的考量。東海管理評論，18(1)，99-152。
3. 廖培賢、柯竹鍵(2013)。不確定政策劑量宣告與股價動態調整─物價浮動與產出固定情況下之研究。東海管理評論，15(1)，145-174。
4. 鄭怡嵩、廖培賢(2012)。資產替代性、總體經濟政策宣告與股價的動態調整。東吳經濟商學學報，78，1-44。