總體經濟政策宣告與股價動態調整－政策增量不確定情況下的分析

Macroeconomic Policy Announcement and Dynamic Adjustment of Stock Prices-An Analysis of Uncertainty in Policy Increment

廖培賢(Peir-Shyan Liaw)；陳睿廷(Zhuyin-Tin Chen)

流動性效果 ； 直接效果 ； 紅利效果 ； 政策跨時搭配 ； 錯向調整 ； liquidity effect ； direct effect ； dividend effect ； intertemporal policy mix ； mis-adjustment

東海管理評論

15卷1期（2013 / 07 / 01）

93 - 144

繁體中文

本文以Blanchard（1981）探討總體經濟政策宣告對股價動態調整之封閉經濟宣示效果模型為基礎，在物價僵固與產出浮動的前提下，放寬Blanchard（1981）股票與債券呈現完全替代的假設，仿照Laban and Larrain（1994）、Obstfeld（1994）、金志婷（1999）與廖培賢（2008）等股票與債券呈現不完全替代的設定，並予以延伸至政策增量不確定個案，來討論政策宣告不確定下政策跨時搭配政策的實施對股價動態調整型態的影響。結果得到：「流動性效果」及「直接效果與紅利效果之和」的相對大小、「貨幣政策與財政政策之政策增量效果」的相對大小及「貨幣政策與財政政策宣示效果」的相對大小這三項關鍵因子在決定股價動態調整型態中都扮演了舉足輕重的角色。

This paper presents a macroeconomic policy increment uncertainty model in a closed economy based on the framework developed by Blanchard (1981), Laban and Larrain (1994), Obstfeld (1994), Chin (1999) and Liaw (2008) etc. In view of the price rigidity and output flexibility, the model uses the announcement effect approach of rational expectation to discover the influence of stock prices dynamic adjustment pattern under the increment uncertainty of intertemporal policy mix. The major findings are (1) the relative magnitude of ”liquidity effect” and the sum of ”direct effect” and ”dividend effect”, (2) the relative magnitude of the ”policy increment effect between fiscal and monetary policy”, and (3) the relative magnitude of the ”policy announcement effect between fiscal and monetary policy” are the main determinants for the stock prices dynamic adjustment pattern.

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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。