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    Title: 政策預期、匯率變動與股價調整
    Authors: 林為中
    Contributors: 朱美麗
    林為中
    Date: 1990
    1989
    Issue Date: 2016-05-03 14:21:35 (UTC+8)
    Abstract: 本文摘要
    本文的目的在於探討小國開放體系且資本完全移動下,融入股票市場後,央行採行"未被預期到"(unanticipated)及"可被預期到"(anticipated)的擴張性政策,對匯率、股價及產出的影響效果。
    本文的特色,在於建立電腦模擬分析(simulation analysis)分三情況來探討"可被預期到"擴張性政策的採行時匯率與股價的調整路徑。
    本文的研究結果,主要歸納如下:
    一、"未被預期到"的貨幣供給增加
    (一)、長期時本國通貨的升貶未定,決定於總產出對總需求(a值)與股價對總需求(b值)的聯合影響。亦即a+b值的大小。若a+b<1則長期時本國通貨貶值;若a+b=1,則長期均衡值不受政策變動影響;當a+b>1時將得到升值的結果。而短期的調整亦取決於a+b值的大小,隨著a+b值的增加,匯率將由過度調整轉為反向調整再成為調整不足。
    (二)、長期時股價將上升,而短期時股價均為過度調整。
    二、"被預期到"的貨幣供給增加
    (一)、長期時,匯率與股價的調整如同"未被預期到"的情況一樣,但短期於政策宣告時,隨著a+b值的增加,匯率將由調整不足轉為過度調整,政策執行時,隨著a+b值的增加,匯率將由過度調整轉為調整不足。
    (二)、短期時,股價於政策宣告時,隨著a+b的增加,將由反向調整轉為調整不足,而政策執行時,股價均為過度調整。
    Reference: 參考文獻
    一、中文部份:
    1.朱美麗、曹添旺,「產出水準、股票市場與匯率動態調
    整」,經濟論文,第十五卷第二期,民國七十六年九月
    ,頁45~59。
    2.朱美麗、曹添旺,「股價與匯率動態調整──理論分析
    與模擬驗證」,行政院國家科學委員會專題研究計劃成
    果報告,民國七十八年七月。
    3.陳師孟、蔡雪芳,「完全預期下之政策跨時搭配與匯率
    動態」,經濟論文叢刊,第十六輯第一期,民國七十七
    年一月,頁1~23。
    4.曹添旺,「通貨替代、通貨膨脹、匯率調整與貨幣中立
    性」,經濟論文叢刊,第十五輯第二期,民國七十六年六
    月,頁367~98。

    二、英文部分:
    1.Aoki,M.Dynamic Analysis of Open Economics, ch2,Academic Press Inc.1981.
    2.Aoki,M. "Misadjustment to Anticipated Shocks:An Example of Exchange-Rate Response," Journal of International Money and Finance,Vol.4,No.3,Sept .1985,pp.415-20。
    3.Bhandari,J. Exchange Rate Determination and Adjustment,Chap.5,New York:Praeger Studies in International Monetary Economics and Finance,1982。
    4.Blanchard,O." Wage Indexing Rules and the Behavior of the Economy",Journal of Political Economy,Vol 87,1979,pp.798-815。
    5 . ______ " Output, the Stock market and Interest Rates",American Economic Review, Vo171,1981,pp132-143。
    6.Blanchard ,0 . and Kahn. M. " the Solution of Linear Difference Models Under Rational Expectations ", Econometrica,Vo148,1980,pp1305-1311。
    7.Branson W.Macroeconomic Theory and Policy 3nd, New York:Harper and Row,1989。
    8.Cuthbertson. K.and Taylor, M. Macroeconomic Systems ,Chap 3,New York:Basil Blackwell Inc,1987。
    9.Dornbusch,R. "Expectations and Exchange Rate Dynamics" Journal of Political Economy,Vol.84,Dec.1976,pp.1161-76。
    10.Fair,R,C. "An Analysis of a Macroeconomic Model with Rational Expectations in the Bond and Stock Market ", American Economic Review, Vol.69, ,1979,pp 539-552。
    11. Gavin, M. " The Stock Market and Exchange Rate Dynamics" , Journal of International Monetary of Finance,Vol.8,1989,pp181-200。
    12.Neihans,J. International Mometary Economics ,chap 10,Baltimore:The John Hopkins University press,1984。
    13.Tobin, J "A General Equilibrium Approach to Monetary theory" ,Journal of Money Credit & Banking ,pp.15-29。
    14.Turnovsky,S."Short-term and Long-term Interest Rates in a Monetary Model of a Small Open Economy "Journal of International Economics,Vol.20 , No.214, Mary 1986,pp291-311
    15. Wilson ,C. "Anticipated Schocks and Exchange Rate Dynamics", Journal of Political Economy,Vol.87,No.3,1979,pp.639-647。
    Description: 碩士
    國立政治大學
    經濟學系
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002005436
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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