English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113318/144297 (79%)
Visitors : 51029196      Online Users : 924
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95714


    Title: 股價目標區政策與經濟穩定性:聯立隨機微分方程式體系之應用
    Stock Price Target Zone Regime and Economic Stability: An Application of Simultaneous Stochastic Differential Equation System
    Authors: 金俌均
    Kim, Bo Gyun
    Contributors: 方中柔
    金俌均
    Kim, Bo Gyun
    Keywords: Economic Stability Policy
    Simultaneous Stochastic Differential Equation
    Stock Price Target Zone
    Topological Method
    Second smooth pasting condition
    Credibility
    Date: 2002
    Issue Date: 2016-05-09 16:52:25 (UTC+8)
    Abstract:   This paper studies the endogenous evolution of investment behaviour under the various macroeconomic circumstances, which might be relatively constructed by free-float, fixed and target zone regimes as the economic stability policy. It applies the issues of stock price target zone policy to a simultaneous stochastic differential equation system. We construct the stochastic macro model which utilized the basic conception of Dornbusch [1976] with the different price adjustment mechanism. In addition, we intend to apply the topological method which used by Miller and Weller [1991] to analyze the general economic property from the non-recursive model. The main purpose of this paper is to discuss how the public’s expectation affects the dynamic loci of commodity and stock price when the public agents have the perfect or imperfect credibility. We utilize this model to investigate whether stock price target zone regime will have honeymoon effect or not, when the government announce to execute the stock price target zone policy in the various situations. Moreover, we discuss whether stock price target zone can simultaneously stabilize other variables in the different situations.
    Reference: 賴景昌(1994),【國際金融理論:進階篇】。台北:茂昌。
    錢盡忠(1987),『台灣地區股價泡沫現象之檢定』,國立政治大學企業管理研究所碩士論文。
    Bertola, G. and Caballero, R. J. (1992a), “Target Zones and Realignments,” American Economic Review, Vol.82, pp. 520-536.
    Bertola, G. and Caballero, R. J. (1992b), “Sustainable Intervention Policies and Exchange Rate Dynamics: in Krugman, P. R and Miller, M. eds: Exchange Rate and Targets and Currency Bands,” Cambridge: Cambridge University Press.
    Bertola, G. and Svensson, L. E. O. (1993), “Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models,” Review of Economic Studies, Vol. 60, pp.689-712.
    Blanchard, Oliver. J. (1981), “Output Stock Market, and Interest Rate,” American Economic Review, Vol.7, pp. 32-143.
    Blanchard, Oliver. J.and Fisher, Stanley. (1989), Lectures on Macroeconomics. Cambridge: MIT Press.
    Branch, Ben. (1974), “Common-Stock Performance and Inflation: An International comparison,” Journal of Business, Vol.47, lss.1, pp.48.
    Chang, W. Y. and Lai, C.C. (1997), “Election Outcomes and the Stock Market: Further Results,” European Journal of Political Economy, Vol.13, No.1, pp.143-155.
    Chen, Z. and Giovannini, A. (1992), “Estimating Expected Exchange Rates under Target Zones,” NBER Working Paper. pp.39-55.
    Delgado, F. and Dumas, B. (1992), “Target Zones, Broad and Narrow in Krugman, P. R. and Miller, M. eds. Exchange Rate Targets and Currency Bands.” Cambridge: Cambridge University Press.
    Dixit, Avinash. (1990), Optimization in Economic Theory. 2nd. ed. Oxford University.
    Dixit, Avinash. (1993), The Art of Smoothing Pasting. Harwood Academic Publisher.
    Dornbusch, R. (1976), “Expectations and Exchange Rate Dynamics,” Journal of Political Economy, Vol.84, pp.1161-1176.
    Fama, E. F. (1965), “The Behavior of Stock Market Prices,” Journal of Business, January, pp.34-105.
    Fama, E. F. (1970), “Efficient Capital Market: A Review of Theory and Empirical Work,” Journal of Finance, pp.383-417
    Fella, Giulio. (2001), “Reserve Uncertainty and Speculative Attacks on Target Zones,”Economic Letters, Vol. 70, pp.223-228.
    Flood, R. P. and Garber, P. M. (1991), “The Linkage between Speculative Attack and Target Zone Models of Exchange Rates,” Quarterly Journal of Economics, Vol.106, pp.1367-1372.
    Francis, J. C. (1983), Management of Investments Ch19— Ch24. 2nd (ed). McGraw-Hill.
    Frankel, Jeffery. A. (1986), “The Implications of Mean-Variance Optimization for Four Questions in International Macroeconomics,” Journal of International Money and Finance, Vol.5, pp.53-75.
    Frankel, J. and Froot, K. (1990), “Understanding the US dollar in the Eighties: the Expectation of Chartist and Fundamentalists. The Economic Record 62, pp.24-38.
    Garbar, Peter. M. (1990), “Famous First Bubble,” Journal of Economic Perspectives, Spring, pp.35-54.
    Gandolfo, Giancarlo. (1997), Economic Dynamics Ch.11-24. 2nd (ed). Springer.
    Jaffee, Jeffrey. F. (1976), “The Fisher Effect for Risky Assets: An Empirical Investigation,” Journal of Finance, Vol.31, lss.2, pp.442.
    Kenneth D, Garbade. (1982), Securities Markets Ch10. McGraw-Hill.
    Kempa, B., Nelles, M. (1998). “On the viability of exchange rate target zones in the a Mundell-Fleming model with stochastic output shocks,” Journal of Policy Modeling 20, pp.603-619.
    Kempa, B., Nelles, M. and Pierdzioch, C. (1997), “An Analytical Approximation of Target Zone Exchange Rate Functions: The Technique of Collocation,” Economic Letter. Vol.57, pp.339-343.
    Kempa, B., Nelles, M.and Pierdzioch, C. (1999), “Exchange Rate Target Zones in A Mundell-Fleming Model with Stochastic Output Shocks,” Journal of Policy Modeling 20(5), pp.603-619.
    Krugman, P. (1991), “Target Zones and Exchange Rate Dynamics,” Quarterly Journal of Economics. Vol.106, pp. 669-682.
    Lewis, K. K. (1991), “An Empirical Exploration of Exchange Rate and Target Zones: a Comment,” Carriegie-Rochester Series on Public Policy, Vol.35, pp. 67-78.
    Lindberg, H. and Söderlind, P. (1994), “Intervention Policy and Mean Reversion in Exchange Rate Target Zones: The Swedish Case,” Scandinavian Journal of Economics, Vol.96, pp.499-513.
    Malliaris.A.G and Brock. W. A. (1988), Stochastic Methods in Economics and Finance Elservice Science Publishing Company INC.
    Mccafferty, Stephen. (1990), Macroecomic Theory. Harper & Row.
    Miller, R. L. and D.Vanhoose (1998), Macroeconomics: Theories, Policies, and International Applications. New York: South-Western.
    Miller, M. and Weller, P. (1991), “Currency Band, Target zones, and Price Flexibility,” IMF Staff Paper 38, pp.184-215.
    Miller, M. and Weller, P. (1995), “Stochastic Saddle Point Systems Stabilization Policy and the Stock Market,” Journal of Economic Dynamics & Control 19.pp.279-302.
    Miller, M and Zhang, L. (1996), “Optimal Target Zones: How an exchange rate mechanism can improve upon discretion,” Journal of Economic Dynamics and Control, Vol.20, pp.1641-1660.
    Phillips, A. W. (1954), “Stabilization Policy in a Closed Economy,” Journal of Economic, Vol.64, pp.290-323.
    Phillips, A. W. (1957) “Stabilization Policy and the Time-Form of Lagged Responses,” Journal of Economics, Vol.67, pp.265-277.
    Pratten, C. F. (1993), The Stock market, Cambridge University Press.
    Romer. David. (1996), Advanced Macroeconomics.Ch 5. McGraw-Hill.
    Ross, Richard, (1987), “The International Crash of October 1987, ” Financial Analysis Journal, Stember-Octorber, pp.29.
    Samuelson, Paul. (1973), “Proof that Properly Anticipated Prices Fluctuate Randomly,” Industrial Management Review, Vol.6, No 2, pp 41-49.
    Samuelson, Paul. (1973), “Proof that Properly Discounted Present Values of Assets Vibrate Randomly,” Bell Journal of Economics and Management Science, Autumn, pp. 369-374.
    Steven. R, Champion (1998), The Great Taiwan Bubble: The Rise and Fall of an Emerging Stock Market. Pacific View Press.
    Sutherland, A. (1994), “Target Zone Models with Price Inertia: Solutions and Testable Implications,” The Economic Journal. Vol.104, pp 96-112.
    Torres, José L (2000), “A Heterogeneous Expectations Target Zone Model,” Economic Letter, Vol.67, pp. 69-74.
    Tristani, O., (1994), “Variable Probability of Realignment in a Target Zone,” Scandinavian Journal of Economics, Vol.96, pp. 1-14
    Van Der Ploeg, F., (1989), “Election Outcomes and the Stock Market,” European Journal of Political Economy, Vol. 5, pp.21-30.
    Werner, A. M. (1995), “Exchange Rate Target Zones, Realignments and the Interest Rate Differential: Theory and Evidence,” Journal of international Economics, Vol.39, pp.353-367.
    Williamson, J. (1985), The Exchange Rate System. Washington, D. C.: Institute for international economics.
    Description: 碩士
    國立政治大學
    經濟學系
    88258023
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2010000265
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2347View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback