價格體制崩潰、財富效果與資產替代性對股價動態走勢的影響

Abstract

本文以Blanchard（1981）封閉經濟體系股票市場宣示效果模型和曹添旺與黃俊傑（2000）浮動匯率制度的價格體制崩潰模型為基礎，考量財富效果進而一個建構股票與債券呈現不完全替代的封閉經濟價格體制崩潰的一般均衡模型，並使用體制崩潰的分析方法，據以探討：一旦經濟體系面臨股票市場需求面有利隨機衝擊干擾，貨幣當局為了抑制物價水準的持續攀升，透過緊縮性貨幣政策讓物價水準維持在某一固定水準，進而導致自由浮動價格體制崩潰成價格管制體制的情況下，相關總體經濟變數之動態調整路徑。結果發現：（1）貨幣當局所能忍受的物價上限門檻水準不僅與價格體制崩潰時機唇齒相依、息息相關，同時在決定物價體制是否崩潰上也占了舉足輕重的角色；（2（a）「籌碼效果與紅利效果之和」與「流動性效果」的相對大小，（b）貨幣當局所能忍受的物價上限門檻水準高低兩者是決定價格體制崩潰過程中，相關總體經濟變數動態調整型態的關鍵因素。

This paper presents a macroeconomic model in a closed economy is characterized by the framework developed by the stock market announcement effect model of Blanchard (1981) and flexible exchange rates price regime collapsing model of Tsao and Huang (2000). Besides considering the wealth effect and the imperfect substitution between stock and bond which is emphasized by Laban and Larrain (1994), Obstfeld (1994) etc., we use the ＂implicit function technique＂ of first generation regime collapsing‚ which is offered by Chang and Lai (1990) to analyze if the monetary authority tend to curb the rising price level through the tight monetary policy which the economy is facing a beneficially stochastic shock on the demand side of the stock market. Under the former economic circumstances‚ what will be the dynamic effect of the relevant macroeconomic variables if the monetary authority executes the policy? The major findings are (i) not only the price ceiling threshold level is the key factor of price regime collapsing‚ but also is the important determinant of the price regime collapsing whether or not? (ii) if the price ceiling threshold level is between the initial price level and the new long run equilibrium price level‚ then (a) the relative amplitude of ＂the sum of chip effect and dividend effect＂ and ＂the liquidity effect＂ (b) the upper price threshold level are the two key factors to decide the dynamic path of the relevant macroeconomic variables.