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研究生: 李忠賢
論文名稱: 理性預期、股價和匯率之動態調整
指導教授: 朱美麗
學位類別: 碩士
Master
系所名稱: 社會科學學院 - 經濟學系
Department of Economics
論文出版年: 1990
畢業學年度: 78
語文別: 中文
論文頁數: 72
相關次數: 點閱:243下載:0
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  • 第一章 緒論…………………………………………………………1
    第二章 封閉經濟下,股價與物價水準之動態分析………………4
    第一節 模型設定……………………………………………………5
    第二節 股權價值和物價水準之縮減式……………………………8
    第三節 貨幣政策效果之分析………………………………………10
    第四節 結構參數變動對股價跳躍幅度的影響……………………20
    第五節 結構參數變動對股價變異數之影響………………………22
    第六節 結論…………………………………………………………24
    第三章 開放經濟下,股價、匯率與物價水準之動態分析………30
    第一節 模型設定……………………………………………………31
    第二節 股權價值、物價水準和匯率之縮減式……………………33
    第三節 貨幣政策效果之分析………………………………………37
    第四節 結構參數變動對股價及匯率跳躍幅度的影響……………50
    第五節 結論…………………………………………………………53
    第四章 總結…………………………………………………………56
    附錄I 第二章股價縮減式之導出……………………………………58
    附錄II 第二章動態體系之安定條件………………………………60
    附錄III 2.3節中各式之導出…………………………………………61
    附錄IV 第二章中股價與匯率縮減式之導出………………………62
    附錄V 第三章動態體系之安定條件………………………………66
    附錄IV 3.4節中各式之導出…………………………………………67
    參考文獻……………………………………………………………69

    參考文獻
    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.曹添旺、朱美麗,「股價與匯率動態調整-理論分析與模擬驗證」,國科會研究報告,78年7月。

    英文部分

    1. Aoki, M., Dynamic Analysis of Open Economies. Academic Press, 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. , R. Driskill and J. Frenkel, "Capital Mobility and Exchange Rate Overshooting," European Economic Review, Vol.24, 1984, PP . 309~40.
    4. Blanchard,O., "Output, the Stock Market and Interest Rates," American Economic Review, Vol.71, March,1981 PP . 132~ 43.
    5. Blanchard, O., "Dynamic Effects of a shift In Savings; the Role of Firms," Econometrica, Vol.51,No.5, Sep.1983, PP. 1583~91.
    6. Branson, W.H., "Asset Markets and Relative Prices in Exchange Rate Determination," Seminar Paper No.66, Institute for International Economic Studies, Stockholm,1976.
    7. Chen, C.N., C.C. Lai and T.W. Tsaur, "The Loanable Funds Theory and the Dynamics of Exchange Rates: The Mundell Model Revisited," Institute of the Three Principles of the People Academia Sinica, Reprint No.88-8, June, 1988.
    8. Chow, G.C., Analysis and Control of Dynamic Economic System, New-York: Wiley, 1975.
    9. Chu, M.L., "Exchange Rate and Asset Price Dynamics in A Small Open Economy," Ph.D. Dissertation,University of Ohio, 1986.
    10. Dornbusch, R., "Expectations and Exchange Rate Dynamics," Journal of Political Economy, Vo1.84, No.6, Dec.1976, PP.1161~76.
    11. Driskill, R. and S. McCafferty, "Exchange-Rate Variabiloity, Real and Monetary Shocks, and the Degree of Capital Mobility Under Rational Expectations," The Quarterly Journal of Economics, November, 1980, PP. 577~86.
    12. Driskill, R., "Exchange Rate Overshooting, the Trade Balance and Rational Expectations," Journal of International Economics, Vol.11, 1981, PP.361~77.
    13. Driskill, R. and S.McCafferty, "Exchange-Rate Determination; An Equilibrium Approach with Imperfect Capital Substitutability," Journal of International
    Economics, Vol.23, 1987, PP.241~61.
    14 . Flood, R. P., "An Example of Exchange Rate Overshooting," Southern Economic Journal, Vol.46, 1979, PP .168~78.
    15.Frenkel, J.A. and C.A. Rodriguez, "Exchange Rate Dynamics and the Overshooting Hypothesis," IMF Staff Paper, 1982, PP.1~30.
    16. Gavin, M., "The Stock Market and Exchange Rate Dynamics," International Finance Discussion Papers,#278, Board of Governors of the Federal Reserve System, Washington D.C., 1986 .
    17. Gavin., M., "The Stock Market and Exchange Rate Dynamics," Journal of International Money and Finance, Vol. 8, 1989, PP.181~200.
    18. Hayashi, F., "Tobin's Marginal q and Average q: A Neoclassical Interpretation," Econometrica, Vol.50, No.1, January, 1982, PP.213~24.
    19. Lucas, R.E. Jr., "Some International Evidence on Output-Inflation Trade-Offs, " American Economic Review, Vol.63, 1973, PP.326~34.
    20. McCallum, B.T. "On Non-uniqueness in Rational Expectations Models: An Attempt at Perspective,"Journal of Monetary Economics, Vo1.11, 1983, PP.139~68.
    21. Muth, J.F., "Rational Expectations and the Theroy of Price Movements," Econometrica, Vol.29, No.6, 1961,PP. 315~35.
    22. Neihans, J., "Exchange Rate Dynamics with Stock/ Flow Interaction," Journal of Political Economy, Vol.85, No.6, Dec . 1977, PP.1245~57.
    23. Sargent, T. J . , Macroeconomic Theory, New York,Academic Press, 1979.
    24. Taylor, M. P. and Keith Cuthbertson, Macroeconomic Systems, Basil Blackwell, 1987.
    25. Tobin, J., "A Gerneral Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, Vol .1, Feb.1969, PP.15~29 .
    26. Turnovsky, S.J., "Short-Term and Long-Term Interest Rates in A Monetary Model of A Small Open Economy,"Jorunal of International Economics, Vol .20, 1986, PP.291~31l .
    27. Wilson, C.A., "Anticipated Shocks and Exchange Rate Dynamics," Journal of Political Economy, Vol.81,No.3, June, 1979, PP.639~47.

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