簡易檢索 / 詳目顯示
| 研究生： |
金俌均 Kim, Bo Gyun |
|---|---|
| 論文名稱： |
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 |
| 指導教授： | 方中柔 |
| 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： | 2002 |
| 畢業學年度： | 90 |
| 語文別： | 英文 |
| 論文頁數： | 108 |
| 外文關鍵詞： | Economic Stability Policy, Simultaneous Stochastic Differential Equation, Stock Price Target Zone, Topological Method, Second smooth pasting condition |
| 相關次數： | 點閱：76 下載：7 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
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.
Acknowledgement
Abstract
Contents
Lists of Tables
Lists of Figures
Chapter 1 Introduction and Review-----1
1.1 Introduction and Motivation-----1
1.2 Expectation and the Properties of Stock Price as the Stochastic Process-----5
1.3 Stock Price and Macroeconomic Variables 81.4 The Analytical Method-----11
Chapter 2 Literature Review-----14
2.1 The Theoretical Development of Target Zone Literature-----14
2.2 Alternative Literatures Review-----18
Chapter 3 Model-----20
3.1 Model Description-----20
3.2 The Saddle Point Stability in the Dynamic Framework-----24
3.3 The Dynamic Loci of Commodity Price and Stock Price in the DeterministicSystem-----26
3.4 The Dynamic Loci of Commodity Price and Stock Price in the Stochastic System-----36
3.5 Local Analysis-----40
3.6 Global Analysis-----47
Chapter 4 The Economic Stability and the Different Policy Regimes-----57
4.1 Case [1]. The Liquidity Effect Condition-----59
4.2 Case [2]. The Dividend Effect Condition-----65
4.3 The Unstable Smooth Pasting Solution and the Imperfect Credibility-----69
4.3.1 The Risk Averters’ Unstable Dynamic Path under the Liquidity Effect Condition-----70
4.3.2 The Risk Lovers’ Unstable Dynamic Path under the Dividend Effect Condition-----73
Chapter 5 Conclusions and Future Research-----76
Appendix I-V-----81
Bibliography-----92
Lists of Tables
Table 1. The Stock Price Limit in the Main Countries-----13
Table 2. The Liquidity Effect Case-----53
Table 3. The Dividend Effect Case-----53
Table 4. The Properties of Dynamic Loci of Stochastic Solution-----56
Table 5. The Effectiveness of Three Policy Regimes with the Perfect Credibility-----68
Table 6. The Effectiveness of Three Policy Regimes with the Imperfect Credibility-----75
Table 7. The Economic Stability under the Three Different Policies-----78
Lists of Figures
Figure 1. Case 【1】-----35
Figure 2. Case 【2】-----35
Figure 3-a. Local Analysis by the Function Φ(μ) in Case 【1】-----45
Figure 3-b. Local Analysis with the Sign of the f"(p) in Case 【1】-----45
Figure 4-a. Local Analysis by the Function Φ(μ) in Case 【2】-----46
Figure 4-b. Local Analysis with the Sign of the f"(p) in Case 【2】-----46
Figure 5-a. The Unbounded Dynamic Loci of the Stochastic Solutions in Case 【1】-----54
Figure 6-a. The Unbounded Dynamic Loci of the Stochastic Solutions in Case 【2】-----54
Figure 5-b. The Bounded Dynamic Path under the Liquidity Effect Condition-----64
Figure 6-b. The Bounded Dynamic Path under the Dividend Effect Condition-----67
Figure 5-c. The Collapsed and Bubbled Dynamic Paths under the Liquidit Effect Condition-----71
Figure 6-c. The Collapsed and Bubbled Dynamic Paths under the Dividen Effect Condition-----74
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.
此全文未授權公開