Exchange Rates Policy Announcement and Stock Price Dynamics Adjustment under Fixed Exchange Rates Regime

• Main Authors: Hsieh Cheng-Ta, 謝承達
• Other Authors: 胡士文
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/80751577231633660629

碩士 === 嶺東科技大學 === 財務金融研究所 === 95 === Before 1960, the studies of international finance mostly attend to the foreign exchange market and neglecting the relationship between the foreign exchange market and other markets. Until the initial stage of 1960, Mundell (1963) and Fleming (1962) had builted a general equilibrium analytic model. Is this model we call Mundell-Fleming model. When Mundell-Fleming model was proposed, the price-level of social environment appeared stable, so this model was hypothesized the price was fixed. In the initial stage of 1970,there was a stagflation happened to international, in order to accord with the social form, Dornbusch issued ' Expectations and Exchange Rate Dynamics ' in 1976. In the article, he changed price stiff firm of Mundell-Fleming model into varied price and fixed output model. This article also drove the studying trend of Exchange Rate Dynamics adjust. Blanchard issued ‘Output, the Stock Market and Interest Rates’ in 1981 thereafter. This is the first classical literature of stock price dynamics under anticipated assumption. This article extended the model of Dornbusch (1976) and Blanchard (1981), under the fixed exchange rate , set up a opening economic system which include the commodity market, money market, foreign exchange market, and stock market. Treating of the effect of policy change (including the change of exchange rate) to the domestic stock price and influences of the foreign exchange reserve. In this article, we found: 1. For long-term equilibrium, when the government administered expansion financial policy, the impact on stock price is uncertainty, it depend on capital moving degree ,the proportion of the output distribute to shareholders and the relative size of the net export price elastic . 2.Under the fixed exchange rate system, the economic system has a positive root and a negative root, it mains the economic system has the characteristic of saddle point stability. When the government announces the exchange depreciation, stock price and foreign exchange reserve will move towards the new long-run equilibrium through the stability function of this system, this is consistent with the cointegration and GARCH model for real example. 3.When , after the policy announce to the policy implement. The foreign exchange reserve will present the phenomenon of misadjustment. 4.For long-run equilibrium, the government increases the domestic credit level have no effect on stock price; but that will reduce the foreign exchange reserve. In other words, the currency for a long-run does not have neutrality. 5.When the foreign nominal interest rises, for a long-run equilibrium, the stock price will be dropped; and the foreign exchange reserve will be reduced.