| Summary: | 碩士 === 嶺東科技大學 === 財務金融研究所 === 95 === This research is mainly based on the modal structure (price fluctuation and fixed output) proposed by Dornbusch (1976) with the additional consideration of stock markets to establish an integral dynamic model. This research is also combined with TAIEX, New Taiwan Yen/US Dollar Exchange Rate and the total financial expenditure budgets to act as experimental research samples. It is aimed to explore the influence of financial policy alternations on stock prices and currency exchange rates.
From this research, we find that:
1.Under the floating currency exchange system, the influence of increased governmental expenditures on the long-term balance values of stock markets depend on the relative levels of dividend flexibility values on speculative currency demands.
2.The influence of increased governmental expenditures on long-term balance values of currency exchange rates depends on the relative degrees on capital movement.
3.Under the floating currency exchange system, by the time the policies of increased governmental financial expenditures are announced, it will cause the possible phenomenon of reverse jumping and reverse adjusting in local stock prices and currency exchange rates.
4.In the experimental analysis, in view of the correlation between financial policies and stock prices & currency exchange rates, it can be found from the Johansen Cointegration Test that financial expenditures cause the long-term comovement correlation on both stock prices and currency exchange rates. It means both movement directions are consistent. It can be found from the GARCH model that it exists in positive correlation between financial expenditures and stock prices but negative correlation between financial expenditures and currency exchange rates. Thus, the situation in Taiwan belongs to the type with higher degree of capital movement when the higher flexibility values of currency demands are happening.
|
|---|
