Title page for etd-0601116-183103


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URN etd-0601116-183103
Author Kai-Li Hsieh
Author's Email Address No Public.
Statistics This thesis had been viewed 5537 times. Download 323 times.
Department Economics
Year 2015
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Anticipated Policy and Stock Price Dynamics: A Small Open Economy Analysis
Date of Defense 2016-06-27
Page Count 48
Keyword
  • stock prices
  • dynamic adjustment
  • exchange rates
  • policy announcement
  • anticipated
  • Abstract This thesis introduces the stock asset into the Dornbusch (1976)small-open economy model, and assumes that domestic stock, domestic bond, and foreign bond are perfectly substitutable assets. We examine how the stock prices and exchange rates will react when domestic agents receive the news that supplementary premium, foreign interest rates or domestic money supply will raise permanently. The policy announcement from the government will change people’s expectations.Therefore, the stock price and foreign exchange rate will promptly jump up when the domestic agents receive the news. Three main conclusions emerge from the analysis. First, raising supplementary premium leads to drop on the long-run stock price but doesn’t affect exchange rate. Second, raising foreign interest rate leads to drop on the long-run stock price but the long-run exchange rate will depreciate in response. Third, the effect of increasing domestic money supply on the long-run exchange rate is negative but doesn’t affect real stock price in the long run.
    Advisory Committee
  • Shih-Wen Hu - chair
  • Shul-John Li - co-chair
  • Ching-Chong Lai - advisor
  • Files
  • etd-0601116-183103.pdf
  • Indicate in-campus at 0 year and off-campus access at 1 year.
    Date of Submission 2016-07-04

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