利率目標區下的蜜月效果直覺圖形分析－－產出與股價雙預期的考量

A GRAPHICAL ANALYSIS OF THE HONEYMOON EFFECT OF INTEREST RATE TARGET ZONES THE DUAL EXPECTATIONS CONSIDERATION OF OUTPUT AND STOCK PRICE

本文係以Blanchard(1981)與Lai et al.(2003)模型的特色為基礎，從而建構一個可以詮釋產品市場與股票市場互動關係的封閉總體經濟模型。在民眾對所得與股價的未來變動同時存在預期之前提下，以Lai et al.(2003)具經濟直覺的雙預期變數圖形解析方法來取代傳統的聯立隨機微分方程數學解法與數值模擬分析技巧，期望利用簡單的經濟直覺圖形，來進行當政策當局宣佈實施「利率目標區」政策對相關的總體經濟變數是否具有蜜月效果的分析。結果發現：除了貨幣市場需求面出現隨機干擾時，政策當局「利率目標區」政策的實施對產出必定具有蜜月效果之外，其餘不管外外生隨機干擾來源到底來自商品、股票（貨幣）市場的需求面，政策當局「利率目標區」政策的實施對利率、股價與產出（利率與股價）都未必具有蜜月效果，而「干擾種類」、「直接效果與紅利效果之和及流動性效果的相對大小」、「直接效果與紅利效果之和與貨幣供給改變透過產出與商品市場股價連動所帶動的股票市場利率變動效果的相對高低」與「民眾對股價預期變動率與民眾對所得預期變動率的相對變動幅度大小」這四項關鍵因素，再決定相關的總體經濟變數是否具有蜜月效果上，扮演了舉足輕重的角色。

This paper develops a stochastic closed macroeconomic model which is based on Blanchard (1981) and Lai et al. (2003) model. Under the output and stock price dual economic variables expectation, we use the “new graphical approach”, which is offered by Lai et al. (2003) to interpret, what the effect of exogenous disturbances will be on the possible honeymoon effect of relevant macroeconomic variables if the monetary authority executes the interest rate target zone policy. The major findings are: (1) In addition to the stochastic disturbance derives from money market, the interest rate target zone policy will make the output level stabilize (2) “the items of disturbances”, “the relative magnitude between the sum of the direct effect and the dividend effect with respect to the liquidity effect”, “the relative magnitude between the sum of the direct effect and the dividend effect with respect to the effect of interest rate change in stock market through output and commodity market stock price of money supply changes” and “the relative magnitude between the public’s expected stock price change rate and expected output change rate” are the four key factors which determine whether the relevant macroeconomic variables exhibit the honeymoon effect or not.