股票政策宣告對農產品價格與股票價格的動態影響

The Impact of Stock Market Policy Announcement on Commodity Prices and Share Prices

肇因於1970年代美國農產品價格的巨幅波動，各國農業經濟學者開始關注匯率、利率或貨幣供給等總體變數對農產品價格可能造成的影響。其後，相關的實證文獻頗多，但結論不一。此外，1981年Blanchard將股票市場納入傳統的IS-LM模型，說明利多與利空對總體政策的影響。然而，反觀農業經濟領域，截至目前為止，卻未見有文獻討論金融市場對農產品價格的衝擊。本研究擬將Lai et al. （1996）兩產品部門的總體經濟模型納入股票市場，建構包含：農產品市場、製造業產品市場、貨幣市場以及股票市場的理論模型，並假設股票與債券為完全替代資產，且民眾具有完全預知的預期形成；據以探討倘若政府或金融主管機構宣布即將調整融資利率、融資比率以及每單位股票分配到的產出份額時，農產品價格與股票價格的動態調整軌跡。分析結果顯示，當相關當局採行預料到的股票政策，長期而言，農產品價格可能上升也可能下降，端視農產品的價格效果與利率效果的相對大小而定。至於短期，股票價格可能出現錯向調整的現象，端視宣告至執行之時差而定。 It has been an important issue to analyze the possible impact of macroeconomic effects, such as: exchange rate or interest rate, on the commodity prices since 1970s because of the tremendous volatility of commodity prices on the US. Thereafter, there are a lot of literature in agricultural economics relative to the empirical study. But the results of these literature are ambiguous. On the other hand, Blandchard (1981) incorporated the stock market into the traditional IS-LM model and discussed the interaction between stock market and economy. The financial sector plays an important role to affect the time path of commodity prices it cannot be ignored since agricultural industry is just one of sector among the whole economy. The main purpose of this article is to add the stock market into the two-goods economy. One is commodity product and the other is nonagricultural product. According the model including commodity market, nonagricultural product market, monetary market and stock market and under the assumptions of perfect substitutes between stock and bond and perfect foresight expectation, the effect of stock market policies, such as financing interest rate, financing ratio, on dynamics of commodity and share prices will be analyzed. The result shows that in the long run the impact of stock policies on commodity prices depends on the relative magnitudes of price effect of commodity and interest rate effect. While in the short run, whether share price overshooting or not it depends on the length of time between announcement and implement of policies.

It has been an important issue to analyze the possible impact of macroeconomic effects, such as: exchange rate or interest rate, on the commodity prices since 1970s because of the tremendous volatility of commodity prices on the US. Thereafter, there are a lot of literature in agricultural economics relative to the empirical study. But the results of these literature are ambiguous. On the other hand, Blandchard (1981) incorporated the stock market into the traditional IS-LM model and discussed the interaction between stock market and economy. The financial sector plays an important role to affect the time path of commodity prices it cannot be ignored since agricultural industry is just one of sector among the whole economy. The main purpose of this article is to add the stock market into the two-goods economy. One is commodity product and the other is nonagricultural product. According the model including commodity market, nonagricultural product market, monetary market and stock market and under the assumptions of perfect substitutes between stock and bond and perfect foresight expectation, the effect of stock market policies, such as financing interest rate, financing ratio, on dynamics of commodity and share prices will be analyzed. The result shows that in the long run the impact of stock policies on commodity prices depends on the relative magnitudes of price effect of commodity and interest rate effect. While in the short run, whether share price overshooting or not it depends on the length of time between announcement and implement of policies.