Monetary policy announcements and stock price dynamics in a small open economy

被引：5

作者：

Chao, Chi-Chur ^{[1
]}

Hu, Shih-Wen ^{[2
]}

Tai, Meng-Yi ^{[3
]}

Wang, Vey ^{[2
]}

机构：

[1] Chinese Univ Hong Kong, Dept Econ, Shatin, Hong Kong, Peoples R China

[2] Feng Chia Univ, Dept Econ, Taichung 40724, Taiwan

[3] Fo Guang Univ, Dept Econ, Yilan, Taiwan

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2011年 / 20卷 / 04期

关键词：

Stock market; Dynamic adjustment; Policy announcement; EXCHANGE-RATE DYNAMICS; AGRICULTURAL PRICES; ANTICIPATED SHOCKS; EXPECTATIONS; MARKET;

D O I：

10.1016/j.iref.2010.10.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a monetary framework with stock markets, this paper investigates dynamic behaviors of a small open economy with various adjustments in the manufacturing prices. For an instantaneous adjustment of the manufacturing prices, stock values and exchange rates may appear to misjump or misadjust at the instant of the monetary policy announcement. When the manufacturing prices adjust sluggishly, exchange rates may overshoot but stock values can exhibit various dynamic patterns, including overshooting or undershooting. (C) 2010 Published by Elsevier Inc.

引用

页码：520 / 531

页数：12

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