臺灣博碩士論文加值系統

本文以廖培賢(2015)考量「消費跨時替代效果」的產出固定、物價浮動以及股票與債券呈現不完全替代的股票市場宣示效果封閉經濟體系模型為基礎，進而建構一個同時考量「消費跨時替代效果」以及股票與債券呈現不完全替代的封閉經濟體系模型，使用宣告效果(announcement effect)的分析方法來進行：一旦經濟體系遭逢財政部實施投資人(a)股利可扣抵稅額比例、(b)綜合所得稅稅率未來將會變動的兩種政策宣告對相關總體經濟變數的動態調整型態將會有何種動態衝擊的討論，研究結果發現：一旦財政部進行投資人股利可扣抵稅額比例(綜合所得稅稅率)的政策宣告時，短期名目股價到底會呈現調整不及、調整過度、錯向跳動抑或錯向調整那種動態調整型態？其中(1)「流動性效果」與「股利效果」以及「籌碼效果」二者之和的相對大小、(2)兩條不安定線是否同為正抑或負斜率、(3)「流動性效果」與「直接效果」、「股利效果」以及「籌碼效果」三者之和的相對大小這三項決定因素占了舉足輕重的角色。

This thesis innovates and develops a macroeconomic model in a closed economy based on the framework developed by Liaw (2015). In view of intertemporal substitution effect of consumption, full employment output and commodity price free adjustment, the model uses the announcement effect approach of rational expectation to investigate the dynamic impact of the deductible dividend tax rate and consolidated income tax rate with respect to the adjustment pattern of stock price. The major findings are if the policy authority executes the deductible dividend tax rate ( the consolidated income tax rate) policy announcement, then (i) the relative magnitude of the liquidity effect and the sum of the chip effect and the dividend effect, (ii) the relative magnitude of the liquidity effect and the sum of the direct effect, the chip effect and the dividend effect, (iii) the sign of the slope with respect to the two unstable arms are the key determinants of the dynamic adjustment pattern of the stock price.

謝辭.................................................................................................................................. ii
摘要................................................................................................................................. iii
Abstract............................................................................................................................ iv
第一章 緒論.................................................................................................................... 1
1.1 研究動機與目的............................................................................................... 1
1.2 文獻回顧............................................................................................................ 6
1.3 本文的章節安排................................................................................................ 8
第二章 理論模型、長期均衡與動態相圖之分析........................................................ 9
2.1 本文之理論模型............................................................................................... 9
2.2 經濟體系的長期均衡分析............................................................................. 14
2.3 經濟體系的動態相圖分析............................................................................. 20
第三章 財政當局投資人股利可扣抵稅額比例的宣告效果分析.............................. 26
第四章 財政當局投資人綜合所得稅稅率的宣告效果分析...................................... 42
第五章 結論.................................................................................................................. 58
附錄 A ............................................................................................................................ 62
附錄 B ............................................................................................................................ 64
附錄 C ............................................................................................................................ 65
參考文獻........................................................................................................................ 67

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