Aktien- und Wechselkursdynamik im keynesianischen Modell

Abstract

Share-price and Exchange-rate Dynamism in a Keynesian-type Model

This contribution analyses the interdependencies of share-price and exchangerate developments resulting from alternative demand shocks in a dynamic macroeconomic Keynesian-type model where - instead of the real rate of interest - Tobin’s „g“ is used as the determinant for the aggregated goods demand. The (deterministic) assumption is for rational expectations as well as perfect substitutionality between interest-bearing forms of investment and equity participations. The interdependency is analysed in two steps: the first step is to assume an inert output adjustment so that in addition to the motion laws of the system a differential equation for the supply of goods, a national arbitrage relationship for equity capital and an international arbitrage relationship for interest-bearing assets are included in the analysis as well. It is demonstrated that monetary shocks induce a joint overshooting of the two asset prices, whilst fiscal shocks show a trend towards undershooting exchange rates and overshooting share prices. As a second step, the extreme - Keynesian - case of perfect flexibility of the supply of goods is assumed so that the entire system is reduced to two dimensions of the two step-variables. For adjustment purposes, this implies that both asset prices realise in a single discrete step the new stationary equilibrium solution and that overshooting prices occur only in the wake of transitory shocks.