摘要

本文有鑑於文獻上對股市信用交易制度的研究，僅侷限於封閉體系及單一浮動匯率之小型開放體系的範疇裡，而對雙元匯率的小型開放體系著墨甚少，因而本文將修正並擴充吳美嫻（2002）模型為中立干預政策之雙元匯率模型，同時納入財富效果，從事探討「預料到恆常性」融資成數與融資利率的調高，對金融匯率與股價的影響及其動態走勢。進而發現以下的結論：
不管經濟體系存在財富效果與否，融資成數的調高於長期對金融匯率有負向影響且對股價有正向影響；而融資利率的調高對金融匯率有正向影響且對股價有負向影響。此結果與吳美嫻（2002）浮動匯率的小型開放總體模型，在資本移動性大的情況下相比，有相似的結果。因此長期均衡的結果不會因為匯率制度的不同，使得融資政策對股價產生相異的影響。
此外，吳美嫻（2002）認為，在股市呈現壞消息情況下，只要政策宣告到執行的時間夠長，預料到恆久性調高融資成數與融資利率均會造成本國股價產生「錯向調整」的現象。但本文卻明白指出，於央行採行中立干預雙元匯率制度時，當體系不存在財富效果，無論政策宣告到執行的時差是否夠長，預料到恆久性調高融資乘數與融資利率，將導致股價只呈現出「調整不及」的現象，並不會產生「錯向調整」。一旦體系存在財富效果時，本國股價就有產生「錯向調整」的可能。準此，財富效果的存在與否，在中立干預雙元匯率模型下，將是造成股價產生「錯向調整」的關鍵因素。

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目 錄

第一章 緒論
第一節 研究動機與目的………………………………………………………1
第二節 本文架構………………………………………………………………4
註釋………………………………………………………………………………6
第二章 模型設定 ………………………………………………………………7
註釋 ……………………………………………………………………………10
第三章 動態特質………………………………………………………………12
第一節 不具財富效果的動態特質 …………………………………………17
第二節 存在財富效果的動態特質 …………………………………………18
註釋 ……………………………………………………………………………25
第四章 融資成數的宣告效果
第一節 不具財富效果的動態調整 …………………………………………35
第二節 存在財富效果的動態調整 …………………………………………39
註釋 ……………………………………………………………………………50
第五章 融資利率的宣告效果
第一節 不具財富效果的動態調整 …………………………………………52
第二節 存在財富效果的動態調整 …………………………………………53
註釋 ……………………………………………………………………………61
第六章 結論 ……………………………………………………………………62
參考文獻 …………………………………………………………………………64

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