台灣的金融市場深受央行貨幣政策之影響，本研究由2001-2015年央行調整重貼現率的資料，採最小平方法做簡單線性迴歸分析，探討央行重貼現率政策對外匯、股票、長短期利率市場之影響。在匯市及股市方面，研究當重貼現率調整之消息所帶來的衝擊，以及此消息對股匯市的影響是否有延續之反應。而長短期利率方面，是以次級商業本票和政府公債市場利率作為研究，探討當央行重貼現率調整的消息公布對貨幣市場和資本市場所帶來的影響。
央行的重貼現率政策具有重要的宣示效果，其變動往往牽動著市場利率，而利率又深深地影響我國人民的經濟活動，反映未來經濟景氣狀況，因此本研究之研究結果可給決策者一個參考的指標。

The financial markets are always affected by monetary policy of Central Bank in Taiwan, this research employed the ordinary least squares (OLS) method to perform simple regression analysis and explored the effect of discount rate change on the foreign exchange markets, stock markets, the short and long-term interest rate in the period from 2001 to 2015.
What is the impact for foreign exchange markets and stocks markets when the news about adjustment of rediscount rate was announcing and whether it existed carry over effects . In the term of short and long-term interest rate, it used the interest rate of commercial paper in secondary market and the interest rate of government bonds to explore the effects of the discount rate change on money markets and capital markets.
The discount rate policy is an important indicator of announcement effect by Central Bank. The rediscount rate change usually makes effects on the market interest rate, and interest rate affects deeply our economics activities, reflecting the economic situation in the future. Therefore, the results of this study could be offered to decision makers as a reference.

目 錄
論文審定書 i
誌謝 ii
摘要 iii
Abstract iv
目錄 v
圖次 vii
表次 viii
一、緒論 1
1.1 研究背景與動機 1
1.2 研究目的 2
二、文獻探討 3
2.1 相關理論基礎學說 3
2.1.1 貨幣政策 3
2.1.2 利率影響外匯市場之相關理論 4
2.1.3 利率影響股票市場之相關理論 5
2.1.4 利率影響長期利率之相關理論 7
2.2 文獻回顧 8
2.2.1 利率與外匯市場之相關文獻回顧 8
2.2.2 利率與股市之相關文獻回顧 8
2.2.3 利率與長期利率之相關文獻回顧 9
三、資料說明與研究方法 11
3.1 資料說明 11
3.2 研究方法 15
四、實證結果分析 19
4.1 外匯市場 19
4.2 股票市場 21
4.2.1 發行量加權股價指數 21
4.2.2各類股指數 24
4.3長短期利率市場 35
4.3.1 商業本票次級市場之短期利率 35
4.3.2 公債市場之長期利率 36
4.4銀行存放款利率 37
五、結論與建議 39
5.1 結論 39
5.2 未來研究建議 39
參考文獻 40
附錄 43

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