本文延伸Mark (2009)的研究，透過考慮了股票價格變數的泰勒法則與未拋補利率平價說來建構實質匯率模型；且引入學習機制，比較理性預期與學習機制下的實質匯率動態路徑，並探討央行的貨幣政策。實證結果發現，不論央行的貨幣政策是否具前瞻性，學習機制下實質匯率與實際實質匯率間的相關性高於理性預期下的相關性。也發現在理性預期下，採前瞻性貨幣法則模型與實際間的相關性較高；而在學習機制下，則是採非前瞻性貨幣法則模型與實際間的相關性較高。雖然學習機制較理性預期的假設更貼近實際情況，但當考慮實質匯率多季期間變動之相關性時，其實證結果並未較理性預期更能解釋實際實質匯率的動態特性。

This paper extends the analysis of Mark (2009), and we combine augmented Taylor rule with uncovered interest parity to build the model of real exchange rate. Our model is presented in a learning environment, and we compare the result of rational expectation path and learning path. Moreover, we also examine the policy rule of the Central Bank. In our empirical results, whether the Central Bank follows a forward-looking Taylor rule or not, the correlation between learning path and real exchange rate is higher than rational path. Besides, we find that the correlation of forward-looking Taylor rule is higher under rational expectation, but the correlation of backward-looking Taylor rule is higher under learning. Although the learning model is closer than rational expectation model to reality, our results under learning cannot explain the dynamic properties of real exchange rate for quarterly returns.

論文審定書..................................................................................................................i
論文公開授權書..........................................................................................................ii
誌謝............................................................................................................................iii
摘要...........................................................................................................................iv
Abstract......................................................................................................................v
目錄...........................................................................................................................vi
圖次...........................................................................................................................vii
表次..........................................................................................................................viii
第一章 緒論...............................................................................................................1
第一節 研究動機與目的......................................................................................1
第二節 研究架構.................................................................................................3
第二章 文獻回顧........................................................................................................4
第一節 泰勒法則的相關文獻...............................................................................4
第二節 具泰勒法則的實質匯率模型之相關文獻 .................................................7
第三節 學習機制的相關文獻...............................................................................9
第三章 研究方法......................................................................................................14
第一節 利率反應函數......................................................................................14
3.1.1 央行採前瞻性貨幣政策的利率反應函數............................................14
3.1.2 央行採非前瞻性貨幣政策的利率反應函數........................................16
第二節 實質匯率模型......................................................................................17
3.2.1 理性預期下的實質匯率模型..............................................................17
3.2.2 學習機制下的實質匯率模型..............................................................21
第四章 實證結果分析...............................................................................................25
第一節 資料來源與說明..................................................................................25
第二節 實證結果.............................................................................................26
4.2.1 利率反應函數的估計.........................................................................26
4.2.2 理性預期與學習機制下的實質匯率路徑............................................32
第五章 結論.............................................................................................................39
參考文獻...................................................................................................................40
附錄..........................................................................................................................45

中文文獻：
1.高曉楓（2008）。學習機制下考慮股票市場的泰勒法則與實質匯率動態－以德國馬克兌美元為例。國立中山大學經濟所碩士論文，高雄市。
2.賴景昌（1994）。國際金融理論：進階篇。台北市：茂昌。
3.賴景昌（2007）。國際金融理論：基礎篇（二版）。台北市：茂昌。
英文文獻：
1.Baxter, M. (1994). Real Exchange Rates and Real Interest Differentials: Have We Missed the Business Cycle Relationship? Journal of Monetary Economics, 33, 5-37.
2.Bernanke, B., & Gertler, M. (1999), Monetary Policy and Asset Price Volatility. Journal Economic Review, 84(4), 17-51.
3.Bullard, J., & Mitra, K. (2002). Learning about Monetary Policy Rules. Journal of Monetary Economics, 49, 1105-1129.
4.Campbell, J. Y., & Clarida, R. (1987). The Dollar and Real Interest Rates. Carnegie-Rochester Conference Series on Public Policy, 27, 103-139.
5.Clarida, R., Gali, J., & Gertler, M. (1998). Monetary Policy Rules in Practice: Some International Evidence. European Economic Review, 42, 1033-1067.
6.Clarida, R., Gali, J., & Gertler, M. (2000). Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory. Quarterly Journal of Economics, 147-180.
7.Clarida, R., & Taylor, M. P. (1997). The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates: Correcting the Errors. Review of Economics and Statistics, 79(3), 353-361.
8.Clarida, R., & Waldman, D. (2007). Is Bad News about Inflation Good News for the Exchange Rate? NBER Working Paper 13010.
9.Dornbusch, R. (1976). Expectations and Exchange Rate Dynamics. Journal of Political Economy, 84, 1161-1176.
10.Dupor, B., & Conley, T. (2004). The Fed Response to Equity Prices and Inflation. American Economic Review, 94, 24-28.
11.Edison, H., & Pauls, D. (1993). A Re-assessment of the Relationship between Real Exchange Rates and Real Interest Rates: 1974-1990. Journal of Monetary Economics, 31, 165-187.
12.Engel, C., & Hamilton, J. D. (1990). Long Swings in the Dollar: Are They in the Data and Do Markets Know It? American Economic Review, 80, 689-713.
13.Engel, C., Mark, N. C., & West, K. D. (2007). Exchange Rate Models Are Not as Bad as You Think. NBER Macroeconomics Annual, 381-441.
14.Engel, C., & West, K. D. (2006). Taylor Rules and the Deutschemark-Dollar Real Exchange Rate. Journal of Money, Credit, and Banking, 38, 1175-1194.
15.Evans, G. W., & Honkapohja, S. (2001). Learning and Expectations in Macroeconomics. Princeton University Press, Princeton, New Jersey.
16.Evans, G. W., & Honkapohja, S. (2003). Adaptive learning and monetary policy design. Journal of Money, Credit, and Banking, 35, 1045-1072.
17.Flood, R. P., & Rose, A. K. (1999). Understanding Exchange Rate Volatility without the Contrivance of Macroeconomics. Economic Journal, 109, 660-672.
18.Frankel, J. A. (1979). On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials. American Economic Review, 69, 610-622.
19.Frankel, J. A. (1992). Measuring International Capital Mobility: A Review, American Economic Review, 82, 197-202.
20.Groen, J. J. J. (2000). The Monetary Exchange Rate Model as a Long-Run Phenomenon. Journal of International Economics, 52(2), 299-319.
21.Groen, J. J. J. (2002). Cointegration and the Monetary Exchange Rate Model Revisited. Oxford Bulletin of Economics and Statistics, 64, 361-80.
22.Groen, J. J. J., & Matsumoto, A. (2003). Real Exchange Rate Persistence and Systematic Monetary Policy Behavior. Mimeo, Bank of England.
23.Hodrick, R. J., & Srivastava, S. (1984). An Investigation of Risk and Return in Forward Foreign Exchange. Journal of International Money and Finance, 3, 5-29.
24.Lewis, K. K. (1989a). Can Learning Affect Exchange-Rate Behavior? The Case of the Dollar in the Early 1980's. Journal of Monetary Economics, 23(1), 79-100.
25.Lewis, K. K. (1989b). Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange. American Economic Review, 79(4), 621-636.
26.Mark, N. C. (1995). Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability. American Economic Review, 85, 201-218.
27.Mark, N. C. (2009). Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics. Journal of Money, Credit, and Banking, 41(6), 1047-1070.
28.Mark, N. C., & Moh, Y.-K. (2004). What Do Real Interest Differentials Tell Us about the Real Exchange Rate? The Role of Nonlinearities. Mimeo, Tulane University.
29.Mark, N. C., & Sul, D. (2001). Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel. Journal of International Economics, 53, 29-52.
30.McCallum, B. T. (1983). On Non-Uniqueness in Rational Expectations Models: An Attempt at Perspective. Journal of Monetary Economics, 11, 139-168.
31.Meese, R., & Rogoff, K. (1983). Empirical Exchange Rate Models of the 1970's: Do They Fit Out-of-Sample? Journal of International Economics, 14, 3-24.
32.Meese, R., & Rogoff, K. (1988). Was It Real? The Exchange Rate-Interest Differential Relation over the Modem Floating-Rate Period. Journal of Finance, 43(4), 933-948.
33.Milani, F. (2008). Learning, Monetary Policy rules, and Macroeconomic Stability. Journal of Economic Dynamics and Control, 32, 3148-3165.
34.Molodtsova, T., & Papell, D. H. (2009). Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals. Journal of International Economics, 77, 167-180.
35.Mussa, M. (1982). A Model of Exchange Rate Dynamics. Journal of Political Economy, 90(1), 74-104.
36.Mussa, M. (1986). Nominal Exchange Rate Regimes and the Behavior of Real Exchange Rates: Evidence and Implications. Carnegie Rochester Conference Series on Public Policy, 25, 117-213.
37.Obstfeld, M. (1985). Floating Exchange Rates: Experience and Prospects. Brookings Papers on Economic Activity, 2, 369-450.
38.Obstfeld, M., & Rogoff, K. (1995). Exchange Rate Dynamics Redux. Journal of Political Economy, 103, 624-660.
39.Obstfeld, M., & Rogoff, K. (2000). The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? NBER Macroeconomics Annual, 15, 339-390.
40.Orphanides, A. & Williams, J. C. (2005). The Decline of Activist Stabilization Policy: Natural Rate Misperceptions, Learning, and Expectations. Journal of Economic Dynamics and Control, 29, 1927-1950.
41.Papell, D. (2002). The Great Appreciation, the Great Depreciation, and the Purchasing Power Parity Hypothesis. Journal of International Economics, 51-82.
42.Rapach, D., & Wohar, M. (2002). Testing the Monetary Model of Exchange Rate Determination: New Evidence from a Century of Data. Journal of International Economics, 58, 359-385.
43.Sargent, T., Williams, N., & Zha, T. (2009). The Conquest of South American Inflation. Journal of Political Economy, 117, 211-256.
44.Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48, 1-48.
45.Taylor, J. (1993). Discretion versus Policy Rules in Practice. Carnegie-Rochester Conference Series on Public Policy, 39, 195-214.
46.Williams, N. (2003). Adaptive Learning and Business Cycles. Working Paper, Princeton University.