本文延伸Mark (2007)的研究，假設央行採行的貨幣政策遵循泰勒法則並且考慮股票價格的波動，透過與未拋補利率平價說的連結，求出實質匯率模型，得到實質匯率是由預期相對通貨膨脹率、相對產出缺口以及相對股票價格變動率所決定。此外，我們同樣放寬理性預期的假設，藉由學習機制的假設下（假設民眾預測未來經濟狀態時的行為如同計量經濟學者，只知道模型結構而不知道模型的參數，必須透過計量方法得到模型的參數）來探討實質匯率模型。由實證結果我們發現1979年以後德國和美國皆採取穩定股票價格波動的貨幣政策，並且在學習機制的假設下，透過貨幣政策與匯率之間的關係，股票價格變數可以解釋部分匯率的波動，因此學習機制下的實質匯率路徑可以明顯捕捉到1979年以後德國馬克兌美元的實質匯率波動，換言之，該實質匯率路徑可以明顯描繪出Mark (2007)提出第二至第五個匯率大幅度的波動。

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第一章 緒論 ……………………………………………………………… 1
第一節 研究動機 …………………………………………………… 1
第二節 本文架構 …………………………………………………… 3

第二章 文獻回顧 ………………………………………………………… 4
第一節 匯率模型之相關文獻 ……………………………………… 4
第二節 泰勒法則之相關文獻 ……………………………………… 6

第三章 模型 ……………………………………………………………… 10
第一節 利率反應函數 ……………………………………………… 10
第二節 理性預期下的實質匯率模型 ……………………………… 14
第三節 學習機制下的實質匯率模型 ……………………………… 18

第四章 實證結果分析 ………………………………………………… 23
第一節 資料來源與處理 …………………………………………… 23
第二節 利率反應函數的實證結果 ………………………………… 26
第三節 理性預期與學習機制下的實質匯率路徑 ………………… 30

第五章 結論 ……………………………………………………………… 36
附錄 ……………………………………………………………………………. 37
參考文獻 ……………………………………………………………………. 52

中文部份
賴景昌 (2007)，《國際金融理論：基礎篇》。台北：華泰。
賴景昌 (1994)，《國際金融理論：進階篇》。台北：茂昌。

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