本文是以 Eaton and Turnovsky (1982)模型為主軸，引入Dornbusch (1976)對商品市場的設定，並加入民眾異質避險的特性。模型的特色是只有部分的民眾透過遠期外匯市場參與外匯避險，另一部分民眾則未參與外匯避險。我們運用民眾具有異質避險行為的一般均衡模型，去探討預料到恆久性貨幣擴張政策時，本國物價與即期匯率之動態調整。並藉由投機程度與民眾參與遠期外匯避險的比例，來判斷本國物價與即期匯率之動態調整。
本文的研究發現，政府執行貨幣政策時，若民眾投機程度越大，長期均衡下之本國物價的波動幅度會增加，長期即期匯率的波動幅度則可能增加，也可能減少。在長期即期匯率上漲時，即期匯率的波動幅度會增加；長期即期匯率下跌時，即期匯率的波動幅度會減少。若民眾參與遠期外匯避險之比例越大，長期均衡下之本國物價的波動幅度會減少，長期即期匯率的波動幅度則可能增加，也可能減少。在長期即期匯率上漲時，即期匯率的波動幅度會減少；長期即期匯率下跌時，即期匯率的波動幅度會增加。本文也發現Gray and Turnovsky (1979)與Wilson (1979)模型在引入遠期外匯市場及民眾異質避險之特性後，長期下之即期匯率可能會出現不同的走向。

This thesis introduces the sluggish price adjustment proposed by Dornbusch (1976), and heterogeneous hedging behavior into the Eaton and Turnovsky (1982) model. To fit the evidence, we specify that only some proportions of economic agents participate in hedging activity in the forward exchange market. By building up a general equilibrium model in which the agents have heterogeneous hedging behavior, this thesis examines the dynamic adjustment of domestic prices and the spot exchange rate in response to the pre-announced expansionary monetary policy. This thesis finds out that, upon receiving the news of pre-announced monetary policy, both the degree of speculation and the proportion of economic agents that undertakes hedging activity play a crucial role for determining the dynamic responses of domestic prices and the spot exchange rate.

論文審定書.....i
謝辭.....ii
摘要.....iii
Abstract.....iv
第一章、 緒論 .....1
第一節、 研究動機與目的.....1
第二節、 文獻回顧.....2
第三節、 本文架構.....4
第二章、 理論模型.....5
第一節、 模型架構.....5
第二節、 長期均衡.....8
第三節、 動態性質.....13
第三章、 宣示效果.....16
第一節、 動態路徑.....16
第二節、 即期匯率與本國物價的動態調整.....20
第三節、 指數型債券.....26
第四節、 民眾無參與避險行為.....27
第四章、 結論.....29
附錄一：即期匯率瞬時調整幅度正負之界定.....31
參考文獻.....33

一、中文部分
楊金龍(2018)，「立法院財政委員會會議─中央銀行業務報告」，第5頁。
蔡騰寬(2018)，「遠期外匯市場、異質避險與貨幣政策的宣示效果」，國立中山大學經濟學研究所碩士論文。
賴景昌(1994)，《國際金融理論：進階篇》，台北：茂昌。
賴景昌(2006)，「遠期外匯市場」，國立臺灣大學經濟學研究所上課講義。
賴景昌(2007)，《國際金融理論：基礎篇》，第2版。台北：華泰書廊。
二、西文部分
Aliber, R. Z. (1973), “The Interest Rate Parity Theorem: A Reinterpretation,” Journal of Political Economy 81, pp. 1451-1459.
Aoki, M. (1985), “Misadjustment to Anticipated Shocks: An Example of Exchange Rate Response,” Journal of International Money and Finance 4, pp. 415-420.
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Chang, W. Y., Lai, C. C., and Tsai, H. F. (1999), “Misadjustment to Anticipated Shocks: A Clarification,” Journal of Finance and Economics 4, pp. 335-351.
Dornbusch, R. (1976), “Expectations and Exchange Rate Dynamics, ” Journal of Political Economy 84, pp. 1161-1176.
Driskill, R., and McCafferty, S. (1982), “Spot and Forward Rates in A Stochastic Model of The Foreign Exchange Market,” Journal of International Economics 12, pp. 313-331.
Eaton, J., and Turnovsky, S. J. (1982), “Effects of Monetary Disturbances on Exchange Rates with Risk Averse Speculation,” Journal of International Money and Finance 1, pp. 21-37.
Fleming, J. M. (1962), “Domestic Financial Policies under Fixed and under Floating Exchange Rates,” IMF Staff Papers 9, pp. 369-380.
Gray, M., and Turnovsky, S. J. (1979), “The Staility of Exchange Rate Dynamics under Perfect Myopic Foresight,” International Economic Review 20, pp. 643-660.
Meese, R. A. (1984), “Is the Sticky Price Assumption Reasonable for Exchange Rate Models?,” Journal of International Money and Finance 3, pp. 131-139
Mundell, R. A. (1963), “Capital Mobility and Stabilization Policy under Fixed and Flexible Exchange Rates,” Canadian Journal of Economics and Political Science 29, pp. 475-485.
Rotemberg, J. J. (1982), “Sticky Prices in the United States, ” Journal of Political Economy 90, pp. 1187-1211.
Tsiang, S. C. (1959), “The Theory of Forward Exchange and Effects of Government Intervention on the Forward Exchange Market,” International Monetary Fund 7, pp. 75-106.
Wilson, C. A. (1979), “Anticipated Shocks and Exchange Rate Dynamics,” Journal of Political Economy 87, pp. 639-647.
三、網站部分
中央銀行全球資訊網。2016年新臺幣對美元銀行間成交之收盤匯率月資料。
檢自 https://www.cbc.gov.tw/tw/cp-863-54904-5095D-1.html (最後瀏覽日期：2021/6/28)
中央銀行全球資訊網。2020年新臺幣對美元銀行間成交之收盤匯率月資料。
檢自 https://www.cbc.gov.tw/tw/cp-863-105035-f6e53-1.html (最後瀏覽日期：2021/6/28)