在很多資產泡沫的案例中，我們發現貨幣供給與信用皆伴隨資產價格飆漲而增加；但其通貨膨脹問題卻不嚴重。這似乎與傳統貨幣理論之概念─高貨幣成長刺激通膨─有所抵觸。我們推論在資產價格飆升時，民眾會增加其持有之貨幣以待適當時機購買資產，此種融通金融商品的貨幣即為俗稱之「游資」。游資增加將吸收部份貨幣擴張，因而減少最終流入商品市場的貨幣，緩和通貨膨漲。本論文建立一個Cash-in-Advance模型，發現當經濟體之貸款利率遠高於存款利率，及人民預期未來經濟持續進步時，確實可能發生上述現象。 / While some bubble economies, in which asset prices rise, experience exaggerated money and credit expansion, they often face merely moderate inflationary problems. It is likely that the increased money supply does not fully enter the commodity market and result in hyper-inflation; some of that increase may become investors’ money that waits for future investment opportunities and finally goes into the equity market. By utilizing a cash-in-advance model with a banking system and heterogeneous household expectations, this paper demonstrates the existence of this special phenomenon under the necessary condition by which, the loan rate is significantly higher than the deposit rate, and what the public believes in requires a persistent economic growth.

中國在近年來經濟實力漸增，國際上貿易出超，國內股市多頭，房地產市場景氣過熱，中共有穩定經濟局勢的巨大壓力存在。因此中國宏觀調控政策的成效與否，一直是大陸學界探討與爭論的一個主題，因此本文之研究目的是希望瞭解究竟什麼是宏觀調控？宏觀調控任務為何？在2006年與2007年新一波的宏觀調控政策的執行是否有效？藉由中國宏觀調控政策對股票市場之影響來探索宏觀調控政策之有效性，希望對宏觀調控政策之研究有一新視野之探索。本文預期對宏觀調控政策對股價研究之影響進行研究，並假設宏觀調控對股價指數有漲跌之影響。並希望搜集研究宏觀調控之文獻，進而對宏觀調控之定義有一更深入之確定，以期對宏觀調控有更明確之了解。 一般來說總體股票市場會受到整個總體經濟形勢（如經濟成長好壞、國家是否有戰爭，即系統風險）、投資者對未來前景的展望（投資者的預期心理）與政府的干預政策（如證券交易稅或資本利得稅的公布）等因素所影響。假如要研究個別股票的狀況，以分析程度上來說，會更加的複雜，本文排除非系統風險的問題，單純探討股票市場的總體層面，從國家干預的角度來切入分析宏觀調控對股票市場的影響狀態。宏觀調控政策可以從短期與長期來觀察，而本文希望從短期的貨幣政策與財政政策對中國股票價格的變化來探究其政策的效果。首先，從貨幣政策開始，瞭解中國人民銀行調整存款準備率對股票市場漲跌之狀況；再分析調整利率的影響情況。第二，從財政政策來探討中國政府課徵印花稅對股價指數的變化程度瞭解政策的成效。 關鍵詞：宏觀調控、中國股市、股市泡沫、貨幣政策、政策有效性

本研究根據Phillips, Wu and Yu (2011)以及後續相關文獻所提出的檢測泡沫模型對台灣市場以及NASDAQ指數進行實證研究。本文使用的模型分別為PWY模型、PSY模型、Rolling Window ADF，以及我們參考PSY模型與Rolling Window ADF所建構出的Rolling Window BSADF。我們利用上述四種模型對NASDAQ指數進行泡沫檢測，以及在台灣上市公司股票中建構投資泡沫投資組合與不投資泡沫投資組合。實證結果顯示投資泡沫投資組合績效優於不投資泡沫投資組合，此結果與Guenster et al. (2009)相同，同時本研究所建構的Rolling Window BSADF在投資績效上優於另外三種模型；此外對NASDAQ指數的檢測發現Rolling Window BSADF 具有檢定結果獨立於起始點的選取與不受週期性泡沫破裂影響等優點，故綜合以上實證結果，Rolling Window BSADF 對於泡沫的檢測與建構泡沫投資組合的績效明顯優於另外三種模型。 / This paper used the bubble examination model according to Phillips, Wu and Yu (2011) and following papers to conduct empirical research on Taiwan market and NASDAQ index. The models used in this paper are PWY model, PSY model, Rolling Window ADF and Rolling Window BSADF that referred to the PSY model and the Rolling Window ADF. We tested NASDAQ index through the above models to test the bubbles, and constructed the portfolio of investing bubbles against not investing. The result shows that the portfolio of investing bubbles performs better than not investing bubbles, which is the same as the result of Guenster et al. (2009). In addition, the Rolling Window BSADF constructed by this paper are superior to the other three models on the performance of investment. Moreover, the examination of NASDAQ index finds that there are some advantages of Rolling Window BSADF including that the test result is independent of the selection of the initial point and not affected by the broken of cyclical bubbles and so on. To sum up, this paper concludes that the bubble examination and the construction of bubble investing portfolio of the Rolling Window BSADF are significantly better than the other three models.

本文主要嘗試引進泡沫於匯率目標區中，藉由調整政府政策來避免含泡沫 之匯率路徑，不符合匯率目標區之限制。最後分別比較匯率目標區與浮動 匯率兩制度的匯率變異性。

隨著中國大陸經濟的高度成長，不動產市場也隨之發展。在貸款利率及不動產相關稅負長期偏低之下，住宅產品的投資需求不斷上升，使得房價一路高漲。房屋價格的增幅過大、增速過高，已經超出了合理的範圍。截至2010年，中國大陸推出一系列以抑制房價為主要目的的宏觀調控政策，許多重點城市也陸續推出以“限購令”為主要內容的地方性政策來調控不動產市場。由於中國大陸地幅遼闊，各地的不動產市場因受各種因素影響而發展各異，因此挑選了北京、上海、廣州三個頗具代表性的重點城市作為研究對象。本文應用年租金與加權平均資本成本（WACC）還原基本價值，以其與市場價格間的差距作為泡沫程度的估計，計算出這三個城市2007年至2012年間不動產價格泡沫程度。藉由這三個城市的不動產市場泡沫狀況，運用共整合分析檢視中國城市不動產價格泡沫的影響因素，并以Granger因果關係檢定探討三地不動產價格泡沫與各因素之領先落後關係。 實證結果顯示，人均可支配收入和金融機構各項信貸總額對不動產價格泡沫具有正向影響，不動產價格泡沫則對其本身具有負向影響，而抵押貸款利率與不動產價格泡沫先是正相關而後轉為負相關的關係。而根據Granger因果關係檢定結果，北京不動產價格泡沫落後於金融機構各項貸款總額，而上海不動產價格泡沫領先於人均可支配收入，廣州不動產價格泡沫則落後於人均可支配收入、抵押貸款利率與金融機構各項貸款總額。 / With the rapid economic development in China, the real estate market has been undergoing a great boom. The low interest and tax rates are very favorable for the continuously increasing house demands, and thus resulting in higher housing prices. And the extremely rapidly increasing housing prices are not reasonable. Until 2010, Chinese government had published a series of national housing regulatory decisions to address the over-heating real estate market. And the restrictions on house purchase have been put into practice in some major cities. Given that China has a vast territory with large variety, the impact of these regulations on the local real estate markets of the cities can hardly be determined. Therefore, we study here the real estate market in Beijing, Shanghai and Guangzhou, three of the most representative major cities in China. This study evaluates the housing bubbles situations in these cities from 2007 to 2012 by comparing fundamental values with market prices. The fundamental value of real estate can be calculated by annual rents and WACC. Based on the evaluated housing bubbles situations, this study then applies Cointegration analysis to further explore the factors that may contribute to China’s housing bubbles. In addition, Granger causality test is employed to examine the lead/lag relationship between housing bubbles and the variables. The empirical result shows that per-capita disposable incomes and total loans of financial institutions are positively related to China’s housing bubbles. And the housing bubbles in these three cities are negatively related to themselves. In addition, the impact of interest rates on housing bubbles is positive and later turns negative with respect to the magnitude of increasing rates. According to the results of Granger causality tests, Beijing’s housing bubbles are Granger caused by total loans while property bubbles in Shanghai lead personal incomes. Furthermore, housing bubbles in Guangzhou are Granger caused by personal disposable incomes, interest rates and total loans.

戰後的高度經濟成長讓日本頓時成為世界各國注目的焦點，美國企管學者與國際性研究團體機構相繼指出日本企業有長期雇用習慣的特色，且此習慣於戰後形成且在高度經濟成長時期扮演著極重要的角色。但一九九０年代日本泡沫經濟結束後，日本陷入前所未有的、長達十年的低成長期，過去備受讚揚的日本式管理如今成為日本企業競爭時的包袱，企業界、學界紛紛指出，日本企業在不景氣之下必須要有新的作法，首當其衝的就是日本式雇用制度。因此，本研究旨在探討日本企業於泡沫經濟結束之後，因應內外環境之改變，其在人力資源管理上的革新做法。 本研究採文獻探討法，再輔以實地訪談。本研究共分六章，除緒論、結論之外，本論部分共有四章；第二章先探討人力資源管理的理論基礎，再整理出日本式管理的特色，及日本企業人事制度成立的歷史與經緯。第三章強調經營的內外環境變化會影響人力資源管理的做法與走向，指出日本企業於經濟泡沫結束之後所面臨之人力資源管理上的課題。第四章探討日本企業引進歐美企業之成果主義的做法與其配套措施。第五章探討日本企業為建構一高效率及富彈性化的組織，其在人力資源管理上的動態分析。 綜合本研究發現，日本此波人力資源管理上的革新做法與運作有以下幾項特色： 1.和洋折衷：日本雖導入美式人事制度，就是改以職務為基礎，以成果表現敘薪，但此成果是一包括性的成果，並非歐美企業中的結果，成為獨樹一格的「日本式成果主義」。 2.追求適才適所的互動面試方式：日本式管理下，日本企業中由人事部門來決定錄取者將來所屬部門；但此波革新中，日本企業為求實現適才適所，將人事權下放至各部門的主管，改由部門主管決定最後的錄取者。 3.員工自我導向的激勵、培育：日本企業仍相當重視公司內部的訓練，但員工個人也將承擔起愈來愈多的責任，員工成為企業人力資源管理工作的主體，企業只是輔助的角色。 4.重視「選擇與集中」的人才組合：封閉式的終身雇用制使日本企業內部勞動市場的供需無法彈性的因應環境變化，日本企業設法透過人力資源結構的調整，以降低成本、追求更有效率的營運績效。 5.價值創造導向的人力資源發展活動：人力資源管理部門的層次提升，成為企業創造價值、贏得競爭優勢的一個重要部門。 / Japanese management system is famous for his lifetime employment and seniority system after World War II. But when “Bubble Economy” in Japan in the 1990s came to an end, Japan’s economy faced its slowest growth that had never happened before in the next decade. The academic community indicates that it is the lifetime employment that leads to the loss of competitiveness in Japanese corporations; therefore, Japanese corporations need to start transforming their company structures, especially the Human Resources Management. In this thesis, the main discussions were about what innovative ideas Japanese corporations took on when faced with inside and outside environmental changes. The thesis is divided into six chapters. The second chapter discusses the theory of HRM, the features of Japanese personnel management, as well as the history of Japanese personnel management. The third chapter analyzes how the changes of the environment affect Japanese HRM. In the fourth chapter, we discuss what strategies Japanese corporations adopt to introduce “Pay for Performance” into their business. At last, the fifth chapter analyzes what Japanese corporations need to adjust in their HRM in order to become more efficient and more flexible. From the thesis and research, there are four findings as below： 1.Compromise between Japanese and Western styles：Even though Japanese corporations brought the “Pay for Performance” into practice, the Performance here is somewhat different from what it means in Western corporations. Unlike Western companies, Japanese corporations take your effort into account too, instead of judging directly from the business figures you reach every month. This is the so called “Japanese Pay for Performance”. 2.Interactive interview of pursuing the right man in right place: Under the Japanese management, the department of human resources is responsible for deciding which attachment is suitable for the admitted persons. However, in this innovation trend, in order to realize the right man in right place strategy, Japanese corporation decides to release the power to the directors of each department and let the directors be the last judge of the final admitted person. 3.Employee Oriented, Manager Supported：On Job Training is still valued in Japanese corporations; however, employees are taking more and more responsibilities themselves. Japanese corporations are changing to a supporting role. 4.The strategy of “The choice and the centralism” on Human Resource Portfolio：To cut the cost and be more efficient, Japanese corporations need to adjust the proportion of their workforce accordingly. This means there’s more flexibility to terminate employees’ contracts or to hire contract workers when needed. 5.Value-creation oriented HRD：Once the department of human resources is improved, it will help bring more customers for the business and then increase the competitiveness for the company.

過去雖有文獻探討國內房地產市場泡沫化問題，卻僅從租金收益的單一角度衡量房價基值，對於自有住宅比例較高的台灣而言，家戶所得不僅代表購屋者的負擔能力，更是構成房價基值的重要因素。有鑑於此，本研究分別從租金收益及家戶所得兩者不同角度下，透過資產市場現值模型，分別建立房價基值模型分析泡沫化現象。此外，過去文獻僅從檢定價格波動穩定性與否或將殘差項視為泡沫來研究泡沫化問題，然泡沫為不可觀察之變數，故本文使用具有可估計不可觀察變數特質的狀態空間模型（STATE-SPACE MODEL），推估泡沫價格，分析在不同時期下泡沫的規模大小。 在實證方面，本研究使用台北市1973Q2至2008Q1共140筆住宅價格資料，發現由租金與所得所計算之房價泡沫規模略為一致。在1988~1990年房市泡沫化時期，所得推估之泡沫規模達到高峰，泡沫價格占市價約47%；而由租金面亦計算出泡沫價格占市價約54%的高比例。而在2008年房價持續上漲的情況下，兩者泡沫價格亦呈現相同上升之走勢，泡沫價格近市價38%，租金推估泡沫價格占市價27%；此結果表示出目前房市有泡沫化之跡象，現階段欲購屋自住者不宜進入市場，宜審慎等待時機。而本文認為房價所得比或是房價租金比皆是作為衡量台北市房地產市場泡沫化現象之重要指標，另外就總體因素分析而言，房價上漲率、貨幣供給額、貸款利率與大盤股價指數皆為影響泡沫之重要因素，且經由實證發現所得所推估之泡沫價格較具有市場代表性。 / The past literatures about Taipei housing price bubble has only been measured the fundamental price by rent. However, the housing owner ratio is so high in Taiwan that housing income is not only regarded as affordability but also an important fundamental factor of housing price. According to the above, we focus on different fundamental models that define market fundamental price to analyses the bubble price from expected present value of both rent and permanent housing income. On the other hand, different from lots of literature testing the housing price volatility or residual to measure bubble prices, because housing bubble is an unobservable variable, we apply State-Space Model which is good for testing an invisible factor to estimate bubble in the housing markets of Taipei. This paper tries to test whether there was a housing price bubble using Taipei housing price index ranged from 1973Q1 to 2008Q1. The findings indicate that there appeared bubble ratio from 1988 to 1990, 47% of the housing price based on housing income and 54 % of the housing price based on rent. In 2008 when housing price continually keeps rising, bubble price ratios are close to 38% and 27% respectively. Those results show that Taipei seems to have sign of a bubble in this moment and housing buyers should concern it with more caution. Secondly, both price-income ratio and price-rent ratio are good indicators to measure housing bubble prices. Beside, we find macro economic factors change, such as the growth rate of housing price, M2, mortgage rate, and stock price index, are important to influence the size of housing bubble. Thirdly, bubble price estimated by housing income has a better performance than rent.

本研究建立含資產價格泡沫的隨機動態一般均衡 (Dynamic Stochastic General Equilibrium, DSGE) 模型，並以此討論貨幣政策與總體審慎政策的效果。泡沫存在於不動產的股票價格上，且不動產與一般資本皆為生產要素。研究顯示，在隨機衝擊下，一般資本的投資與不動產投資呈現負相關。融資擔保率的調控為總體審慎政策的範疇，本文另研究融資擔保率對經濟變數的影響。結果顯示，當擔保率調升時，產出增加、泡沫減少且不動產的股價 (資產價格) 下跌。本文亦討論依循泰勒法則下的貨幣政策與總體審慎政策對產出與資產價格波動的影響；結果顯示，在經濟景氣時實施緊縮貨幣政策可同時減少資產價格與產出的波動，其效果優於總體審慎政策。 / This study established a Dynamic Stochastic General Equilibrium (DSGE) model, which contains asset bubble price, and employed DSGE to discuss the effect of the monetary policy and the macro-prudential policy. Bubbles exist in the stock price of the real estate. Real estate and general capital are both the factors of production. The study indicates that, under stochastic impulse, a negative correlation exists between the investment of the general capital and the investment of the real estate. The study also discusses the operation of the collateral rate, a perspective dealing with macro-prudential policy, and how it influences economic variables. The results present that when collateral rate rises, output increases, bubbles decreases and the stock price of real estate (asset price) declines. The study further investigates how monetary policy, which follows the Taylor rule, and macro-prudential policy affect the vibration of the output and the asset price. The result indicates that during economic prosperity, the implementation of tight monetary policy presents better effect than that of macro-prudential policy since it simultaneously decreases variances of output and asset price.

在現今關於公司現金決策的文獻中，多數文獻以預防性動機 (precautionary motive) 或是代理問題動機 (agency motive) 來解釋公司為何要存錢，但至今對於公司存錢的動機仍未有一致的定論。在本篇文章中，我們用籌資不易公司 (financially constrained firm) 在2000年網路泡沫以及2008年金融海嘯的表現來證明現金的預防性價值。我們發現事先有存錢的公司在上述事件期間仍能維持其原有的投資支出，反之事先沒存錢的公司在上述期間會擁有較低的股票報酬以及較高的違約風險。此外，本研究也發現曾在2000年網路泡沫期間遭遇資金問題的公司比較容易在2000年後開始存錢，這些預先存錢的公司在2008年金融海嘯來臨時也有相對較小的違約風險，顯示了公司在現金管理方面的學習行為及其好處。綜上所述，本文以外生事件突顯了現金的預防性價值，證明公司的未雨綢繆確實有用。 / This article examines the role of pre-saved cash in helping financially constrained firms during the 2000 dot-com crash and the 2008 financial crisis, both of which were exogenous shocks to industrial firms. The results show that constrained firms tended to increase capital investments during these severe economic downturns if they had pre-saved more cash. Constrained firms instead exhibited lower excess returns and incurred higher likelihoods of financial distress during the severe downturns if they had saved less cash prior to the events. Firms that experienced the 2000 dot-com crash and saved cash thereafter were less likely to default during the 2008 financial crisis, indicating the existence and benefit of learning effects. This study supports a precautionary motive for cash savings, showing that pre-saved cash helps financially constrained firms fund investment and reduces the likelihood of financial distress during severe market downturns. It demonstrates that saving for a rainy day really is valuable.

過去實證研究多以時間序列模型搭配 GARCH 模型針對台灣股價指數進行分析。然而，Gourieroux and Zakoian(2017) 提出，當一時間序列具有泡沫現象時，noncausal Cauchy AR(1) process 是可能的優選模型。此外，Sarno and Taylor(1999) 的研究認為，台灣股價指數具有泡沫現象，故我們以 noncausal Cauchy AR(1) with Gaussian component 分析台灣股價指數，進而判斷其泡沫效果係來自 noncausal linear process 之 local explosive，並根據 noncausal Cauchy AR(1) 與 Gaussian component 之係數變動，捕捉泡沫效果之形成與來源。 / Most of the previous studies focused on analyzing Taiwan Stock Price Index using time series models with GARCH effects. However, Gourieroux and Zakoian (2017) have demonstrated that noncausal Cauchy AR(1) process may be a possible model in which the bubbles are observed. Besides, according to the studies of Sarno and Taylor (1991), some bubbles exactly existed in Taiwan Stock Price Index before 1990. Accordingly, this study aims at investigating the possible bubbles in Taiwan Stock Price Index from 2005 to 2015 by employing noncausal Cauchy AR(1) with Gaussian component method. As a result, we find out he bubbles which modeled by the noncausal linear process are local explosive. And based on the changes of the coefficients from noncausal Cauchy AR(1) and Gaussian component, this study successfully captures the form of bubbles.