本論文嘗試探討總體經濟中的金融資金面因素，

對於資產價格之決定，

以及價格波動程度與基本面訊息揭露的影響。

本論文包含三篇文章。

第一篇的主旨在於本論文認為投資人所面對的資金成本差異，

是一項解釋資產價格過度波動現象不可或缺的因素。

文獻研究既已指出短期資金市場，

資金成本價差可以有效預測實質產出，

則股價與短期資金市場變數之間似乎也應有所關連。

投資人由於期初財富水準不同，

資金充裕者可以同時持有風險性資產和無風險資產，

資金短缺者則可以採取融資方式投資風險性資產。

一般而言，

融資利率應高於無風險利率，

即使投資人訊息同質，

但因為資金成本不同，

投資需求亦不相同。

當投資人之資金成本差異擴大，

造成平均資金成本變動，

即使基本面沒有任何變化，

資產價格仍然會波動，

並且低於完美市場下的均衡價格。

本篇所建立的部分均衡模型，

可以說明資金成本差異對價格波動性的影響，

以及均衡價格的特性。

第二篇討論加入投資人異質訊息的假設，

投資人在受到資金衝擊之下，

資金借貸限制透過對投資人決策行為的影響，

進而對資產流動性及價格揭露訊息的功能產生何種影響。

本論文嘗試藉由個體結構模式(micro-structure model)，

分析市場資金流動性多寡和訊息效率性(information efficiency)的關聯。

體系存在借貸限制是本論文重點之一，

若沒有借貸限制，

資金將無短缺之虞，

資金流動性多寡就不是問題。

資金流動性若不能轉化為信用(credit)，

則無法探討投資人面對資金衝擊與借貸限制，

所決定的投資決策如何進一步影響基本面訊息反映的程度。

本篇模型特色在於每位投資人，

不論是否擁有關於期末給付的私人訊息，

都可能遭受流動性衝擊。

研究發現當市場資金相對寬鬆時，

借貸行為的比例增加，

但訊息揭露程度反而降低。

第三篇嘗試探討理性投資人或雜訊投資人受到借貸限制，

亦即不是所有想借貸的投資人都能取得可貸資金時，

資金環境對長期資產價格偏離基本面價值所產生之助漲助跌作用，

以及資產價格何時出現高估、

何時出現低估的情形。

本論文舉出兩個基本面完全不同但卻有共同理論模型的故事背景(scenarios)，

用意在顯現我們所觀察到的金融市場價格表現可能來自於兩種不同的市場結構，

單就理論模型來看無法區分究竟是哪一個故事背景之下的結果。

提高融資限制可能妨礙了相關訊息融入，

使得價格更偏離基本面而沒有達到阻卻非理性投機交易的目的。

降低融資限制亦可能是使得非理性投機交易更加猖獗，

而不是刺激基本面相關訊息正確反映。

1 導論

2 資金成本與資產價格波動

2.1 研究動機與目的

2.2 模型

2.3 資本市場均衡

2.4 政策意涵

2.5 結論與相關文獻比較

3 資金流動性與訊息揭露

3.1 研究動機與目的

3.2 模型

3.3 均衡解模擬分析

3.4 結論

4 融資限制與價格穩定性

4.1 研究動機與目的

4.2 模型

4.3 資產均衡價格特性分析

4.4 結論

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