本研究建構一個以 Dornbusch（1976）匯率動態調整模型為基礎，結合Frankel（1986）與 Lai、Hu and Fan（2005）納入農產品市場的擴充架構，應用於石油市場，並將石油視為兼具商品與資產屬性的前瞻性投資標的，以探討貨幣政策與碳稅政策宣告對石油價格與匯率動態調整的影響。結果顯示，恆常性擴張的貨幣政策即使尚未實施，僅宣告，民眾的預期行為即造成匯率單調貶值與石油價格持續上漲。相較之下，碳稅政策對石油價格的影響，則受到資產替代性與政策宣告至實施時間差的影響。當替代性較高時，市場快速反映對未來報酬下降的預期，石油價格呈現單調下跌；當替代性較低且政策實施時間離宣告時刻尚遠時，石油因相對穩定性及商品需求尚存吸引部分資金短暫流入，價格出現先漲後跌的「錯向調整」；若實施時點略近，則價格可能於宣告當下短暫跳升後迅速下跌，形成「錯向跳動」。僅當政策即將實施時，石油價格才回歸與高資產替代程度相同的單調下跌的路徑。相對而言，匯率對碳稅政策宣告的反應一致，無論資產替代性或政策時點為何，皆呈現單調貶值趨勢，反映市場對長期經濟前景惡化的預期。本文補足文獻中對石油資產特性之討論，並分析政策預期如何影響油價與匯率的調整動態。

This study builds on the Dornbusch (1976) exchange rate adjustment model, integrating extensions from Frankel (1986) and Lai, Hu, and Fan (2005) to include agricultural markets, and applies it to the oil market. Oil is treated as a forward-looking asset with both commodity and financial characteristics. The analysis explores how announcements of monetary and carbon tax policies affect the dynamic adjustment of oil prices and exchange rates.Results show that even before implementation, an announced permanent expansionary monetary policy can influence expectations, leading to capital reallocation, currency depreciation, and rising oil prices. In contrast, the effect of a carbon tax announcement on oil prices depends on asset substitutability and the time gap between announcement and implementation. With high substitutability, oil prices fall steadily after the announcement. With low substitutability and a longer interval before implementation, oil’s relative stability attracts temporary capital inflows, causing a short-term rise followed by a drop—termed “misadjustment.” If implementation is imminent, prices may briefly jump at the announcement and then quickly decline, showing a “misjump.” Only when the policy is about to take effect do oil prices follow a consistent downward path.In comparison, exchange rates respond uniformly to the carbon tax announcement, showing a steady depreciation regardless of substitutability or timing, reflecting expectations of a weaker economic outlook. This study contributes to the literature by highlighting the dual nature of oil and analyzing how policy expectations shape oil and exchange rate dynamics.

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