利率與股價指數之間的關係，一直是經濟領域中具爭議的話題。基於傳統經濟理論，低利率水準有助於增加投資，表示利率與股價指數應呈反向變動，近年來有許多文獻認為利率與股價指數之間呈非線性，因此利率與股價指數之間的關係值得進一步討論。然而，過去相關文獻的研究方法大多以固定門檻模型為主，本文擬採用依時變動門檻模型來探討利率與股價指數之間的門檻效果。因此，本文利用臺灣2001年至2019年的日資料，並採用Yang et al. (2019) 所提出的基於傅立葉轉換的時變門檻之門檻模型，以利率作為門檻變數，並加入國內石油成本作為控制變數，探討利率與股價指數之間是否存在門檻效果。
由實證結果顯示，利率與股價指數之間確實存在門檻效果，且其門檻值會隨著時間而變動。一般而言，利率的高低會影響投資者的投資意願以及影響政府在制定政策時的偏好，在低利率時期，投資者認為景氣處在衰退期，可能會選擇將手中所持有的股票賣掉；若中央銀行以利率作為貨幣政策，則其對投資並沒有明顯的效果。然而，在高利率時期，投資者認為景氣好轉而增加投資意願；若中央銀行以利率作為貨幣政策，則可以透過執行貨幣政策有效促進投資。本研究之實證結果能夠提供投資者進行投資策略管理的參考依據，也能作為政府機關決策及執行貨幣政策的參考方針。

The relationship between interest rate and stock index has been a controversial topic in the economic field. Based on traditional economic theory, lower interest rates is helpful to promote investment, indicating that interest rates and stock index should be reversed. In recent years, many literatures consider that the relationship between interest rates and stock index is nonlinear. Therefore, the relationship between interest rates and stock index is worth further discussion. However, in the past, the methods within the relevant literature mainly focus on the fixed threshold model. The study utilizes the time-varying threshold model to explore the threshold effect between interest rate and stock index. Therefore, the study exploits the Taiwan's daily data from 2001 to 2019, and adopts threshold model of time-varying threshold based on Fourier approximation proposed by Yang et al. (2019), with interest rate as the threshold variable and oil cost as the control variable, to explore whether there is threshold effect between interest rate and stock index.
The results show that the threshold effect is between interest rate and stock index, and the threshold value changes with time. In general, the interest rate affects the investors' willingness to invest and the government's preference in policy-making. In the period of low interest rates, investors may think the economy is in recession and sell their stocks; if the central bank takes interest rate as monetary policy, its policy has no significant effect. However, when the interest rate is high, investors believe that the economy is improving and increase their willingness to invest. If the central bank takes interest rate as monetary policy, it can effectively promote investment by implementing monetary policy. The results of this study can provide investors and government agencies to make decisions and implement monetary policy.

論文審定書 i
誌謝 ii
摘要 iii
Abstract iv
目錄 v
圖目錄 vii
表目錄 viii
第一章 緒論 1
第一節 研究動機及目的 1
第二節 研究架構 2
第三節 研究流程 3
第二章 文獻探討 4
第一節 影響投資因素 4
第二節 利率與股價之間的相關性 5
第三節 依時變動門檻之實證研究 6
第三章 經濟模型設定 8
第四章 計量方法 10
第一節 單根檢定 10
第二節 時變門檻模型 18
第五章 實證結果與分析 22

第一節 資料選取範圍及來源 22
第二節 單根檢定結果 23
第三節 依時變動門檻之估計結果 24
第六章 結論與建議 27
第一節 結論 27
第二節 研究建議 28
參考文獻 29
附錄 32

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