日前在美元貶值與國際流動性氾濫下，國際遊資流向新興市場，包含中國大陸、韓國、香港和臺灣等地。臺灣是一個小型開放經濟體，經濟受匯率波動的影響極大，在資本市場漸漸地開放下，國際資金、匯率與股市三者環環相扣。而資本市場除了股市外，象徵經濟火車頭的房地產業也是重要投資市場之ㄧ，這二項投資管道都與我國經濟命脈息息相關。因此，本研究將探討造成熱錢匯入與流出臺灣的相關因素與熱錢流進將會對臺灣實質資本市場造成的衝擊反應，思量熱錢究竟在台灣的股票市場與房地場市場是否扮演重要的角色，亦或助長我國目前房地產市場高漲與股市波動劇烈的可能性。
本研究主要利用VAR (Vector Autoregression Model)計量經濟模型，探討影響熱錢進出臺灣的重要因素，以及其對臺灣股市，房市以及總體經濟的影響。研究期間為1991年8月到2009年12月，以月資料進行實證分析。包含熱錢(Hot money)、房價指數(Housing price index)、股價指數(Stock price index)、每人平均所得(Per capita income)、利差(Interest rate spread)和匯率(Exchange rate)共六個變數。
本研究實證結論發現，國際熱錢對台灣的影響並不如預期的顯著，從衝擊反應函數分析中可發現，熱錢的流入對台灣的資產市場影響並不顯著，熱錢對房價的影響為短期正向關係； 其對股價幾乎沒有顯著的影響效果，可見熱錢進入台灣可能暫時存放在銀行體系內，伺機而動。吸引熱錢進入台灣的因素以匯率最為顯著，當台幣貶值下，熱錢匯流出台灣；當台幣升值時，熱錢將匯入台灣。而台灣的資產市場並非吸引熱錢匯入的重要因素，因為從衝擊反應函數分析的結果來看，房價與股價對熱錢的影響並不顯著。

一、中文專書
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沈中華：貨幣銀行學－全球的觀點，臺北市，新陸書局，初版，1998年8月。

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李新穎：〈外資對全球新興資本市場影響之概述〉，《證券暨期貨管理雜誌》，第20卷第10期，2002年10月16日。

沈中華、李卿企：〈央行公開市場操作對貨幣市場利率的影響〉，《財務金融學刊》，第13卷第1期，2005年，頁99∼137。

馬千惠：〈資本管制開放與資本移動關係的再探討〉，《中央銀行季刊》，第23卷第1期，2001年，頁63∼93。

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