| Summary: | 碩士 === 國立臺灣大學 === 政治學研究所 === 92 === The purpose of this paper is to analyze the relationship between monetary policies and the stock index returns. Firstly, to understand the efficiency of stock market, we discuss the relations between the change of rediscount rates and the growth of stock index returns. We then employ the vector autoregression (VAR) model to find out how monetary policy instruments influnece the stock index returns. The empirical results are represented as follows:
1.The degree of independence of the Central Bank affected the effectiveness of monetary policies; therefore, we should accelerate the modification of the Central Bank Act.
2.The Central Bank has adjusted rediscount rates for 21 times since 1998 in the effort to improve the stock market and the economy. However, these policies did not improve the stock returns immediately.
3.When the non-economic factors hit the stock market and the Central Bank lowered the rediscount rate, the index of stock market still kept falling for a week.
4.The repulse response functions indicate that, the M1A and M1B, accompanied by other policy instruments, would improve the stock market faster and its duration was longer. On the other hand, if adopting M2, the impact would be slower and the duration shorter.
5.The exchange rate had an influence on the stock index return as well. However, avoding to impact the exchange rate level, the Central Bank would not trade the foreign exchange to control the money supply.
6.When the economy is influenced by unexpected external factors, it is better for the Central Bank to employ the M1A and M1B to improve the economy. If the purpose of the monetary policy is to stabilize business cycles, then it is better to employ M2.
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