| Summary: | 碩士 === 國立成功大學 === 政治經濟學研究所 === 96 === This thesis analyzes whether the United States’ monetary policy has a significant effect on the Taiwanese stock market through international transmission mechanisms. The Event Study approach and the VAR model approach are used to investigate this issue. The proxy variable for U.S. monetary policy in the Event Study approach is the federal funds rate target (FFRt), and the proxy variables for U.S. monetary policy in the VAR model approach are the federal funds rate (FFR) and non-borrowed reserves (NBR). For the Event Study approach, a multiple regression model is used. For the VAR model approach , that traditional VAR and SVAR model are used to test the issue.The empirical results show there are five important variables that significantly influence the Taiwanese stock market’s returns: the federal funds rate target (include expected and unexpected FFRt), the federal funds rate, non-borrowed reserves, the real exchange rate between Taiwan and the United States, and the proportion of foreign capital held. American monetary policy affects the Taiwanese stock market mostly by way of the exchange rate channel, balance sheet channel, and banking credit channel. It is proven that American monetary policy can affect Taiwan’s stock market by means of the international transmission mechanisms. Furthermore, the announcement effect of the federal funds rate target, and the sensitivity of the re-assessment of earnings expectations to changes in interest rates, are also mechanisms of international transmission.
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