本研究利用結構性自回歸模型 (Structural Vector Autoregression Model，簡稱SVAR)，去探討台灣加權指數之實質報酬率及貨幣政策間的相互衝擊反應關係，亦討論了不同市值等級的股票報酬率及貨幣政策間的相互衝擊反應關係。此模型同時考慮了實質股票報酬率與貨幣政策間的同期影響關係，及長期貨幣中立性，作為模型係數設定之依據，以使實證結果更加貼近實際經濟情況。市值加權股價指數之樣本取自台灣經濟新報資料庫 (TEJ)，研究期間為2009年3月至2021年10月，採用月頻率資料，將所有公司劃分成10個市值等級。
實證結果發現，台灣加權指數實質股價對貨幣政策結構性衝擊之衝擊反應呈現負向且隨時間推進而逐漸收斂，但在市值加權指數報酬率上，發現只有在高市值 (等級1至等級5) 才有股票市值效果；貨幣供給量對台灣加權指數實質股價結構性衝擊之衝擊反應效果不明確且較不明顯。最後，發現SVAR模型之衝擊反應效果比VAR模型更顯著。

This paper examines the relationship between the real stock price returns of TAIEX and monetary policy, and the real stock price returns of firms in various market capitalization between monetary policy using a structural VAR framework that allows for the simultaneous interaction between the financial industry overnight rate and stock market developments based on the assumption of long-run monetary neutrality. The monthly samples of stock are collected from TEJ, with the research period from 2009 March to 2021 October. Here are 10 sized-sorted portfolios in this paper.
The results confirm a positive monetary policy loosing effect on real stock prices which will gradually disappear over time, but the size effect exists only in the portfolio level 1 to portfolio level 5. The response of M2 to a positive structural shock of real stock price is not obvious and not clearly. In the end, this paper indicated that the effect of impulse response functions in SVAR model are significant than VAR model.

論文審定書 i
致謝詞 ii
摘要 iii
Abstract iv
目 錄 v
圖 次 vi
表 次 vii
第一章 緒論 1
第一節 研究背景 1
第二節 研究目的與動機 1
第三節 論文架構 2
第二章 文獻回顧 3
第一節 貨幣政策與資產價格間的關係 3
第二節 貨幣政策的傳遞管道 3
第三節 貨幣政策對不同市值公司的影響 4
第四節 在SVAR模型框架下的探討 4
第三章 模型設定 6
第一節 SVAR模型 6
第二節 衝擊反應函數 10
第四章 樣本與變數說明 14
第五章 實證結果分析 17
第一節 單根檢定與共整合關係檢定 18
第二節 季節性變化 19
第三節 敘述性統計 20
第四節 衝擊反應函數 21
第六章 結論與建議 29
參考文獻 31
一、 中文文獻 31
二、 英文文獻 31
附錄一 內生變數走勢圖 (單位：%) 34
附錄二 市值加權股價報酬率走勢圖 (單位：%) 35

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