本研究探討美國貨幣政策是否會經由國際傳遞管道，對台灣匯率產生影響？分別使用事件分析法模型和向量自我迴歸模型，事件分析法模型是觀察美國貨幣政策對台灣匯率瞬間的宣告效果；向量自我迴歸模型是觀察美國貨幣政策和台灣匯率的短期動態關係。
本研究在事件分析法模型中，選擇美國聯邦基金目標利率當作美國貨幣政策變數，並區分為預期調整和非預期調整部分；而在向量自我迴歸模型中，選擇美國聯邦基金利率當作美國貨幣政策變數，並加入台灣重要相關的總體變數，進行實證分析。
實證結果發現，美國貨幣政策確實會經由國際傳遞管道影響台灣匯率的變化，在事件分析法模型中，美國聯邦基金目標利率的非預期調整部份，對台灣匯率產生顯著的宣告效果；在向量自我迴歸模型中，美國聯邦基金利率確實會對台灣匯率造成短期顯著的影響。因此，美國貨幣政策是影響台灣匯率變化的重要因素之一。

This thesis addresses the impact of the U.S.A monetary policy on Taiwan’s exchange rate through the international transmission channel. Two models are used to investigate this issue: the Event Study approach and the VAR model. These models are used to analyze whether Taiwan’s exchange rate should be affected by American monetary policy. This paper examines the announcement effect of the Event Study approach and investigates the dynamic relationship of the VAR.
In the Event Study approach, the Federal Funds Rate Target (FFRT) serves as a proxy variable for American monetary policy. This approach distinguishes the unexpected part and expected part from the FFRT. In the VAR model, the Federal Funds Rate (FFR) is used as a proxy variable for American monetary policy.
The empirical results show that American monetary policy can influence the Taiwan’s exchange rate through the international transmission channel. In the Event Study approach, it is clear that American monetary policy has a significant announcement effect on Taiwan’s exchange rate. In the VAR method, Taiwan’s exchange rate is significantly affected by the FFR in the short run.

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