本文之研究目的在於探討美國貨幣政策對台灣股票市場之影響，是否透過貨幣政策傳遞機制產生影響？本研究採用事件分析法 和VAR模型分析法。在事件分析法中以美國聯邦目標利率作為美國貨幣政策之代理變數；而在VAR模型分析法中以美國聯邦基金利率和美國非借入準備作為美國貨幣政策之代理變數，探討對台灣股票報酬率之影響。本研究事件分析法利用OLS複迴歸模型作實證分析；而VAR模型分析法利用全部內生之VAR模型和區分內生變數、外生變數之VAR模型作實證分析。
實證結果發現：對台股報酬率有顯著影響力之變數主要有美國聯邦目標利率 (包含可預期與不可預期)、美國聯邦基金利率、美國非借入準備、台美實質匯率以及台股外資持股比例等五個變數上。經本研究之實證結果歸納出美國貨幣政策主要應經由匯率管道、資產負債表管道、銀行信用管道等3種國際傳遞機制影響到台灣股票市場報酬率。此外，美國聯邦目標利率之宣告效果、預期獲利對利率的敏感度效果亦是造成台股受到美國貨幣政策衝擊之因素。

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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五、中文網站資料
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六、英文網站資料
1. Chicago Board of Trade,“30 Day Federal Funds Futures”, Website：http://www.cbot.
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