貨幣政策、匯率與股價關連性之探討：GARCH-IRF模型之應用

This paper investigates the dynamic relationship among monetary policy, exchange rate and stock price in Taiwan's market, using bivariate GARCH model. We also combine impulse response functions to analyze the volatility after the shock. The empirical results indicate that the monetary policy do not get strong disturbance from these two markets. On the contrary, monetary supply has strongly positive relationship to stock price, and negative to exchange rate. We also find that there are no relationships between exchange rate and stock price. It could be the reason that monetary supply plays a transmission role between two markets, thus called indirect relationship. Otherwise, in the parts of impulse response function, the results show that the volatility which induced by any other variable will persist above 10 periods. The moving directions are the same with the findings from the empirical results of GARCH modely.