最近國內外學者熱烈探討了擴張性貨貨政策衝擊與緊縮性貨幣政策衝擊對產出的不對稱性研究。而在國內的研究結果顯示出擴張性貨幣政策衝擊對產出的影響大於緊縮性貨幣政策衝擊。另一方面，股市一直被認為是總體經濟的領先指標，然而貨幣政策、總體經濟與股市三者的關係環環相扣，貨幣政策、產出與股市是互相影響的；針對此點，本文擬探討貨幣政策對股票報酬是否存在不對稱效應？實證結果顯示：未預期寬鬆性貨幣政策衝擊對股票報酬有顯著正向影響，而未預期緊縮性貨幣政策則無顯著影響，呈現出不對稱性效果。
This paper examines whether or not stock return responds asymmetrically to monetary policy shocks using Taiwan's data. The importance of this issue is that if monetary policy shocks do effect asset market return, then according to the theory of asset pricing, monetary policy changes contribute one source to asset systematic risk, and thereby changing investors' expectations about asset returns and prices. This effort has one possible channel through which monetary policy shocks affect nominal asset return. To the examination that this is true, the method of a nonlinear joint estimation of the money-growth and the stock return equations used in this paper. An autoregressive conditional heteroskedasticity (GARCH) model is also utilized to construct the conditional variation of monetary policy changes used to normalize unexpected movements in monetary policy. It is found that stock return responds more to positive monetary policy shocks than to negative shocks. Furthermore, it is indicates that positive normalized shocks have a powerful effect on stock return while negative normalized shocks do not.
