許多總體貨幣理論表示在貨幣緊縮政策下會導致一國貨幣升值，但因為台灣的外國投資者在股票市場比在債券市場活絡，貨幣緊縮政策下外資可能在股票市場撤資而造成新台幣升值不顯著。為了驗證貨幣緊縮政策衝擊對新台幣匯率的影響，本文運用符號限制的結構性向量自我迴歸模型(structural vector auto-regressions models with sign restrictions)進行估計。本文也進一步探討股票市場、債券市場，釐清貨幣緊縮政策是運用何種管道影響新台幣匯率波動。主要的實證發現如下：
　　第一、在美元兌新台幣匯率方面，實證結果與『無拋補利率平價假說』相同，緊縮貨幣政策後新台幣會顯著升值。第二、緊縮貨幣政策後，股票市場有資金流出的現象但不顯著，債券市場有資金流入的現象且顯著。第三、從證券投資淨額來看，短期股票市場國際資金流出會和債券市場的國際資金流入相互抵消，長期債券市場的國際資金流入會大於股票市場的資金流出。故本文推斷國際資金投入國內金融市場導致新台幣升值。
　　另外，本文也針對模型設定進行頑強性檢驗(robustness check)，檢驗方法包括：更換模型樣本期間、更換匯率定義相關變數、以及使用不同貨幣緊縮的符號限制。實證結果顯示，改變模型設定並不會大幅改變前向主要的實證結果，亦即本文的模型具有一定的頑強性。

　　Several monetary theories suggest that the exchange rate will appreciate when governments implement a contractionary monetary policy. However, the domestic bond market is not fully developed in Taiwan and foreign investors actively participate in the domestic stock market. A contractionary monetary policy may lead to domestic currency not significantly appreciation. The current study examines the effects of monetary policy shocks on the exchange rate in Taiwan by applying structural vector autoregression models with sign restrictions.
　　The main empirical findings are as follows. First, a contractionary monetary policy shock appreciates the New Taiwan dollar significantly as the prediction of the uncovered interest parity condition. Second, a contractionary monetary policy shock increase capital inflows into the bond market and decrease capital inflows into the stock market. Finally, a contractionary monetary policy shock decrease net portfolio investment. This seems to be the channel by which contractionary monetary policy shocks appreciate the New Taiwan dollar.

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