本研究所用的研究模型為遞迴式向量自我迴歸(recursive VAR)計量模型，探討貨幣政策衝擊和財政政策衝擊對資產價格的影響。資產價格以台股發行量加權股價指數(以下簡稱股價指數)、台灣10年期公債殖利率(以下簡稱10年期公債殖利率)，以及房價指數作為代表，以月資料進行實證分析。貨幣政策衝擊以重貼現率衝擊作為代表，財政政策衝擊以政府支出衝擊作為代表。本研究主要發現如下：第一，緊縮性貨幣政策衝擊使股價指數報酬率呈現負向衝擊反應、10年期公債殖利率迅速地出現正向衝擊反應，而房價指數報酬率則延遲地出現負向衝擊反應。第二，擴張性財政政策的衝擊下，股價指數報酬率和10年期公債殖利率無顯著的衝擊反應，而房價指數報酬率則延遲地出現正向衝擊反應。

This research aims to investigate how asset prices are affected by the monetary shock and the fiscal shock. By combining macroeconomic variables and asset price variables into recursive vector autoregressions (VAR) model, we are able to analyze the impacts of the monetary policy and fiscal policy on asset prices. The asset price variables are TAIEX (Taiwan Stock Exchange Weighted Index), Taiwan 10-year bond yield and housing price index. The results show that: (i) contractionary monetary shocks have a negative effect on TAIEX; have positive effect on Taiwan 10-year bond yield and generate a deferred fall in housing price; (ii) expanding fiscal shocks have a positive effect on housing price, and have no significant effects on TAIEX and Taiwan 10-year bond yield.

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