本研究旨在探討貿易政策不確定性（Trade Policy Uncertainty, TPU）衝擊，對美國與台灣股市指數之衝擊反應，以及利率與匯率於TPU衝擊中的傳導效果。研究運用2015年1月至2024年12月之數據，延伸Khalil and Strobel (2024) 與Boer, Menkhoff, and Rieth (2023) 之SVAR（Structural Vector Autoregression）模型，並導入Ferrara and Guérin (2018) 的混合資料頻率方法，建構堆疊式混合頻率SVAR模型。此外，本研究結合Kilian and Lewis (2011) 之反事實分析方法，旨在量化TPU衝擊下對兩國股市指數衝擊反應中利率與匯率傳遞管道之貢獻。
實證結果發現TPU衝擊對兩國股市影響多數呈現短期上升或不顯著，且不同衝擊時點會使股價衝擊反應函數存在異質性。本研究發現，股市呈現短期正向反應主要由於近10年TPU指數普遍處在高水準且波動大於以往，市場面對TPU衝擊時的定價行為出現變化；而不同衝擊時點導致的異質性則主要源於總體經濟數據採樣窗口限制與各週次之TPU序列存在統計分佈差異。
此外，反事實分析顯示兩國皆依賴於匯率管道傳遞衝擊，但兩國傳遞機制上存在差異。TPU衝擊下台灣股市主要由資本帳主導；美國股市則主要由經常帳主導。即在基準衝擊反應函數與反事實衝擊反應函數的偏離方向上，新台幣匯率與台股呈現同向對應關係（反映額外資本流入流出）；美元匯率與美股則呈現反向對應關係（反映額外貿易競爭力增減）。本研究不僅深化既有文獻對TPU衝擊傳導機制之探討，亦為台灣應對外部不確定性提供了具體的政策參考方向。

This study investigates the impulse responses of U.S. and Taiwan stock indices to Trade Policy Uncertainty (TPU) shocks, evaluating the transmission effects of interest and exchange rates. Using data from January 2015 to December 2024, we construct a stacked Mixed-Frequency SVAR model. Furthermore, we apply a counterfactual analysis framework to quantify the contributions of these transmission channels to stock market responses.
Empirical results indicate that TPU shocks generally cause short-term positive or insignificant stock market reactions, with heterogeneity across different shock timings. The short-term positive response stems from the persistently elevated and volatile TPU levels over the past decade, which shifted market pricing behaviors. Meanwhile, the timing-induced heterogeneity is driven by macroeconomic data sampling constraints and statistical differences in weekly TPU distributions.
Counterfactual analysis reveals both countries rely on the exchange rate channel, but with distinct mechanisms. Under TPU shocks, Taiwan's stock market is primarily capital account-driven, whereas the U.S. market is current account-driven. Specifically, regarding the deviation direction between baseline and counterfactual IRFs, the NTD exchange rate and Taiwan stock prices show a positive corresponding relationship (reflecting capital movements). Conversely, the USD exchange rate and U.S. stock prices exhibit an inverse corresponding relationship (reflecting trade competitiveness). These findings deepen the understanding of TPU transmission mechanisms and offer concrete policy insights for managing external uncertainties.

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