This paper uses a recursive VAR model to analyze the effects of monetary policy shock and the role of house price and stock price shocks. The data come from the first quarter of 1993 to the second quarter of 2010 in Taiwan. There is empirical evidence suggesting that house prices and stock prices do not play the role of a transmission mechanism for monetary policy shocks. When house prices increase, stock prices undergo a simultaneous and significant increase, but this effect gradually disappears. As house prices increase, the interest rate is simultaneously and positively affected; this effect is insignificant until after the second quarter. As stock prices increase, house prices are positively affected, which is consistent with the sign of the expected value, but the effect is insignificant. Under increasing stock prices, the interest rate simultaneously increases, and this effect is significant during the third and tenth quarters.