Classical theory asserts that the formation of prices is the result of aggregated decisions of economics agent such as households or corporation. However central banks are very important agents that have often been neglected in asset pricing models. Central banks decisions or monetary policy indeed appears to be a first order determinant of prices. This thesis aims to develop an asset pricing model that explicitly incorporates a central bank and to analyze the determination of monetary policy and its impact on financial markets. My results should help to improve our understanding of asset prices in the context of a monetary economy. Therefore results should help both to improve portfolio management in presence of an active monetary policy and to give central bankers a better understanding of their own market impact thus helping them to design better monetary policy.