論貨幣政策與資產價格

• Main Author: 寇菲力
• Language: 英文
• Published: 國立政治大學
• Subjects: 貨幣政策; 資產價格; Monetary; Policy; Asset; Price
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0100265504%22.

This thesis consists of two essays on the relations hip between monetary policy and asset price dynamics. The first essay examines the extent to which Greece, Ireland, Portugal and Spain experienced property bubbles and investigates the role of European Central Bank’s (ECB) monetary policy in th e formation of these bubbles in the period from 1999 to 2012. The analysis shows th at Spain and Ireland experienced the largest bubble formation followed by Portugal a nd Greece. Cointegration tests and VEC impulse responses indicate a significant long- and short-run relationship between ECB’s monetary policy and bubble formation in Greece, Ireland and Spain. The second essay examines long- and short-run dynam ics between global commodity prices, economic activity and monetary policy of Ch ina in the period from 1998M01 to 2012M12. While Toda and Yamamoto (1995) type Gra nger causality tests provide no evidence for a long-run relationship between mon etary policy and commodity prices, VAR generalized impulse responses suggests that agricultural commodity prices overshoot in response to a drop in the real interest rate. The analysis further finds evidence that industrial metals prices tend t o be higher when China’s exchange rate regime is relaxed.