| Summary: | 碩士 === 中原大學 === 企業管理研究所 === 98 === Abstract
This research studies the effects of monetary policy on emotional index. By adopting the changes of re-discounted rates, the changes of deposit-reserve rates and open market operations as variables, this study examines monetary effect on VIX, Put Call Ratio, TRIN and Bull Bear Spread by means of ARCH and GARCH(1,1) models, respectively. Besides, the monetary policy is categorized into tight and loose ones, thereby figuring out whether or not different implementation may cause expectation on emotional index for investors.
Through ARCH (1) and GARCH (1,1) analyses, the result demonstrated that the decreases of re-discounted rate and deposit-reserve rate could not lower the panic of investors. Under the open market operation, the results of GARCH model showed that the positive significance relationship between short-run repurchase agreement on VIX, This represents that the loose open market operation conversely increases VIX, reflecting that loose monetary policy is not only ineffective, but also causes adverse result.
Fed’s long-term open market operation for outright purchase (OR) and outright sell (OS) contributed to the adverse effects on Put Call Ratio by using ARCH and GARCH models, This demonstrates that the loose monetary policy will effectively lower the Put Call ratio. During the period of financial crisis, investors still have confidence in the market; therefore, the Fed’s long-term market operation of OR and OS is an effective monetary tool providing a crucial reference for the adoption of monetary policy for policy makes.
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