The Study of the Interaction between DifferentTypes of Assets and Monetary Policy–the Recursive VAR and Structural VAR Approach

• Main Authors: Wun-Huen Wu, 吳文慧
• Other Authors: Jhih-min Liang
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/19597338958309975679

碩士 === 國立屏東商業技術學院 === 不動產經營系(所) === 99 === This paper examines the relationship between macroeconomic and real assets (house) and financial assets (stocks), discussion difference in the impacts of monetary policy on house and stock, using the recursive VAR and structural VAR. The model is estimated for Taiwan, using quarterly data from 1993Q1 to 2010Q2. The empirical results displayed that house prices from responding contemporaneously to monetary policy shocks is statistically significant positive relationship, this may be due to increase in the cost of borrowing for the construction company or investors, the partial costs into the consumer. This will lead to cost driven housing price rise. However, besides the influence its own on house price, interest rate contributes around 3.83% of housing variation, but this influence will be reduced gradually. Studies reveal that the impact of monetary policy shocks on the housing market the largest impact in the current period. The contemporaneous impacts of monetary policy on stock price is negative but not statistically significant relationship. The results show that monetary policy effects on different types of assets will produce a different response.