Asset Price and Monetary Policy Analysis

• Main Authors: Ying-Jyun Shih, 施盈君
• Other Authors: 王泓仁
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/69907650318956020225

碩士 === 國立臺灣大學 === 經濟學研究所 === 100 === Is consumer price index a good policy target? How will the monetary policy act if we include the asset price as a variable of monetary policy? These are the main problems we considered. There are four models in the thesis. First, we use generalized method of moments to estimate the monetary policy adopted by Taiwan’s central bank. Second, we use the quadratic loss function to evaluate the stability of monetary policy. We consider Dynamic equilibrium price index (DEPI) as the variable predicting inflation in the future. The model is the smallest loss of four models. And the model which including housing price in the monetary policy directly is the biggest loss of four models. But there is controversy over DEPI. We use housing price to replace rent item in CPI basket of goods. The result points out that the model has less loss than original Taylor’s rule. It also means that using asset price in CPI basket of goods may be a good policy index.