Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/65121
題名: 論貨幣政策與資產價格
Essays on Monetary Policy and Asset Prices
作者: 寇菲力
貢獻者: 林佐裕
寇菲力
關鍵詞: 貨幣政策
資產價格
Monetary
Policy
Asset
Price
日期: 2013
上傳時間: 1-Apr-2014
摘要: This thesis consists of two essays on the relations\nhip between monetary policy and\nasset price dynamics. The first essay examines the\nextent to which Greece, Ireland,\nPortugal and Spain experienced property bubbles and\ninvestigates the role of\nEuropean Central Bank’s (ECB) monetary policy in th\ne formation of these bubbles in\nthe period from 1999 to 2012. The analysis shows th\nat Spain and Ireland experienced\nthe largest bubble formation followed by Portugal a\nnd Greece. Cointegration tests and\nVEC impulse responses indicate a significant long-\nand short-run relationship\nbetween ECB’s monetary policy and bubble formation\nin Greece, Ireland and Spain.\nThe second essay examines long- and short-run dynam\nics between global commodity\nprices, economic activity and monetary policy of Ch\nina in the period from 1998M01\nto 2012M12. While Toda and Yamamoto (1995) type Gra\nnger causality tests provide\nno evidence for a long-run relationship between mon\netary policy and commodity\nprices, VAR generalized impulse responses suggests\nthat agricultural commodity\nprices overshoot in response to a drop in the real\ninterest rate. The analysis further\nfinds evidence that industrial metals prices tend t\no be higher when China’s exchange\nrate regime is relaxed.
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描述: 博士
國立政治大學
亞太研究英語博士學位學程(IDAS)
100265504
102
資料來源: http://thesis.lib.nccu.edu.tw/record/#G0100265504
資料類型: thesis
Appears in Collections:學位論文

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