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題名 央行干預匯市對各國房價指數的影響
The impact of Central Bank Foreign Exchange Interventions on Residential Property Price Indices around the world作者 徐偉登
Hsu, Wei-Teng貢獻者 張元晨
Chang, Yuan-Chen
徐偉登
Hsu, Wei-Teng關鍵詞 央行
干預
匯率
國際貨幣基金組織
經濟合作暨發展組織
房價
IMF
OECD日期 2018 上傳時間 1-Jul-2019 10:44:10 (UTC+8) 摘要 本論文首先利用IMF Special Data Dissemination Standard(SDDS)資料庫中的外匯儲備金額，將利息所得的變動與資產價值的變動從外匯儲備變化量中區分出來，得到央行干預匯率的主動管理項。實證結果發現大部分國家在本國貨幣匯率有大幅升貶值時會在市場上買進或拋售儲備資產，進行干預活動。其次，本論文嘗試探討近年來全球高房價現象與央行干預匯市造成的低利率環境是否有關。實證結果發現，央行買進或賣出儲備資產的干預行為，在多數先進國家中與房價指數的變化有正相關，但在新興國家中則較不明顯。同時利率對房價的影響也較不顯著。
Using IMF Special Data Dissemination Standard (SDDS) Reserve Template, this paper separate interest income and valuation changes in the stock of international reserves from the actively managed component of reserves. The empirical results show that most countries will buy or sell reserve assets and intervene in the market facing volatile exchange rate changes. This modified reserve variable serves as a useful indicator to proxy for central bank foreign exchange market intervention around the world. We then use this variable to explore whether residential property price indices are associated with central bank FX intervention. The empirical results show that the central bank’s intervention in foreign exchange markets are related to the changes of real estate price indices in most advanced countries, but not in emerging countries. However, We find that interest rate levels have insignificant impact on estate indices in advanced and emerging countries.參考文獻 施燕(民103)。台灣房市泡沫的挑戰。工商時報。Chang Y., 2006. The accuracy of reports of foreign exchange intervention by the Bank of Japan: Does Tokyo know more? Journal of International Money and Finance 25 (8), 1241-1256.Dominguez K.M.E., 2012. Foreign reserve management during the global financial crisis. Journal of International Money and Finance 31 (8), 2017-2037.Dominguez K.M.E., Hashimoto Y., Ito T., 2012. International reserves and the global financial crisis. Journal of International Economics 88 (2), 388-406.Fatum R., Michael M. Hutchison, 2002. ECB foreign exchange intervention and the EURO: institutional framework, news, and intervention. Open economies review 13 (4), 413-425.Fratzscher M., Gloede O., Menkhoff L., Sarno L., Stöhr T., 2015. When is foreign exchange intervention effective? Evidence from 33 countries. DIW Berlin discussion paper No. 1518.IMF.,2009, “Ch3: Lessons for Monetary Policy from Asset Price Fluctuations,” World Economic Outlook, Oct.IMF.,2011,“Policy Responses to Capital Flows in Emerging Markets,” IMF StaffDiscussion Note, SDN/11/10, Apr.Klein M.W., 1993. The accuracy of reports of foreign exchange intervention. Journal of International Money and Finance 12 (6), 644-653.Kostas Tsatsaronis., Haibin Zhu., 2004. What Drives Housing Price Dynamics: Cross-Country Evidence. BIS Quarterly Review, March 2004.Neely C.J., 2000. Are changes in foreign exchange reserves well correlated with official intervention? Federal reserve bank of ST. Louis review 82 No. 5, 17-32.OECD.,2010, Tax Policy Reform and Economic Growth, November; The Economist (2013),“Levying the Land- Governments Should Make More Use of Property Taxes,” The Economist,June 29.OECD.,2010, Real House Prices in OECD Countries: The role of demand shocks and structuraland policy factors. OECD Economic Department Working Papers; Paris, 32 pp. Dec 13, 2010. 描述 碩士
國立政治大學
財務管理學系
105357024資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105357024 資料類型 thesis dc.contributor.advisor 張元晨 zh_TW dc.contributor.advisor Chang, Yuan-Chen en_US dc.contributor.author (Authors) 徐偉登 zh_TW dc.contributor.author (Authors) Hsu, Wei-Teng en_US dc.creator (作者) 徐偉登 zh_TW dc.creator (作者) Hsu, Wei-Teng en_US dc.date (日期) 2018 en_US dc.date.accessioned 1-Jul-2019 10:44:10 (UTC+8) - dc.date.available 1-Jul-2019 10:44:10 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2019 10:44:10 (UTC+8) - dc.identifier (Other Identifiers) G0105357024 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124124 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 105357024 zh_TW dc.description.abstract (摘要) 本論文首先利用IMF Special Data Dissemination Standard(SDDS)資料庫中的外匯儲備金額，將利息所得的變動與資產價值的變動從外匯儲備變化量中區分出來，得到央行干預匯率的主動管理項。實證結果發現大部分國家在本國貨幣匯率有大幅升貶值時會在市場上買進或拋售儲備資產，進行干預活動。其次，本論文嘗試探討近年來全球高房價現象與央行干預匯市造成的低利率環境是否有關。實證結果發現，央行買進或賣出儲備資產的干預行為，在多數先進國家中與房價指數的變化有正相關，但在新興國家中則較不明顯。同時利率對房價的影響也較不顯著。 zh_TW dc.description.abstract (摘要) Using IMF Special Data Dissemination Standard (SDDS) Reserve Template, this paper separate interest income and valuation changes in the stock of international reserves from the actively managed component of reserves. The empirical results show that most countries will buy or sell reserve assets and intervene in the market facing volatile exchange rate changes. This modified reserve variable serves as a useful indicator to proxy for central bank foreign exchange market intervention around the world. We then use this variable to explore whether residential property price indices are associated with central bank FX intervention. The empirical results show that the central bank’s intervention in foreign exchange markets are related to the changes of real estate price indices in most advanced countries, but not in emerging countries. However, We find that interest rate levels have insignificant impact on estate indices in advanced and emerging countries. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景及動機 1第二節 研究目的 2第三節 研究架構 2第二章 文獻回顧 4第三章 樣本描述與研究方法 7第一節 國際準備的作用 7第二節 國際準備變動量與央行干預規模的不同 7第三節 國際準備的拆解與衡量 8第四節 外匯儲備變動量的拆解 11第五節 主動與被動的外匯儲備變動 12第四章 實證結果 15第一節 比較模擬外匯儲備與SDDS實際公布外匯儲備 15第二節 央行干預和利率變化對房價指數的影響 48第五章 結論與研究限制 57第一節 結論 57第二節 研究限制 57參考文獻 59 zh_TW dc.format.extent 1177820 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105357024 en_US dc.subject (關鍵詞) 央行 zh_TW dc.subject (關鍵詞) 干預 zh_TW dc.subject (關鍵詞) 匯率 zh_TW dc.subject (關鍵詞) 國際貨幣基金組織 zh_TW dc.subject (關鍵詞) 經濟合作暨發展組織 zh_TW dc.subject (關鍵詞) 房價 zh_TW dc.subject (關鍵詞) IMF en_US dc.subject (關鍵詞) OECD en_US dc.title (題名) 央行干預匯市對各國房價指數的影響 zh_TW dc.title (題名) The impact of Central Bank Foreign Exchange Interventions on Residential Property Price Indices around the world en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 施燕(民103)。台灣房市泡沫的挑戰。工商時報。Chang Y., 2006. The accuracy of reports of foreign exchange intervention by the Bank of Japan: Does Tokyo know more? Journal of International Money and Finance 25 (8), 1241-1256.Dominguez K.M.E., 2012. Foreign reserve management during the global financial crisis. Journal of International Money and Finance 31 (8), 2017-2037.Dominguez K.M.E., Hashimoto Y., Ito T., 2012. International reserves and the global financial crisis. Journal of International Economics 88 (2), 388-406.Fatum R., Michael M. Hutchison, 2002. ECB foreign exchange intervention and the EURO: institutional framework, news, and intervention. Open economies review 13 (4), 413-425.Fratzscher M., Gloede O., Menkhoff L., Sarno L., Stöhr T., 2015. When is foreign exchange intervention effective? Evidence from 33 countries. DIW Berlin discussion paper No. 1518.IMF.,2009, “Ch3: Lessons for Monetary Policy from Asset Price Fluctuations,” World Economic Outlook, Oct.IMF.,2011,“Policy Responses to Capital Flows in Emerging Markets,” IMF StaffDiscussion Note, SDN/11/10, Apr.Klein M.W., 1993. The accuracy of reports of foreign exchange intervention. Journal of International Money and Finance 12 (6), 644-653.Kostas Tsatsaronis., Haibin Zhu., 2004. What Drives Housing Price Dynamics: Cross-Country Evidence. BIS Quarterly Review, March 2004.Neely C.J., 2000. Are changes in foreign exchange reserves well correlated with official intervention? Federal reserve bank of ST. Louis review 82 No. 5, 17-32.OECD.,2010, Tax Policy Reform and Economic Growth, November; The Economist (2013),“Levying the Land- Governments Should Make More Use of Property Taxes,” The Economist,June 29.OECD.,2010, Real House Prices in OECD Countries: The role of demand shocks and structuraland policy factors. OECD Economic Department Working Papers; Paris, 32 pp. Dec 13, 2010. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900116 en_US
