1. NCCU Academic Hub
  2. Publications
  3. College of Social Science
  4. 學位論文
  5. Item

Publications-學位論文

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

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 11:23:47 (UTC+8)
摘要 This thesis consists of two essays on the relations
hip between monetary policy and
asset price dynamics. The first essay examines the
extent to which Greece, Ireland,
Portugal and Spain experienced property bubbles and
investigates the role of
European Central Bank’s (ECB) monetary policy in th
e formation of these bubbles in
the period from 1999 to 2012. The analysis shows th
at Spain and Ireland experienced
the largest bubble formation followed by Portugal a
nd Greece. Cointegration tests and
VEC impulse responses indicate a significant long-
and short-run relationship
between ECB’s monetary policy and bubble formation
in Greece, Ireland and Spain.
The second essay examines long- and short-run dynam
ics between global commodity
prices, economic activity and monetary policy of Ch
ina in the period from 1998M01
to 2012M12. While Toda and Yamamoto (1995) type Gra
nger causality tests provide
no evidence for a long-run relationship between mon
etary policy and commodity
prices, VAR generalized impulse responses suggests
that agricultural commodity
prices overshoot in response to a drop in the real
interest rate. The analysis further
finds evidence that industrial metals prices tend t
o be higher when China’s exchange
rate regime is relaxed.
參考文獻 Adams, Z., & Füss, R. (2010). Macroeconomic Determi
nants of International Housing
Markets.
Journal of Housing Economics, 19
, 38-50.
Agnello, L., & Schuknecht, L. (2011). Booms and Bus
ts in Housing Markets:
Determinants and Implications.
Journal of Housing Economics, 20
, 171-190.
Ahearne, A. G., Ammer, J., Doyle, B. M., Kole, L. S
., & Martin, R. F. (2005).
Monetary Policy and House Prices: A Cross-Country S
tudy.
Board of
Governors of the Federal Reserve System Internation
al Finance Discussion
Papers, No. 841
.
Akram, Q. F. (2009). Commodity Prices, Interest rat
es and the Dollar.
Energy
Economics, 31
, 838-851.
Alessandri, P. (2006). Bubbles and Fads in the Stoc
k Market: Another Look at the
Experience of the US.
International Journal of Finance and Economics, 11
,
195-203.
Asmussen, J. (2012). The Irish Case from an ECB Per
spective, from
http://www.ecb.int
Awokuse, T. O., & Yang, J. (2003). The Informationa
l Role of Commodity Prices in
Formulating Monetary Policy: A Reexamination.
Economic Letters, 79
, 219-
224.
Belke, A., Bordon, I. G., & Volz, U. (2013). Effect
s of Global Liquidity on
Commodity and Food Prices.
World Development, 44
, 31-43.
BGS. (2012). Risk list 2012, from
http://www.bgs.ac.uk
BGS. (2013). World Mineral Production 2007-2011, fr
om
http://www.bgs.ac.uk
79
BIS. (2013a). Derivatives Statistics, from
http://www.bis.org
BIS. (2013b). Property Price Statistics, from
http://www.bis.org
Bjoerklund, K., & Soederberg, B. (1999). Property C
ycles, Speculative Bubbles and
the Gross Income Multiplier.
Journal of Real Estate Research, 18
, 151-174.
Black, A., Fraser, P., & Hoesli, M. (2006). House P
rices, Fundamentals and Bubbles.
Journal of Business and Accounting, 33
, 1535-1555.
Bordo, M. D., & Landon-Lane, J. (2013). Does Expans
ionary Monetary Policy Cause
Asset Price Booms; Some Historical and Empirical Ev
idence.
NBER Working
Paper Series, No. 19585
.
Bordo, M. D., & Wheelock, D. C. (2004). Monetary Po
licy and Asset Prices: A Look
at Past U.S. Stock Market Booms.
Federal Reserve Bank of St. Louis Review,
86
, 19-44.
Borio, C. (2012). The Financial Cycle and Macroecon
omics: What Have We Learnt?
BIS Working Papers, No. 395
.
Borio, C., English, W., & Filardo, A. (2003). A Tal
e of Two Perspectives: Old or
New Challenges for Monetary Policy?
BIS Working Papers, No. 127
.
Borio, C., & Lowe, P. (2002). Asset Prices, Financi
al and Monetary Stability:
Exploring the Nexus.
BIS Working Papers, No. 114
.
BP. (2013). BP Statistical Review of World Energy 2
013, from
http://www.bp.com
Byrne, J. P., Fazio, G., & Fiess, N. (2013). Primar
y Commodity Prices: Co-
movements, Common Factors and Fundamentals.
Journal of Development
Economics, 101
, 16-26.
Chan, H. L., Lee, S. K., & Woo, K. Y. (2001). Detec
ting Rational Bubbles in the
Residential Housing Markets of Hong Kong.
Economic Modelling, 18
, 61-73.
80
Ciccarelli, M., Maddaloni, A., & Peydro, J.-L. (201
0). Trusting the Bankers: A New
Look at the Credit Channel of Monetary Policy.
ECB Working Paper Series,
No. 1228
.
Conefrey, T., & Gerald, J. F. (2010). Managing Hous
ing Bubbles in Regional
Economies Under EMU: Ireland and Spain.
National Institute Economic
Review, No. 211
.
Detken, C., & Smets, F. (2004). Asset Price Booms a
nd Monetary Policy.
ECB
Working Paper Series, No. 364
.
Dickey, D. A., & Fuller, W. A. (1979). Distribution
of the Estimators for
Autoregressive Time Series With a Unit Root.
Journal of the American
Statistical Society, 75
, 427-431.
Dol, K., & Haffner, M. (2010). Housing Statistics i
n the European Union 2010, from
http://www.housingeurope.eu
Domanski, D., & Heath, A. (2007). Financial Investo
rs and Commodity Markets.
BIS
Quarterly Review, March 2007
, 53-67.
Dornbusch, R. (1976). Expectations and Exchange Rat
e Dynamics.
The Journal of
Political Economy, 84
, 1161-1176.
ECB. (2003). Structural Factors in the EU Housing M
arkets.
European Central Bank
Structural Issues Report
.
ECB. (2009). Housing Finance in the Euro Area.
European Central Bank Structural
Issues Report
.
ECB. (2010). Asset Price Bubbles and Monetary Polic
y Revisted.
ECB Monthly
Bulletin, November 2010
, 71-83.
ECB. (2013a). Monetary Policy, from
http://www.ecb.europa.eu
81
ECB. (2013b). Statistical Data Warehouse, from
http://sdw.ecb.europa.eu
EIA. (2012). China Country Analysis, from
http://www.eia.gov
EMF. (2012). Hypostat 2011: A Review of Europe`s Mo
rtgage and Housing Markets,
from
http://www.hypo.org
Enders, W. (2010).
Applied Econometric Time Series
: John Wiley & Sons.
Engle, R. F., & Granger, C. W. J. (1987). Co-Integr
ation and Error Correction:
Representation, Estimation, and Testing.
Econometrica, 55
, 251-276.
Eurostat. (2013). Eurostat Statistical Database, fr
om
http://www.epp.eurostat.ec.europa.eu
FAO. (2013). FAO Statistical Yearbook 2013- World F
ood and Agriculture, from
http://www.fao.org
Frankel, J. (1986). Expectations and Commodity Pric
e Dynamics: The Overshooting
Model.
American Journal of Agricultural Economics, 68
(2), 344-348.
Frankel, J. (2008). The Effect of Monetary Policy o
n Real Commodity Prices. In J. Y.
Campbell (Ed.),
Asset Prices and Monetary Policy
(pp. 291-327): University
of Chicago Press.
Friedman, M. (1970). The Counter-Revolution in Mone
tary Theory.
Institute of
Economic Affairs Occasional Paper, No. 33
.
Friedman, M., & Schwartz, A. J. (1965). Money and B
usiness Cycles.
The Review of
Economics and Statistics, 45
, 32-64.
Gospodinov, N., Herrera, A. M., & Pesavento, E. (20
13). Unit Roots, Cointegration,
and Pretesting in Var Models. In T. B. Fomby, L. Ki
lian & A. Murphy (Eds.),
VAR Models in Macroeconomics - New Developments and
Applications:
82
Essays in Honor of Christopher A. Sims (Advances in
Econometrics, Volume
32)
(pp. 81-115): Emerald Group Publishing.
Hamilton, J. (2009). Causes and Consequences of the
Oil Shock of 2007-2008.
Brookings Papers on Economic Activity, Spring 2009
, 215-261.
Hamilton, J. D. (1985). Uncovering Financial Market
Expectations.
Journal of
Political Economy, 93
, 1224-1241.
Hatzvi, E., & Otto, G. (2008). Prices, Rents and Ra
tional Speculative Bubbles in the
Sydney Housing Market.
The Economic Record, 84
, 405-420.
Hayek, F. A. (1935).
Prices and Production
(Second ed.). New York: Augustus M.
Kelly, Publishers.
He, Y., Wang, S., & Lai, K. K. (2010). Global Econo
mic Activity and Crude Oil
Prices: A Cointegration Analysis.
Energy Economics, 32
, 868-876.
Hofmann, B. (2004). The Determinants of Private Sec
tor Credit in Industrialized
Countries: Do Property Prices Matter?
International Finance, 7
, 203-234.
Hui, E. C. M., & Yue, S. (2006). Housing Price Bubb
les in Hong Kong, Beijing and
Shanghai: A Comparative Study.
Journal of Real Estate Finance and
Economics, 33
, 299-327.
Igan, D., & Loungani, P. (2012). Global House Price
s Still Showing Down Trend.
IMF Survey Magazine: IMF Research
, from
http://www.imf.org
Johansen, S. (1995).
Likelihood-Based Inference in Cointegrated Vector
Autoregressive Models
: Oxford University Press.
Kilian, L. (2009). Not All Oil Price Shocks Are Ali
ke: Disentangling Demand and
Supply Shocks in the Crude Oil Market.
American Economic Review, 99
,
1053-1069.
83
Koop, G., Pesaran, M. H., & Potter, S. M. (1996). I
mpulse Response Analysis in
Nonlinear Multivariate Models.
Journal of Econometrics, 74
, 119-147.
Li, H., & Lin, S. X. (2011). Do Emerging Markets Ma
tter in the World Oil Pricing
System? Evidence of Imported Crude by China and Ind
ia.
Energy Policy, 39
,
4624-4630.
Liu, Q., & An, Y. (2011). Information Transmission
in Informationally Linked
Markets: Evidence from US and Chinese Commodity Fut
ures Markets.
Journal of International Money and Finance, 30
, 778-795.
Lombardi, M. J., & Robays, I. V. (2011). Do Financi
al Investors Destabilize the Oil
Price.
ECB Working Paper Series, No. 1346
.
Mikhed, V., & Zemcik, P. (2009). Testing for Bubble
s in Housing Markets: A Panel
Data Approach.
Journal of Real Estate Finance and Economics, 38
, 366-386.
Mises, L. v. (1912).
Theorie des Geldes und der Umlaufsmittel
. Muenchen und
Leipzig: Verlag von Duncker & Humblot.
Nazlioglu, S., & Soytas, U. (2011). World Oil Price
s and Agricultural Commodity
Prices: Evidence From an Emerging Market.
Energy Economics, 33
, 488-496.
Oikarinen, E. (2009). Interaction Between Housing P
rices and Household Borrowing:
The Finnish Case.
Journal of Banking & Finance, 33
, 747-756.
Pesaran, H. H., & Shin, Y. (1998). Generalized Impu
lse Response Analysis in Linear
Multivariate Models.
Econometric Letters, 58
, 17-29.
Pitfield, P. E. J., Brown, T. J., & Idoine, N. E. (
2010). Mineral Information and
Statistics for the BRIC countries 1999-2008, from
http://www.bgs.ac.uk
Poterba, J. M. (1984). Tax Subsidies to Owner-Occup
ied Housing: An Asset-Market
Approach.
The Quarterly Journal of Economics, 99
, 729-752.
84
Praet, P. (2011). Housing Cycles and Financial Stab
ility - The Role of the
Policymaker, from
http://www.ecb.europa.eu
Radetzki, M. (2006). The Anatomy of Three Commodity
Booms.
Resources Policy,
31
, 56-64.
Reinhart, C., & Borensztein, E. (1994). The Macroec
onomic Determinants of
Commodity Prices.
IMF Staff Papers, 41
, 236-261.
Roache, S. K. (2012). China`s Impact on World Commo
dity Markets.
IMF Working
Paper WP/12/115
.
Saghaian, S. H., Reed, M. R., & Marchant, M. A. (20
02). Monetary Impacts and
Overshooting of Agricultural Prices in an Open Econ
omy.
American Journal
of Agricultural Economics, 84
, 90-103.
Sims, C. (1980). Macroeconomics and Reality.
Econometrica, 48
, 1-48.
Sims, C. A., Stock, J. H., & Watson, M. W. (1990).
Inference in Linear Time Series
Models With Some Unit Roots.
Econometrica, 58
, 113-144.
Smith, M. H., & Smith, G. (2006). Bubble, Bubble, W
here`s the Housing Bubble?
Brookings Papers on Economic Activity, 1:2006
.
Soytas, U., Sari, R., Hammoudeh, S., & Hacihasanogl
u, E. (2009). World Oil Prices,
Precious Metal Prices and Macroeconomy in Turkey.
Energy Policy, 37
,
5557-5566.
Stiglitz, J. E. (1990). Symposium on Bubbles.
The Journal of Economic Perspectives,
4
, 13-18.
Tang, K., & Xiong, W. (2010). Index Investment and
Financialisation of Commodites.
NBER Working Paper, No. 16385
.
85
Teng, H.-J., Chang, C.-O., & Chau, K. W. (2013). Ho
using Bubbles: A Tale of Two
Cities.
Habitat International, 39
, 8-15.
Tobin, J. (1969). A General Equilibrium Approach To
Monetary Theory.
Journal of
Money, Credit and Banking, 1
, 15-29.
Toda, H. Y., & Yamamoto, T. (1995). Statistical Inf
erence in Vector Autoregressions
with Possibly Integrated Processes.
Journal of Econometrics, 66
, 225-250.
Tsai, I. C., & Peng, C.-W. (2011). Bubbles in the T
aiwan Housing Market: The
Determinants and Effects.
Habitat International, 35
, 379-390.
UNCTAD. (2011). Price Formation in Financialized Co
mmodity Markets: The Role
of Information.
United Nations Publication UNCTAD/GDS/2011/1
.
USITC. (2011). China`s Agricultural Trade: Competit
ive Conditions and Effects on
U.S. Exports.
USITC Publication, No. 4219
.
WFE. (2013). World Federation of Exchanges Statisti
cs Database, from
http://www.world-exchanges.org
Xiao, Q., & Tan, G. K. R. (2007). Signal Extraction
with Kalman Filter: A Study of
the Hong Kong Property Price Bubbles.
Urban Studies, 44
, 865-888.
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
dc.contributor.advisor 林佐裕zh_TW
dc.contributor.author (Authors) 寇菲力zh_TW
dc.creator (作者) 寇菲力zh_TW
dc.date (日期) 2013en_US
dc.date.accessioned 1-Apr-2014 11:23:47 (UTC+8)-
dc.date.available 1-Apr-2014 11:23:47 (UTC+8)-
dc.date.issued (上傳時間) 1-Apr-2014 11:23:47 (UTC+8)-
dc.identifier (Other Identifiers) G0100265504en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/65121-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 亞太研究英語博士學位學程(IDAS)zh_TW
dc.description (描述) 100265504zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) This thesis consists of two essays on the relations
hip between monetary policy and
asset price dynamics. The first essay examines the
extent to which Greece, Ireland,
Portugal and Spain experienced property bubbles and
investigates the role of
European Central Bank’s (ECB) monetary policy in th
e formation of these bubbles in
the period from 1999 to 2012. The analysis shows th
at Spain and Ireland experienced
the largest bubble formation followed by Portugal a
nd Greece. Cointegration tests and
VEC impulse responses indicate a significant long-
and short-run relationship
between ECB’s monetary policy and bubble formation
in Greece, Ireland and Spain.
The second essay examines long- and short-run dynam
ics between global commodity
prices, economic activity and monetary policy of Ch
ina in the period from 1998M01
to 2012M12. While Toda and Yamamoto (1995) type Gra
nger causality tests provide
no evidence for a long-run relationship between mon
etary policy and commodity
prices, VAR generalized impulse responses suggests
that agricultural commodity
prices overshoot in response to a drop in the real
interest rate. The analysis further
finds evidence that industrial metals prices tend t
o be higher when China’s exchange
rate regime is relaxed.		en_US
dc.description.tableofcontents 1. Introduction ...................................
...................................................
.......................... 1
2. Monetary Policy and Real Estate Bubbles ........
...................................................
...... 9
2.1. Introduction .................................
...................................................
.....................9
2.2. Literature Review ............................
...................................................
...............16
2.2.1. Real Estate Bubbles ........................
...................................................
.........16
2.2.2. Monetary Policy and Property Bubbles .......
...............................................19
2.3. Framework ....................................
...................................................
.................20
2.3.1. Property Bubble Determination ..............
...................................................
.20
2.3.2. Monetary Policy Transmission ...............
...................................................
.23
2.4. Data .........................................
...................................................
.......................25
2.5. Empirical Analysis ...........................
...................................................
..............29
2.5.1. Long-Run Dynamics ..........................
...................................................
.....29
2.5.2. Short-Run Dynamics .........................
...................................................
......32
2.6. Discussion ...................................
...................................................
...................37
2.7. Conclusion ...................................
...................................................
...................41
3. Monetary Policy and Global Commodity Prices ....
................................................. 4
4
3.1. Introduction .................................
...................................................
...................44
3.2. Framework ....................................
...................................................
.................51
3.3. Data and Methodology .........................
...................................................
..........53
3.3.1. Data........................................
...................................................
..................53
3.3.2. Methodology.................................
...................................................
...........59
3.4. Empirical Analysis ...........................
...................................................
..............62
3.4.1. Unit Root Tests and Lag Length Selection....
.............................................62
3.4.2. VAR Estimation and Model Robustness ........
............................................64
3.4.3. Long-Run Dynamics ..........................
...................................................
.....65
3.4.4. Short-Run Dynamics .........................
...................................................
......67
3.5. Conclusion ...................................
...................................................
...................70
4. Conclusion .....................................
...................................................
....................... 73
5. References .....................................
...................................................
........................ 78		zh_TW
dc.format.extent 468689 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100265504en_US
dc.subject (關鍵詞) 貨幣政策zh_TW
dc.subject (關鍵詞) 資產價格zh_TW
dc.subject (關鍵詞) Monetaryen_US
dc.subject (關鍵詞) Policyen_US
dc.subject (關鍵詞) Asseten_US
dc.subject (關鍵詞) Priceen_US
dc.title (題名) 論貨幣政策與資產價格zh_TW
dc.title (題名) Essays on Monetary Policy and Asset Pricesen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Adams, Z., & Füss, R. (2010). Macroeconomic Determi
nants of International Housing
Markets.
Journal of Housing Economics, 19
, 38-50.
Agnello, L., & Schuknecht, L. (2011). Booms and Bus
ts in Housing Markets:
Determinants and Implications.
Journal of Housing Economics, 20
, 171-190.
Ahearne, A. G., Ammer, J., Doyle, B. M., Kole, L. S
., & Martin, R. F. (2005).
Monetary Policy and House Prices: A Cross-Country S
tudy.
Board of
Governors of the Federal Reserve System Internation
al Finance Discussion
Papers, No. 841
.
Akram, Q. F. (2009). Commodity Prices, Interest rat
es and the Dollar.
Energy
Economics, 31
, 838-851.
Alessandri, P. (2006). Bubbles and Fads in the Stoc
k Market: Another Look at the
Experience of the US.
International Journal of Finance and Economics, 11
,
195-203.
Asmussen, J. (2012). The Irish Case from an ECB Per
spective, from
http://www.ecb.int
Awokuse, T. O., & Yang, J. (2003). The Informationa
l Role of Commodity Prices in
Formulating Monetary Policy: A Reexamination.
Economic Letters, 79
, 219-
224.
Belke, A., Bordon, I. G., & Volz, U. (2013). Effect
s of Global Liquidity on
Commodity and Food Prices.
World Development, 44
, 31-43.
BGS. (2012). Risk list 2012, from
http://www.bgs.ac.uk
BGS. (2013). World Mineral Production 2007-2011, fr
om
http://www.bgs.ac.uk
79
BIS. (2013a). Derivatives Statistics, from
http://www.bis.org
BIS. (2013b). Property Price Statistics, from
http://www.bis.org
Bjoerklund, K., & Soederberg, B. (1999). Property C
ycles, Speculative Bubbles and
the Gross Income Multiplier.
Journal of Real Estate Research, 18
, 151-174.
Black, A., Fraser, P., & Hoesli, M. (2006). House P
rices, Fundamentals and Bubbles.
Journal of Business and Accounting, 33
, 1535-1555.
Bordo, M. D., & Landon-Lane, J. (2013). Does Expans
ionary Monetary Policy Cause
Asset Price Booms; Some Historical and Empirical Ev
idence.
NBER Working
Paper Series, No. 19585
.
Bordo, M. D., & Wheelock, D. C. (2004). Monetary Po
licy and Asset Prices: A Look
at Past U.S. Stock Market Booms.
Federal Reserve Bank of St. Louis Review,
86
, 19-44.
Borio, C. (2012). The Financial Cycle and Macroecon
omics: What Have We Learnt?
BIS Working Papers, No. 395
.
Borio, C., English, W., & Filardo, A. (2003). A Tal
e of Two Perspectives: Old or
New Challenges for Monetary Policy?
BIS Working Papers, No. 127
.
Borio, C., & Lowe, P. (2002). Asset Prices, Financi
al and Monetary Stability:
Exploring the Nexus.
BIS Working Papers, No. 114
.
BP. (2013). BP Statistical Review of World Energy 2
013, from
http://www.bp.com
Byrne, J. P., Fazio, G., & Fiess, N. (2013). Primar
y Commodity Prices: Co-
movements, Common Factors and Fundamentals.
Journal of Development
Economics, 101
, 16-26.
Chan, H. L., Lee, S. K., & Woo, K. Y. (2001). Detec
ting Rational Bubbles in the
Residential Housing Markets of Hong Kong.
Economic Modelling, 18
, 61-73.
80
Ciccarelli, M., Maddaloni, A., & Peydro, J.-L. (201
0). Trusting the Bankers: A New
Look at the Credit Channel of Monetary Policy.
ECB Working Paper Series,
No. 1228
.
Conefrey, T., & Gerald, J. F. (2010). Managing Hous
ing Bubbles in Regional
Economies Under EMU: Ireland and Spain.
National Institute Economic
Review, No. 211
.
Detken, C., & Smets, F. (2004). Asset Price Booms a
nd Monetary Policy.
ECB
Working Paper Series, No. 364
.
Dickey, D. A., & Fuller, W. A. (1979). Distribution
of the Estimators for
Autoregressive Time Series With a Unit Root.
Journal of the American
Statistical Society, 75
, 427-431.
Dol, K., & Haffner, M. (2010). Housing Statistics i
n the European Union 2010, from
http://www.housingeurope.eu
Domanski, D., & Heath, A. (2007). Financial Investo
rs and Commodity Markets.
BIS
Quarterly Review, March 2007
, 53-67.
Dornbusch, R. (1976). Expectations and Exchange Rat
e Dynamics.
The Journal of
Political Economy, 84
, 1161-1176.
ECB. (2003). Structural Factors in the EU Housing M
arkets.
European Central Bank
Structural Issues Report
.
ECB. (2009). Housing Finance in the Euro Area.
European Central Bank Structural
Issues Report
.
ECB. (2010). Asset Price Bubbles and Monetary Polic
y Revisted.
ECB Monthly
Bulletin, November 2010
, 71-83.
ECB. (2013a). Monetary Policy, from
http://www.ecb.europa.eu
81
ECB. (2013b). Statistical Data Warehouse, from
http://sdw.ecb.europa.eu
EIA. (2012). China Country Analysis, from
http://www.eia.gov
EMF. (2012). Hypostat 2011: A Review of Europe`s Mo
rtgage and Housing Markets,
from
http://www.hypo.org
Enders, W. (2010).
Applied Econometric Time Series
: John Wiley & Sons.
Engle, R. F., & Granger, C. W. J. (1987). Co-Integr
ation and Error Correction:
Representation, Estimation, and Testing.
Econometrica, 55
, 251-276.
Eurostat. (2013). Eurostat Statistical Database, fr
om
http://www.epp.eurostat.ec.europa.eu
FAO. (2013). FAO Statistical Yearbook 2013- World F
ood and Agriculture, from
http://www.fao.org
Frankel, J. (1986). Expectations and Commodity Pric
e Dynamics: The Overshooting
Model.
American Journal of Agricultural Economics, 68
(2), 344-348.
Frankel, J. (2008). The Effect of Monetary Policy o
n Real Commodity Prices. In J. Y.
Campbell (Ed.),
Asset Prices and Monetary Policy
(pp. 291-327): University
of Chicago Press.
Friedman, M. (1970). The Counter-Revolution in Mone
tary Theory.
Institute of
Economic Affairs Occasional Paper, No. 33
.
Friedman, M., & Schwartz, A. J. (1965). Money and B
usiness Cycles.
The Review of
Economics and Statistics, 45
, 32-64.
Gospodinov, N., Herrera, A. M., & Pesavento, E. (20
13). Unit Roots, Cointegration,
and Pretesting in Var Models. In T. B. Fomby, L. Ki
lian & A. Murphy (Eds.),
VAR Models in Macroeconomics - New Developments and
Applications:
82
Essays in Honor of Christopher A. Sims (Advances in
Econometrics, Volume
32)
(pp. 81-115): Emerald Group Publishing.
Hamilton, J. (2009). Causes and Consequences of the
Oil Shock of 2007-2008.
Brookings Papers on Economic Activity, Spring 2009
, 215-261.
Hamilton, J. D. (1985). Uncovering Financial Market
Expectations.
Journal of
Political Economy, 93
, 1224-1241.
Hatzvi, E., & Otto, G. (2008). Prices, Rents and Ra
tional Speculative Bubbles in the
Sydney Housing Market.
The Economic Record, 84
, 405-420.
Hayek, F. A. (1935).
Prices and Production
(Second ed.). New York: Augustus M.
Kelly, Publishers.
He, Y., Wang, S., & Lai, K. K. (2010). Global Econo
mic Activity and Crude Oil
Prices: A Cointegration Analysis.
Energy Economics, 32
, 868-876.
Hofmann, B. (2004). The Determinants of Private Sec
tor Credit in Industrialized
Countries: Do Property Prices Matter?
International Finance, 7
, 203-234.
Hui, E. C. M., & Yue, S. (2006). Housing Price Bubb
les in Hong Kong, Beijing and
Shanghai: A Comparative Study.
Journal of Real Estate Finance and
Economics, 33
, 299-327.
Igan, D., & Loungani, P. (2012). Global House Price
s Still Showing Down Trend.
IMF Survey Magazine: IMF Research
, from
http://www.imf.org
Johansen, S. (1995).
Likelihood-Based Inference in Cointegrated Vector
Autoregressive Models
: Oxford University Press.
Kilian, L. (2009). Not All Oil Price Shocks Are Ali
ke: Disentangling Demand and
Supply Shocks in the Crude Oil Market.
American Economic Review, 99
,
1053-1069.
83
Koop, G., Pesaran, M. H., & Potter, S. M. (1996). I
mpulse Response Analysis in
Nonlinear Multivariate Models.
Journal of Econometrics, 74
, 119-147.
Li, H., & Lin, S. X. (2011). Do Emerging Markets Ma
tter in the World Oil Pricing
System? Evidence of Imported Crude by China and Ind
ia.
Energy Policy, 39
,
4624-4630.
Liu, Q., & An, Y. (2011). Information Transmission
in Informationally Linked
Markets: Evidence from US and Chinese Commodity Fut
ures Markets.
Journal of International Money and Finance, 30
, 778-795.
Lombardi, M. J., & Robays, I. V. (2011). Do Financi
al Investors Destabilize the Oil
Price.
ECB Working Paper Series, No. 1346
.
Mikhed, V., & Zemcik, P. (2009). Testing for Bubble
s in Housing Markets: A Panel
Data Approach.
Journal of Real Estate Finance and Economics, 38
, 366-386.
Mises, L. v. (1912).
Theorie des Geldes und der Umlaufsmittel
. Muenchen und
Leipzig: Verlag von Duncker & Humblot.
Nazlioglu, S., & Soytas, U. (2011). World Oil Price
s and Agricultural Commodity
Prices: Evidence From an Emerging Market.
Energy Economics, 33
, 488-496.
Oikarinen, E. (2009). Interaction Between Housing P
rices and Household Borrowing:
The Finnish Case.
Journal of Banking & Finance, 33
, 747-756.
Pesaran, H. H., & Shin, Y. (1998). Generalized Impu
lse Response Analysis in Linear
Multivariate Models.
Econometric Letters, 58
, 17-29.
Pitfield, P. E. J., Brown, T. J., & Idoine, N. E. (
2010). Mineral Information and
Statistics for the BRIC countries 1999-2008, from
http://www.bgs.ac.uk
Poterba, J. M. (1984). Tax Subsidies to Owner-Occup
ied Housing: An Asset-Market
Approach.
The Quarterly Journal of Economics, 99
, 729-752.
84
Praet, P. (2011). Housing Cycles and Financial Stab
ility - The Role of the
Policymaker, from
http://www.ecb.europa.eu
Radetzki, M. (2006). The Anatomy of Three Commodity
Booms.
Resources Policy,
31
, 56-64.
Reinhart, C., & Borensztein, E. (1994). The Macroec
onomic Determinants of
Commodity Prices.
IMF Staff Papers, 41
, 236-261.
Roache, S. K. (2012). China`s Impact on World Commo
dity Markets.
IMF Working
Paper WP/12/115
.
Saghaian, S. H., Reed, M. R., & Marchant, M. A. (20
02). Monetary Impacts and
Overshooting of Agricultural Prices in an Open Econ
omy.
American Journal
of Agricultural Economics, 84
, 90-103.
Sims, C. (1980). Macroeconomics and Reality.
Econometrica, 48
, 1-48.
Sims, C. A., Stock, J. H., & Watson, M. W. (1990).
Inference in Linear Time Series
Models With Some Unit Roots.
Econometrica, 58
, 113-144.
Smith, M. H., & Smith, G. (2006). Bubble, Bubble, W
here`s the Housing Bubble?
Brookings Papers on Economic Activity, 1:2006
.
Soytas, U., Sari, R., Hammoudeh, S., & Hacihasanogl
u, E. (2009). World Oil Prices,
Precious Metal Prices and Macroeconomy in Turkey.
Energy Policy, 37
,
5557-5566.
Stiglitz, J. E. (1990). Symposium on Bubbles.
The Journal of Economic Perspectives,
4
, 13-18.
Tang, K., & Xiong, W. (2010). Index Investment and
Financialisation of Commodites.
NBER Working Paper, No. 16385
.
85
Teng, H.-J., Chang, C.-O., & Chau, K. W. (2013). Ho
using Bubbles: A Tale of Two
Cities.
Habitat International, 39
, 8-15.
Tobin, J. (1969). A General Equilibrium Approach To
Monetary Theory.
Journal of
Money, Credit and Banking, 1
, 15-29.
Toda, H. Y., & Yamamoto, T. (1995). Statistical Inf
erence in Vector Autoregressions
with Possibly Integrated Processes.
Journal of Econometrics, 66
, 225-250.
Tsai, I. C., & Peng, C.-W. (2011). Bubbles in the T
aiwan Housing Market: The
Determinants and Effects.
Habitat International, 35
, 379-390.
UNCTAD. (2011). Price Formation in Financialized Co
mmodity Markets: The Role
of Information.
United Nations Publication UNCTAD/GDS/2011/1
.
USITC. (2011). China`s Agricultural Trade: Competit
ive Conditions and Effects on
U.S. Exports.
USITC Publication, No. 4219
.
WFE. (2013). World Federation of Exchanges Statisti
cs Database, from
http://www.world-exchanges.org
Xiao, Q., & Tan, G. K. R. (2007). Signal Extraction
with Kalman Filter: A Study of
the Hong Kong Property Price Bubbles.
Urban Studies, 44
, 865-888.		zh_TW