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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 1-四月-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
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International Finance, 7
, 203-234.
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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
dc.contributor.advisor 林佐裕zh_TW
dc.contributor.author (作者) 寇菲力zh_TW
dc.creator (作者) 寇菲力zh_TW
dc.date (日期) 2013en_US
dc.date.accessioned 1-四月-2014 11:23:47 (UTC+8)-
dc.date.available 1-四月-2014 11:23:47 (UTC+8)-
dc.date.issued (上傳時間) 1-四月-2014 11:23:47 (UTC+8)-
dc.identifier (其他 識別碼) 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
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