政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/124124

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/124124

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政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/124124

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/124124

Title:	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
Authors:	徐偉登 Hsu, Wei-Teng
Contributors:	張元晨 Chang, Yuan-Chen 徐偉登 Hsu, Wei-Teng
Keywords:	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
Date:	2018
Issue Date:	2019-07-01 10:44:10 (UTC+8)
Abstract:	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.
Reference:	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 Staff Discussion 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 structural and policy factors. OECD Economic Department Working Papers; Paris, 32 pp. Dec 13, 2010.
Description:	碩士國立政治大學財務管理學系 105357024
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0105357024
Data Type:	thesis
DOI:	10.6814/NCCU201900116
Appears in Collections:	[Department of Finance] Theses

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