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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/65121


    Title: 論貨幣政策與資產價格
    Essays on Monetary Policy and Asset Prices
    Authors: 寇菲力
    Contributors: 林佐裕
    寇菲力
    Keywords: 貨幣政策
    資產價格
    Monetary
    Policy
    Asset
    Price
    Date: 2013
    Issue Date: 2014-04-01 11:23:47 (UTC+8)
    Abstract: 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.
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    Description: 博士
    國立政治大學
    亞太研究英語博士學位學程(IDAS)
    100265504
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0100265504
    Data Type: thesis
    Appears in Collections:[亞太研究英語博/碩士學位學程(IDAS/IMAS)] 學位論文

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