This thesis examines the effect of weather events, monetary policy, and financialization on changes in global inventory, futures prices, spot prices, futures returns, and producers' equity returns of exchange-traded commodities. First, I investigate the relationship between temperature and precipitation anomalies on aluminium futures returns. Prior research only examines the effects of weather anomalies on soft commodities, although flooding, drought and temperature are also identified as disrupters to mining operations in both regulatory filings and media reports. However, I find no evidence of weather effects on aluminium futures returns. Instead, the evidence suggests that inventories provide enough buffer for weather events and that trading around such events is unlikely to yield abnormal returns. Second, I investigate the relationships between metal futures returns and global monetary policy and demonstrate that a multiplier ratio created to proxy for market liquidity and the effectiveness of unconventional monetary policy is positively related to the price of industrial metals. Contrary to prior research, there is little evidence of a relationship between real interest rates and industrial metals futures returns. These findings will enhance the ability of policymakers and other agents to determine whether the intended effects of quantitative easing are being transmitted to the markets. Third, I investigate the role of financialization in shaping the relationship between non-commercial speculation (hereinafter, speculation), trader concentration, and commodity futures returns. While prior studies variously find evidence of stabilising, reinforcing and destabilising effects of speculation upon returns, I show that speculation does not Granger-cause futures returns but that there is evidence of reverse causality from futures returns to speculation. Additionally, commodity futures returns respond to the publication of open interest information. Overall, financialization reduces the power of individual traders to set futures prices in a concentrated commodity market. These findings support a policy approach aimed at enhancing transparency rather than adding regulatory controls.

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This thesis examines the influences of global banking flows and its implication on the monetary policy regimes and economic fluctuations in the recipient economies. This work is based on the view that monetary policy shocks in core countries could be transmitted to the recipient EMEs via cross-border banking flows. Chapter 1 investigates influences of internal transactions within Asia-headquartered global banking group on the monetary policy effectiveness in selected Asian countries. It has been argued that global banks, when facing financial stress, reallocate their internal funds from their foreign affiliates in support of the parent banks. This action might help the parent banks to better protect their bank lending. In this spirit, the chapter investigates evidences suggestive of the operation of the channel for the Asian global banks. In Chapter 2, the US monetary policy shock identified from narrative sources is applied to measure the responses of banking flows and US global banks that in-termediate cross-border interbank funding. The results suggest that the responses of US global banks and the magnitude in banking outflows are much larger than previously thought. Chapter 3 examines an interaction between exchange rate regimes and financial crisis in EMEs triggered by a US monetary policy shock. First, an empirical evidence on the magnitude in banking outflows in EMEs in response to a US monetary policy shock is suggested. Then, an open economy model equipped with a banking sector is estimated and analyzed. The model predicts the well-known wisdom in the literature on sudden stops episodes: countries in the position of having to defend an exchange rate peg are more likely to suffer severe Sudden Stops and financial distress.

Li, Wei. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 50-53). / Abstracts in English and Chinese. / Abstract --- p.i / 摘要 --- p.ii / Acknowledgement --- p.iii / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- The Model --- p.8 / Chapter 2.1. --- Feature of the model --- p.8 / Chapter 2.2. --- Households --- p.9 / Chapter 2.3. --- Firms --- p.12 / Chapter 2.3.1. --- Firms in Non-traded Sector --- p.12 / Chapter 2.3.2. --- Firms in Traded Sector --- p.13 / Chapter 2.4. --- Monetary Policy Rules --- p.14 / Chapter Case I: --- Target the Inflation Rate in Non-Traded Sector (NPT) --- p.15 / Chapter Case II: --- Target the CPI Inflation Rate (CPI) --- p.15 / Chapter Case III: --- Target the Nominal Exchange Rate (FER) --- p.15 / Chapter 2.5. --- Equilibrium --- p.16 / Chapter 3. --- Calibration and Shocks --- p.17 / Chapter 3.1. --- Calibration --- p.17 / Chapter 3.2. --- Shocks --- p.20 / Chapter 4. --- Dynamics of the Model --- p.22 / Chapter 4.1. --- Impulse Response to Sector Technology Shocks --- p.23 / Chapter 4.1.1. --- Technology Shock in the Non-traded Sector --- p.23 / Chapter 4.1.2. --- Technology Shock in the Traded Sector --- p.25 / Chapter 4.2. --- Impulse Response to Foreign Interest Rate Shocks --- p.25 / Chapter 4.3. --- Impulse Response to Terms of Trade Shocks --- p.26 / Chapter 5. --- Welfare Comparison and Consumption Equivalent Analysis --- p.26 / Chapter 5.1. --- Welfare Comparison under Alternative Policy Rule and Debt Level --- p.27 / Chapter 5.2. --- Robustness Check --- p.30 / Chapter 5.3. --- Policy Implications of the findings --- p.34 / Chapter 6. --- Conclusion --- p.35 / Appendix I. Impulse Response to the Shocks --- p.36 / Appendix II. Technical Derivation of the Model --- p.43 / "Appendix III. Equilibrium, Steady State and Shocks" --- p.47

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The credit market is an important subject in today’s macroeconomic world. Prior to the introduction of the credit market, traditional models only included the goods market and money market to form the IS-LM model. Under this IS-LM model, a change in money supply would have a known effect, such as a monetary expansion policy will result in a drop in the bond rate because the IS curve will remain constant. However, many previous studies did not show this effect, but instead the opposite; those that did show this effect, the magnitude of the shift was different than a traditional IS-LM model. Once the credit market is introduced into the IS-LM model, both the goods market (IS curve) and the money market (LM curve) will shift, resulting in an undetermined change in bond rate, and will also introduce the loan rate, which also shows an undetermined change. Under this model, when a monetary expansionary policy is in effect, it is possible that the bond rate could decrease, increase, or remain constant. This thesis will determine how the credit channel operates in Taiwan, using quarterly data from 1992Q1 to 2009Q4. The final result shows that under this new model, the credit channel in Taiwan does not necessarily follow the previously-known theory.

Die Verfasstheit der Europäischen Union nähert sich der Staatlichkeit an: Der Euro ist Ausdruck dessen, dass die Währungshoheit der beteiligten Staaten in Brüssel abgegeben ist; die Militäreinsätze der EU, darunter in Kosovo, Kongo, Tschad und vor der somalischen Küste, zeugen vom Ausbau einer eigenständigen Kriegführungsfähigkeit, die im Vertrag von Lissabon auch völkerrechtlich fixiert ist; die Ernennung von Lady Ashton zur EU-Außenbeauftragten und die Schaffung eines eigenen außenpolitischen Dienstes weisen darauf hin, dass auch das Recht der Außenvertretung schrittweise auf die Unionsebene übergeht.

Using Canadian data we estimate the effects of monetary policy shocks on various real and nominal variables using a fully recursive VAR model. We decompose the nominal interest rate into an ex-ante real interest rate and inflationary expectations using the Blanchard-Quah structural VAR model with the identifying restriction that ex-ante real interest rate shocks have but a temporary impact on the nominal interest rate. The inflationary expectations are then employed to estimate a policy reaction function that identifies monetary policy shocks. We find that a positive shock introduced by raising the monetary aggregates raises inflationary expectations and temporarily lowers the ex-ante real interest rate. As well, it depreciates the Canadian dollar and generates other macro effects consistent with conventional monetary theory although these effects are not statistically significant. Using the overnight target rate as the monetary policy instrument we find that a contractionary monetary policy shock lowers inflationary expectations and raises the ex-ante real interest. Such a contractionary monetary policy shock also appreciates the Canadian currency, decreases industrial output and increases the unemployment rate. We obtain qualitatively better results using the overnight target rate rather than a monetary aggregate as the monetary policy instrument. Our estimated results are robust to various modifications of the basic VAR model and do not encounter empirical anomalies such as the liquidity and exchange rate puzzles found in some previous VAR studies of the effects of monetary policy shocks in an open economy.

Using Canadian data we estimate the effects of monetary policy shocks on various real and nominal variables using a fully recursive VAR model. We decompose the nominal interest rate into an ex-ante real interest rate and inflationary expectations using the Blanchard-Quah structural VAR model with the identifying restriction that ex-ante real interest rate shocks have but a temporary impact on the nominal interest rate. The inflationary expectations are then employed to estimate a policy reaction function that identifies monetary policy shocks. We find that a positive shock introduced by raising the monetary aggregates raises inflationary expectations and temporarily lowers the ex-ante real interest rate. As well, it depreciates the Canadian dollar and generates other macro effects consistent with conventional monetary theory although these effects are not statistically significant. Using the overnight target rate as the monetary policy instrument we find that a contractionary monetary policy shock lowers inflationary expectations and raises the ex-ante real interest. Such a contractionary monetary policy shock also appreciates the Canadian currency, decreases industrial output and increases the unemployment rate. We obtain qualitatively better results using the overnight target rate rather than a monetary aggregate as the monetary policy instrument. Our estimated results are robust to various modifications of the basic VAR model and do not encounter empirical anomalies such as the liquidity and exchange rate puzzles found in some previous VAR studies of the effects of monetary policy shocks in an open economy.

The People’s Bank of China (PBC) has played a vital role in conducting monetary policy during a period of fast economic growth in China. The PBC used a variety of monetary measures and instruments to implement monetary policy over the past decades. In this project, we examined whether the implementation of monetary policy in China mimics the market economy or not. We summarise the main tools that have been used in the monetary policy based on the studies by Qiong (2011) and Gerlach (2004). We then applied the variance and covariance analysis of macroeconomic variables of China and the US for two periods. The results of our analysis showed that China and the US had many similarities. Our empirical analysis, using the Taylor Rule theoretical framework demonstrates that the difference between the actual interest rate and the theoretical interest rate derived from the Taylor Rule for China and the US has the same trend. Our main conclusion is that the implementation of monetary policy in China mimics the market economy.