美日歐等先進國家在傳統貨幣政策提振經濟的效果逐漸失靈後，開始大膽啓用量化寛鬆(Quantitative Easing, QE)等非傳統貨幣政策(unconventional monetary policy)。本研究以此為背景，透過大量數據蒐集、整理與分析，比較國際金融市場在量化寛鬆貨幣政策前後的變化。 2007年美國次貸風暴引發全球金融危機後，FED於2008年開始實施密集、快速的QE政策，全面利用央行資產負債表與獨特而絕對在貨幣價格及數量的無限權力。本研究試圖從債券市場、股票市場、外匯市場、信貸與投資市場、各部門負債與去槓桿化程度與全球通貨膨脹現況等不同面向切入，嘗試以較長時間的統計資料比較並說明QE的有效性與侷限性。 在美日歐相繼實行規模程度不一的QE政策後，研究發現美國市場的各個層面已有顯著的改進，特別是在就業市場部分，其中失業率已逼近自然失業率的充分就業狀況，代表美國將逼近升息的時間點，並且不是只有單次調高基準利率(Fed Fund Rate，FFR)，而是一個升息循環的開始，預期FFR將在未來數年內逐漸調高到正常經濟的水平。 與此同時，開發中國家則在資金外流回到美元體系的大環境下，呈現匯率貶值、股市表現不佳與主權債利差變大的金融現象，反應出國際金融市場風險正移轉至新興市場；尤其令人不安的是新興市場持續累積相對龐大的負債，以及國際商品大跌，嚴重衝擊以出口這些商品為主的新興經濟體與生產製造商。在各國央行貨幣政策趨於分岐，特別是美國啟動升息周期將成為美元持續走強的驅動力，龐大國際資金的流動亦會顯著帶來市場風險的移轉。 本研究蒐集各種不同領域的報告及資料，進行分析，主要結果整理如下： 一、量化寬鬆政策(Quantitative Easing)將在一開始造成實施國的貨幣明顯貶值。 二、量化寬鬆政策將造成實施國的股票市場持續走揚。 三、量化寬鬆政策將造成實施國的主權債券殖利率明顯下跌，特別是短天期的部分(short-end)。若實施國進一步採行負利率政策，短天期主權債券收益率亦會由正轉負。 四、量化寬鬆政策帶動全球通貨膨脹脫離偏低水準的效果不明顯，無論已開發或開發中國家都仍深陷通貨緊縮的壓力。 五、在美日歐相繼實施量化寬鬆政策後，全球各商品(市場)的波動趨於一致，呈現越來越高的關聯性。 六、全球金融市場流動性有逐漸降低的趨勢(受到各國管理金融業法規趨嚴影響)，對照市場波動性時大時小，流動性風險影響國際資金的資產配置與流動成為一個重要議題。

本研究以事件研究法的方式，研究歐洲央行宣布量化寬鬆（Quantitative Easing, QE）對歐豬五國信用風險的影響，本研究以各國主權信用違約交換的超額報酬顯著性衡量量化寬鬆政策對信用風險的影響。 研究結果為多數的QE政策宣告對歐豬五國信用風險的影響在事件期中有正向有負向，且時常交錯分布，未有一固定的模式，故無法得到一個明確的結論。 / This paper examines the impact of the ECB’s (European Central Bank) quantitative easing program on the credit risk of PIIGS. In this case, we used each underlying countries’ excess return of their sovereign CDSs to identify if their credit risks are decreased significantly. Our finding was that most QE announcements by the ECB had multiple impacts on the credit risk of PIIGS. They had both positive and negative impacts. Also, the patterns were not the same, so we do not have a clear conclusion on whether the QE policies are good or bad for the credit risk of PIIGS.

La crise financière actuelle, en raison de sa similarité avec celle du Japon des années 1990, a poussé les autorités monétaires des plus grandes banques centrales à adopter l’assouplissement quantitatif. Seul le Japon, ayant connu une expérience d’assouplissement quantitatif récente mais depuis suffisamment d’années pour être étudiée, peut fournir des éléments de solution à cette crise.Cette thèse applique les techniques économétriques les plus appropriées et récentesà l’analyse de l’assouplissement quantitatif, appliqué par la Banque du Japon entre 2001 et 2006. En trois chapitres sont traitées les questions de savoir s’il était efficace ; sous quelles conditions ? Par quels canaux ?L’efficacité de cette stratégie de politique monétaire à stimuler l’activité et à stopperla spirale déflationniste a été montrée. Cette expérience met en avant le rôle important que la politique monétaire peut jouer pour sortir de la crise, même quand le taux directeur atteint zéro. Le canal des anticipations comme le canal de rééquilibrage des portefeuilles ont tous deux joué un rôle important dans la transmission de ces effets. Les principaux enseignements que l’on peut tirer de l’expérience japonaise sont, d’abord de remédier radicalement et immédiatement aux fragilités du secteur financier, deuxièmement, de mener une politique monétaire particulièrement agressive. Enfin, d’attendre le temps nécessaire pour que les fruits de cette politique viennent. L’expérience japonaise suggère que la Fed et la banque d’Angleterre doivent reporter leur sortie de cette stratégie, sortie qui doit être menée dansle cadre d’un programme et selon des objectifs numériques clairs. / The current financial crisis has now led most major central banks to rely on quantitative easing. The unique Japanese experience of quantitative easing is the only experience which enables us to judge this therapy’s effectiveness and the timing of the exit strategy. Is quantitative easing effective ? Under which conditions ? Through which canal ?This thesis, consisting of three essays, applies appropriate and recent econometrictechniques to examine the quantitative easing in Japan between 2001 and 2006. We show, for the first time, that quantitative easing was able not only to prevent further recession and deflation but also to provide considerable stimulation to both output and prices. Moreover, both expectation and portfolio-rebalancing channels play a crucial role in transmitting monetary policy effects. This experience shows that the monetary policy is still potent even when short-term interest rates reach a zero lower bound. The Japanese experience suggests that efforts to clean up the bank’s balance sheets significantly improved the effectiveness of quantitative easing. However, this effect, although considerable, was short-lived ; it became insignificant after one year. The short duration of this effect confirms the wisdom of the Fed’s decision to maintain quantitative easing longer, so that being short-lived, the positive effects could be exploited. In the light of the Japanese experience, we argue that, in addition to their fast reaction and the huge amount of CABs employed, which may have helped relieve short-term liquidity pressures in the financial system, the Fed was better off postponing its exit from quantitative easing.

The recent economic and financial turmoil has led central banks around the world to heavily utilize unconventional monetary policy measures. Unconventional in this sense means a deflection from traditional central bank policy measures, i.e. interest rate innovations. Although these measures were widely discussed, the uniformed, coherent and comprehensive framework of such measures is still missing. The aim of this thesis is to establish the framework for possible classification of such policies together with transmission channels to the real economy. The empirical part examines the impacts of unconventional policies on real data using vector autoregression and vector error correction models. This analysis is based on monthly data period between 1999 and 2013, which is strongly affected by implementation of the unconventional policies in its second half. The last section examines the possible future of these policies as a normal instrument of central banks and describes their main challenges and shortcomings. JEL classification: C32, E40, E44, E50, E52, E58, E60 Keywords: Unconventional monetary policy, Interest rate, Decoupling principle, Balance sheet policy stratification, Quantitative easing, Channels of transmission, Vector Autoregression, Vector error correction model Author's e-mail:...

Les trois chapitres de cette thèse ont pour objectif de contribuer à une meilleure compréhension de la manière dont les politiques non-conventionnelles affectent les prix d’actifs. Ils revisitent également de manière empirique la question de l’impact de l’offre sur les prix d’actifs, et plus généralement des limites imposées à l’arbitrage, des frictions dans la réallocation des portefeuilles. Chaque chapitre présente de nouvelles données permettant de quantifier les mécanismes à l’œuvre dans le cas du programme d’achat d’actifs de l’Eurosystème (APP). Le chapitre 1 propose un modèle de portefeuille simple permettant de penser les mesures non conventionnelles dans un cadre cohérent. Les exercices empiriques confirment l’existence de plusieurs canaux de transmission des prix et évaluent l’impact de l’APP. Le chapitre 2 jette un nouvel éclairage sur le canal du rééquilibrage de portefeuille. Les fortes frictions liées à la réallocation, la forte demande d’“habitat préféré” et le faible niveau de substituabilité entre actifs permettent d’avoir un impact sur les prix, tout en limitant possiblement les retombées sur l’économie. Le chapitre 3 suggère que l’effet des achats de titres passe également si ce n’est en premier lieu par l’augmentation du coût d’emprunt de ces titres, ce qui a des répercussions sur la dispersion des taux du marché monétaire à court terme et pourrait rendre difficile à l’avenir la transmission de la politique monétaire conventionnelle si les taux autrefois considérés comme sans risque et contrôlables par la banque centrale ne pouvaient pas être contrôlés aussi précisément qu’auparavant. / The three chapters contained in this PhD thesis aim at contributing to a better understanding of how unconventional monetary policies and in particular asset purchases affect asset prices. As such, they also revisit the question of the impact of bond supply on bond prices, and more broadly the questions of limits to arbitrage, frictions in portfolio reallocation and the role of intermediaries. Each chapter brings new original data to quantify the effect on bond prices, on the short term rates, and on the portfolio reallocation of investors. Chapter 1 built a simple portfolio model allows to think of them in a consistent framework, and suggests that the type of asset purchased, the degree of risk aversion or how assets covary are important. The empirical exercises confirm the existence of several transmission channels to prices and assess the impact of the European APP. Chapter 2 sheds a new light on portfolio rebalancing in terms of asset classes and shows it is more limited than previously thought. Heavy frictions to reallocation, strong “preferred habitat” demand and low level of substituability between assets allow for price impact of central bank asset purchases but at the same time possibly limit the spillovers on the economy. The main channel through which APP affects price might be even be more indirect that one thought: chapter 3 suggests that it might come from reducing asset supply and increasing the cost of borrowing them. This has repercussions on the dispersion of short term money market rates and might be challenging in the future if rates once considered as risk free and controllable by the central bank cannot be controlled as precisely as before. In other terms, controlling the long end of the yield curve might in part comes at the cost of loosing part of the control on the short end.

The main goal of this thesis is comparison of FEDs monetary policy in times of Great Depression and financial crisis 2007 -- 2009. Both of them began when the speculative bubble burst (in the first case it was in stock market, in the second one it occurred in real estate market). The effect of speculative bubbles bursting had very negative impact on global economic system. The FEDs monetary reaction to the both crises was very different. It differentiates in many aspects -- in times of Great Depression FED acted passive -- did not provide large open market purchases, did not lowered the interest rate quick enough to avoid the money stock fall-down. In current crisis, FED did not repeat mistakes made during Great Depression. In response to the market pressure, FED created several unconventional tools to support liquidity of depository institutions, primary dealers and commercial paper market. Via these new-invented programs, FED did not allow the money stock to fall and as the financial strains eased, they slowly disappeared. Besides these liquidity programs, FED supported economy with fast interest rate lowering and providing quantitative easing. Steps taken by FED helped to stabilize financial markets.

Non-standard Monetary Policy Instruments of Central Banks Abstract The aim of this study is to analyze non-standard monetary instruments of central banks and their impact on the example of concrete use of these instruments by the Czech National Bank and the European Central Bank. The first part of this study defines the essence, the implementors, the tasks, and the objectives of the monetary policy. Its tools are also disassembled, both standard and nonstandard. From non-standard instruments, closer attention is paid to the theoretical definition of quantitative easing, negative interest rates and long-term maintenance of the exchange rate commitment. I also deal with the legal anchor, organization, purpose, history, and concept of the monetary policy of two selected central banks, namely the CNB and the ECB. The next part of the study presents the concrete form of non-standard measures used by the CNB and the ECB, it deals with the specific reasons that the central banks led to their implementation, the objectives with which they were adopted and the impact these measures had on the Czech economy and the euro area. Based on the analysis, it is possible to confirm the tested hypothesis that the Czech National Bank and the European Central Bank have succeeded in meeting the objectives set before their...

The thesis deals with relation between central bank independence and accountability. The relation is examined on example of quantitative easing implemented in the period 2005 - 2016 by the European central bank and the Federal Reserve System. From the theoretical and practical point of view the thesis proves that the relation between central bank independence and accountability are influenced by the specification of targets of monetary policy to a great extent. The thesis also proves that the specific definition of both central bank independence and accountability influenced the characteristics of quantitative resp. credit easing. Moreover, such monetary policy can potentially endanger the independence of both central banks in many ways. Thus, the implementation of quantitative easing itself and its potential consequences evidences that the contemporary conception of central bank independence and accountability is insufficient and needs to be reviewed.

在面臨2008年金融危機後嚴峻之需求面衝擊下，多國央行紛紛調降利率，甚至調降至零利率，以期望國家能盡速脫離經濟衰退。在利率調降的過程中，由於受零利率下限的限制，單純藉由傳統貨幣政策之調控，仍可能無法使經濟從嚴峻的需求面衝擊下恢復。因此，非傳統貨幣政策也在美國、日本、英國、歐元區等國家被央行所採行做為對抗經濟衰退的政策工具。在此背景下，我們想了解如何實施最適非傳統貨幣政策。 在最適貨幣政策理論發展中，最適傳統貨幣政策發展較早，因此也較為完備。而在最適非傳統貨幣政策方面，前瞻指引(forward guidance)這項政策工具已被引入最適理論中來進行討論，但量化寬鬆(quantitative easing)直至今日還未被引入最適理論中來討論。 因此，本文建構一個封閉的新興凱因斯模型(New Keynesian)，開創性的將量化寬鬆引入最適貨幣政策理論中，來討論最適傳統與非傳統貨幣政策，也藉此與過去文獻比較施行量化寬鬆與未施行量化寬鬆之影響。 / After financial crisis occurred in 2008, countries, such as United States of America, United Kingdom, Japan and the euro area, have been mired in slow economic growth, compared with long-term, and have confronted with severe negative demand shocks which can’t be offset by zero interest-rate policy. Under the circumstance where zero lower bound was present, unconventional monetary policy was implemented by central bank of each country to end up the economic recession prospectively. As a result, we are interested in how to implement optimal unconventional monetary policy. The literatures regarding implementing conventional optimal monetary policy under demand shock were developed maturely. Forward guidance, one of unconventional monetary policy, was already developed in field of optimal monetary policy under impacted by demand shock, but quantitative easing has not been conducted in the theory of optimal monetary policy so far. Thus, we construct a close-economy by New Keynesian model to conduct quantitative easing into the theory of optimal monetary policy to discuss the optimal conventional and unconventional monetary policy, and to compare the difference corresponding to the previous literatures which without quantitative easing.

The aim of this thesis is to show how the unconventional monetary policy rounds of Quantitative Easing introduced in the United States between 2008 and 2014 have led to an increase in wealth inequality. The need for the thesis arises due to the uncharted nature of QE and because of more and more information is surfacing to light which points to this connection. By analysing the distribution of these funds and adding it to the then base distribution of money supply, this study was able to determine a significant 10 % increase in the Gini Index. Furthermore it highlights how a large portion of wealth was transferred from the middle class over to the top 5 % income households. Starting from a set of assumptions the calculation is performed by extrapolating the data required and by isolating the system from any external variables. The result is a theoretical model meant to describe the mechanism that links Quantitative Easing to wealth inequality. Moreover a detailed comparison is provided with the effect of a conventional monetary policy such as Open-Market Operations. Finally solutions to this issue are being discussed from economical, political and fiscal standpoints.