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.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0100265504 |
| Creators | 寇菲力 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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