Dissertations / Theses on the topic 'Effect on monetary policy'
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Jalil, Munir Andrés. "Essays on the effect of information on monetary policy /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2004. http://wwwlib.umi.com/cr/ucsd/fullcit?p3144340.
Full textSecchi, Alessandro. "Heterogeneous Effects of Monetary Policy." Doctoral thesis, Universitat Pompeu Fabra, 2005. http://hdl.handle.net/10803/7425.
Full textIn the third chapter we focus on a specific dimension along which the presence of heterogeneities in the balance sheet structure may induce different responses to a monetary policy action. In particular we address the existence of a channel of transmission of monetary policy, the cost-channel, that operates through the effect of interest expenses on the marginal cost of production. Such a channel is based on an active role of net working capital (inventories, plus trade receivables, less trade payables) in the production process and on the fact that variations in interest rate and credit conditions alter firms' short-run ability to produce final output by investing in net working capital. It has been argued that this mechanism may explain the dimension of the real effects of monetary policy, give a rationale for the positive short-run response of prices to rate increases (the "price puzzle") and call for a more gradual monetary policy response to shocks. The analysis is based on a unique panel, that includes about 2,000 Italian manufacturing firms and 14 years of data on individual prices and interest rates paid on several types of debt. We find robust evidence in favor of the presence of a cost-channel of monetary policy transmission, proportional to the amount of working capital held by each firm and with a size large enough to have non-trivial monetary policy implications.
The empirical analysis of chapter three is based on the hypothesis that the type of heterogeneity that produces different firm level responses to an interest rate variation is well defined and measurable. On the contrary, most of the empirical literature that tests for the existence of heterogeneous effects of monetary policy on firms' production or investment choices is based on an ad hoc assumption of the specific firm level characteristic that should distinguish more sensitive from less sensitive firms. A similar degree of arbitrariness is adopted in selecting the number of classes of firms characterized by different responses to monetary policy shocks as well as in the selection of the cutoff points. The objective of chapter four is to apply a recent econometric methodology that building on data predictive density provides a well defined criteria to detect both the "optimal" dimension along which analyze firms' responses to monetary policy innovations and the "optimal" endogenous groups. The empirical analysis is focused on Italian manufacturing firms and, in particular, on the response of inventory investment to monetary policy shocks from 1983 to 1998. The main results are the following. In strike contrast with what is normally assumed in the literature in most of the cases it turns out that the optimal number of classes that is larger than two. Moreover orderings that are based on variables that are normally thought to be equivalent proxies for the size of the firm (i.e. turnover, total assets and level of employment) do not lead neither to the same number of groups nor to similar splitting points. Finally even if endogenous clusters are mainly characterized by different degrees of within group heterogeneity, with groups composed by smaller firms showing the largest dispersion, there also exist important differences in the average effect of monetary policy across groups. In particular the fact that some of the orderings do not show the expected monotonicity between the rank and the average effect appears to be one of the most remarkable aspects.
Yie, Myung-Soo Froyen Richard T. "The term structure and cost channel effect of monetary policy." Chapel Hill, N.C. : University of North Carolina at Chapel Hill, 2007. http://dc.lib.unc.edu/u?/etd,1173.
Full textTitle from electronic title page (viewed Mar. 27, 2008). "... in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the Department of Economics." Discipline: Economics; Department/School: Economics.
Macalagh, Constance. "Effect of Monetary Policy Announcements on Stock Prices in South Africa." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/30467.
Full textSamate, Ireen Nunsa. "Effect of monetary policy rate announcements on stock prices in Zambia." Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/27478.
Full textQuaresma, Gonçalo Dias. "Monetary policy easing and non-keynesian effects of fiscal policy." Master's thesis, Instituto Superior de Economia e Gestão, 2021. http://hdl.handle.net/10400.5/21777.
Full textThis paper assesses the possible contribution of monetary expansions for the existence of expansionary fiscal consolidations, using annual panel data for 14 European Union countries over the period 1970-2019. The paper adopts a two-fold approach: it combines the usual CAPB approach used to identify fiscal consolidations with the narrative approach, and extends this approach to include dummy variables for identifying monetary expansions. A fiscal consolidation couple with a monetary expansion does produce little evidence of non-Keynesian effects, thus, monetary expansions does not contribute for the existence of expansionary fiscal consolidations. Moreover, Panel Probit estimations suggest monetary developments even contribute negatively for success of fiscal consolidations. For other success variables, duration and size contribute in a positive way and expenditure based consolidations lead to a decrease in debt to GDP ratio.
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Yarmukhamedov, Farkhod. "Monetary versus Fiscal policy: which combination gives the highest growth performance?" Thesis, KTH, Samhällsekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-77470.
Full textPerruchoud, Alexander. "Swiss monetary policy rules, effects, and indicators." Berlin dissertation.de, 2007. http://d-nb.info/987389912/04.
Full textPerruchoud, Alexander. "Swiss monetary policy : rules, effects, and indicators /." Berlin : dissertation.de, 2008. http://www.gbv.de/dms/zbw/558704808.pdf.
Full textUhlenbrock, Birgit. "Disaggregate effects of monetary policy in Germany /." Bonn : [s.n.], 2004. http://aleph.unisg.ch/hsgscan/hm00130088.pdf.
Full textLee, Yongdae. "Essays on international effects of monetary policy." Thesis, Durham University, 2017. http://etheses.dur.ac.uk/12024/.
Full textLartey, Emmanuel K. K. "Capital inflows, Dutch disease effects, and monetary policy." Thesis, Boston College, 2006. http://hdl.handle.net/2345/51.
Full textThesis advisor: Peter N. Ireland
This dissertation consists of three essays on Dutch disease effects of capital inflows in emerging market economies. In chapter one, I develop a twosector dynamic, stochastic, general equilibrium model of a small open economy, incorporating an investment technology that utilizes both domestic and foreign capital, and show that as capital inflow increases, tradable sector output increases initially but later contracts as output of the nontradable sector expands in response to an increase in consumption of nontradables. The increase in nontradables consumption causes the relative price of nontradables to rise, thereby exerting pressure on the real exchange rate to appreciate. The model is consistent with features of the business cycle in emerging market economies that were recipients of capital inflows. Chapter two investigates the question of whether capital inflows cause the real exchange rate to appreciate, and whether different forms of capital inflow have variable effects on the real exchange rate. I use panel data for a group of sub-Saharan African countries to estimate a dynamic real exchange rate model specifying a set of capital inflow variables. The results reveal that increases in foreign direct investment and, especially official aid cause the real exchange rate to appreciate. Chapter three develops a monetary version of the model in the first chapter, with monopolistic competition and sticky prices in the nontradable sector. I examine the roles and welfare implications of a set of monetary policy rules in a small open economy that is susceptible to the Dutch disease. The results show that Dutch disease effects occur under a fixed nominal exchange rate regime, mimicking the dynamics in economies that pegged the nominal exchange rate during episodes of capital inflow; whereas Taylor-type interest rate rules featuring either the real exchange rate or the nominal exchange rate avert Dutch disease effects. Welfare results reveal that the optimal rule is a generalized Taylor rule consistent with nominal exchange rate flexibility
Thesis (PhD) — Boston College, 2006
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
Chung, Joonho. "Empirical study on the effects of monetary policy on the exchange rates : the role of uncertainty in monetary policy /." free to MU campus, to others for purchase, 1998. http://wwwlib.umi.com/cr/mo/fullcit?p9901229.
Full textChen, Tao. "The Effect of Chinese Monetary Policy on Banking During the Global Financial Crisis." Universität Potsdam, 2013. http://opus.kobv.de/ubp/volltexte/2013/6866/.
Full textKUHBIER, SIMON, and HESARI PEYMAN SAFARI. "Is the Effect of Monetary Policy Asymmetric? A Study on Swedish Household Debt." Thesis, KTH, Skolan för industriell teknik och management (ITM), 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-224875.
Full textBenkhodja, Mohamed Tahar. "Essays on Monetary Policy in an Oil Exporting Economy." Thesis, Lyon 2, 2012. http://www.theses.fr/2012LYO22008.
Full textThe aim of this thesis is to analyze the impact of external shocks on oil exporting economies and the role of monetary policy in this context. It consists of three essays. In the first essay, we build a Multi-sector Dynamic Stochastic General Equilibrium (DSGE) model to investigate the impact of both windfall (an increase in oil price) and boom (an increase in oil resource) on an oil exporting economy. Our model is built to see if the two oil shocks (windfall and boom) generate, in the same proportion, a Dutch Disease effect. Our main findings show that the Dutch disease effect under its two main mechanisms, namely spending effect and resource-movement effect, occurs only in the case of flexible wages and sticky prices, when exchange rate is fixed. We also compare the source of fluctuations that leads to a strong effect in term of de-industrialization. We conclude that the windfall leads to a stronger effect than a boom. Finally, the choice of flexible exchange rate regime helps to improve welfare.In the second essay, we estimate, by using the Bayesian approach, a DSGE model for Algerian economy investigating the dynamic effect of four external shocks (oil price, real exchange rate, international interest rate and foreign inflation), and examining the appropriate monetary policy rule. Our main findings show that, over the period 1990Q1-2010Q4, core inflation target is the best monetary rule to stabilize both output and inflation. In the third essay, we investigate the impact of the recent increase of oil price on a small open oil exporting economy. For this, we estimate a Dynamic, Stochastic, General equilibrium (DSGE) model for some oil producing countries using the Bayesian approach. We consider, in this essay, a sample of 16 oil exporting countries (Algeria, Argentina, Ecuador, Gabon, Indonesia, Kuwait, Libya, Malaysia, Mexico, Nigeria, Oman, Russia, Saudi Arabia, United Arab Emirates, and Venezuela) over the period from 1980 to 2010, except for Russia where our sample begins in 1992. In order to distinguish between high-dependent and low-dependent countries, we use two indicators : the ratio of fuel exports to total merchandise exports and the ratio of oil exports to GDP. We estimate the median for each ratio on our 16 studied countries. Countries above (below) the median are considered as high (low) oil dependent economies. We verify if the first group is more sensitive to the Dutch disease effect. We also assess the role of monetary policy. Our main findings show that in the first sample, namely high oil dependant economies, 6 countries are affected by the Dutch disease (decrease in the manufacturing production). Low oil dependant countries, are less affected by the fluctuation of oil price. Indeed, only one country has suffered a Dutch disease effect after the shock. Nevertheless, Regarding the appropriate monetary policy rule, we find that both inflation targeting and exchange rate rules may be effective to contain the size of the Dutch disease effect. Our results suggest that in Algeria and Saudi Arabia, inflation targeting offers better performances. We observe the opposite in Gabon, Kuwait, Oman, and Venezuela. Such results are consistent with economic theory. Indeed, we see that in more open economies and smaller countries (in terms of economic size), the exchange rate rule is preferable to inflation rule. Venezuela seems an exception. Such country does not fulfill the traditional criteria favoring the choice of the exchange rule. In fact, this exception is only apparent. First, if we consider the volatility, we see that Venezuela is among the most volatile economy. Second, Venezuela suffers from a fiscal dominance effect: both inflation rate and fiscal deficit are the highest relative to other studied countries
Lindé, Jesper. "Essays on the effects of fiscal and monetary policy." Doctoral thesis, Handelshögskolan i Stockholm, Samhällsekonomi (S), 1999. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-645.
Full textDiss. Stockholm : Handelshögsk.
Lindé, Jesper. "Essays on the effects of fiscal and monetary policy /." Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1999. http://www.hhs.se/efi/summary/507.htm.
Full textBoroditskaya, Tatiana. "The Execution and Effects of Monetary Policy in Russia." Thesis, Lancaster University, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.514446.
Full textDhankhar, Rashmi. "Effects of expansionary monetary policy shocks on financial variables." Thesis, Manhattan, Kan. : Kansas State University, 2010. http://hdl.handle.net/2097/3517.
Full textLee, Young Koo. "Macroeconomic effects of monetary policy and oil price changes /." free to MU campus, to others for purchase, 1996. http://wwwlib.umi.com/cr/mo/fullcit?p9841213.
Full textMoleka, Elvis Musango. "Inflation dynamics and its effects on monetary policy rules." Thesis, University of Bath, 2015. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.687344.
Full textYoo, Jae Soo. "Monetary superneutrality and monetary policy effects in post-war economies : a bivariate long-memory approach /." free to MU campus, to others for purchase, 2000. http://wwwlib.umi.com/cr/mo/fullcit?p9974704.
Full textQuitzau, Nina. "Swiss monetary policy analyzing the liquidity effect through VAR models and a DSGE model." Berlin dissertation.de, 2005. http://www.dissertation.de/buch.php3?buch=5031.
Full textQuitzau, Nina. "Swiss monetary policy : analyzing the liquidity effect through VAR models and a DSGE model /." Berlin : dissertation.de, 2007. http://www.dissertation.de/buch.php3?buch=5031.
Full textMannerson, Ludvig. "ECB and U.S Monetary Policy Spillovers to Sweden: : Transmissions Channels and the Effects of Central Bank Information Bias/Unconventional Monetary Policy." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-447909.
Full textWangpichayasuk, Kevalin. "Asymmetric effects of monetary policy shocks a case study of Thailand /." Bangkok : Faculty of Economics, Thammasat University, 2001. http://catalog.hathitrust.org/api/volumes/oclc/49194232.html.
Full text"A thesis submitted in partial fulfillment of the requirement for the degree of Master of Economics (English Language Program), Faculty of Economics, Thammasat University, Bangkok, Thailand, May 2001." Includes bibliographical references (leaves 86-90).
Rannenberg, Ansgar. "Explaining medium run swings in unemployment : shocks, monetary policy and labour market frictions." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/974.
Full textNikolic, Marko, and Miriam Homsi. "Negative Interest Rates Effect Economic Stability." Thesis, Mälardalens högskola, Akademin för ekonomi, samhälle och teknik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-40911.
Full textDa, Silva Rocha Manuel Duarte. "The aggregate and sectoral effects of monetary policy in Portugal." Thesis, University of Oxford, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.439740.
Full textBARBOZA, RICARDO DE MENEZES. "THE EFFECTS OF UNCERTAINTY ON ACTIVITY AND MONETARY POLICY IN BRAZIL." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2017. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33170@1.
Full textThis work has a dual purpose. First of all, we investigate the effect of uncertainty on economic activity in Brazil. In order to do that, we construct several proxies which seek to capture the uncertainty level prevailing in Brazil (domestic uncertainty) and in several of our major trading partners (external uncertainty). Next, we estimate vector autoregressive (SVAR) models, in line with Baker, Bloom and Davis (2016). The results suggest that uncertainty has, in fact, contractionary effects on the activity in Brazil. Second, we study the effect of uncertainty on effectiveness of monetary policy in Brazil. Thus, we make use of interacted vector autoregressive (IVAR) models, as proposed by Aastveit, Natvik and Sola (2013), estimated, however, by Adaptive LASSO. Our estimates do not corroborate the hypothesis that under high uncertainty the effects of monetary policy on the activity are lower than under low uncertainty.
Sun, Yunpeng. "Essays on the effects of monetary policy in China and Japan." Thesis, University of Portsmouth, 2018. https://researchportal.port.ac.uk/portal/en/theses/essays-on-the-effects-of-monetary-policy-in-china-and-japan(c899ef91-0feb-4bfa-9f09-3a2a7aeda042).html.
Full textMarra, Lauren J. "The Effects of Unconventional Monetary Policy on Asset Prices Across Markets." Thesis, Boston College, 2012. http://hdl.handle.net/2345/2609.
Full textWith interest rates stuck near zero for the foreseeable future, the Federal Reserve has had to employ numerous unconventional monetary policy measures in an attempt to stimulate an economy in the after math of the worst economic downturn since the Great Depression. I assess the usefulness of market-based measures of expectations in gauging the effects of these seemingly extreme policy actions undertaken in an environment of unprecedented fear and uncertainty. I use a principal component analysis to combine a number of asset prices that indicate different types of market expectations; by combining these variables into one single variable indicator, this principal component variable filters out the variance among these similar variables and focuses on the common movements among the variables that can be attributed to a specific market force such as investors’ inflation expectations, overall market risk appetite, and economic growth expectations
Thesis (BA) — Boston College, 2012
Submitted to: Boston College. College of Arts and Sciences
Discipline: College Honors Program
Discipline: Economics
Conti, Antoniomaria. "Essays on Monetary Policy, Low Inflation and the Business Cycle." Doctoral thesis, Universite Libre de Bruxelles, 2017. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/260933.
Full textDoctorat en Sciences économiques et de gestion
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Ding, Yan, and 丁艷. "Measuring the long-and short-run effects monetary policy on real economic activity in China." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40887807.
Full textDing, Yan. "Measuring the long-and short-run effects monetary policy on real economic activity in China." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/B40887807.
Full textFischer, Andreas M. "Money announcements and their effects on asset prices." Thesis, University of Oxford, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.290905.
Full textTaye, Alemayehu Demissew. "Evaluation of Monetary Policy in Ethiopia: An Empirical Study." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-333505.
Full textChang, Wen-Hua, and 張雯華. "The Effect of Monetary Policy on Sentiment Indicators." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/16157159539779405383.
Full text中原大學
企業管理研究所
98
Abstract This research studies the effects of monetary policy on emotional index. By adopting the changes of re-discounted rates, the changes of deposit-reserve rates and open market operations as variables, this study examines monetary effect on VIX, Put Call Ratio, TRIN and Bull Bear Spread by means of ARCH and GARCH(1,1) models, respectively. Besides, the monetary policy is categorized into tight and loose ones, thereby figuring out whether or not different implementation may cause expectation on emotional index for investors. Through ARCH (1) and GARCH (1,1) analyses, the result demonstrated that the decreases of re-discounted rate and deposit-reserve rate could not lower the panic of investors. Under the open market operation, the results of GARCH model showed that the positive significance relationship between short-run repurchase agreement on VIX, This represents that the loose open market operation conversely increases VIX, reflecting that loose monetary policy is not only ineffective, but also causes adverse result. Fed’s long-term open market operation for outright purchase (OR) and outright sell (OS) contributed to the adverse effects on Put Call Ratio by using ARCH and GARCH models, This demonstrates that the loose monetary policy will effectively lower the Put Call ratio. During the period of financial crisis, investors still have confidence in the market; therefore, the Fed’s long-term market operation of OR and OS is an effective monetary tool providing a crucial reference for the adoption of monetary policy for policy makes.
Traverso, Raffaella. "Unconventional monetary policy." Master's thesis, 2014. http://hdl.handle.net/1822/30588.
Full textIn this work, I use data for the US at both quarterly and monthly frequencies and estimate a Bayesian Structural Vector Autoregression (B-SVAR) to assess the macroeconomic impact and the wealth effects of unconventional monetary policy. I show that neither a positive shock to the interest rate spread, nor a positive shock to the central bank s reserves significantly affect the output and the aggregate price level. However, both shocks give a strong boost to asset prices, which is temporary in the case of stock prices and gradual and persistent in the case of housing prices. Thus, the main channel via which unconventional monetary policy operates is through wealth re- allocation: by expanding the size of its balance sheet and purchasing troubled assets, the central bank releases money that economic agents use to increase their exposure to risk by investing in real estate, stocks and long-term debt. Finally, I account for the three rounds of quantitative easing put in place by the Federal Reserve. I show that, if anything, the magnitude and the persistence of the effects are lower in the case of QE2 and QE3.
Neste trabalho, é estimado o impacto macroeconómico e os efeitos riqueza da política monetária não convencional tendo por base dados trimestrais e mensais para os Estados Unidos da América e um Vector Auto-Regressivo Estrutural Bayesiano. Mostra-se que um choque positivo sobre o spread entre a taxa de juro de longo-prazo e a taxa de juro de curto-prazo ou um choque positivo sobre a taxa de crescimento das reservas do banco central não tem um efeito significativo sobre o produto e o índice de preços. Contudo, ambos os choques estimulam fortemente os preços dos activos, sendo o efeito temporário no caso dos preços das acções e gradual e persistente no caso dos preços da habitação. Logo, o principal mecanismo de transmissão da política monetária não convencional opera por via do efeito riqueza: ao expandir o seu balanço e adquirir activos problemáticos, o banco central gera a liquidez de que os agentes económicos necessitam para aumentar a sua exposição ao risco, assim como o seu investimento em habitações, acções e dívida de longo-prazo. Finalmente, é analisado o impacto à luz dos três programas de exibilização da política monetária levados a cabo pela Reserva Federal Americana. Mostra-se que, quando muito, a magnitude e a persistência dos efeitos são menores no caso do segundo e do terceiro programas.
Chao, Chun-Hao, and 趙俊豪. "The Effect of Monetary Policy and Fiscal Policy on the Price Level." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/93706039648502898032.
Full text淡江大學
財務金融學系碩士在職專班
98
The aim of this research is to investigate the dynamic relationship among money supply, government spending and inflation rate. The empirical finding is that the increment of money supply by the expansionary monetary policy will drag up the inflation rate, whereas the expansionary fiscal policy keeps the aggregate price in a comparative stable level. Therefore, this research concludes that when the government decides to implement the expansionary policy in order to increase the GDP, it should adopt fiscal policy rather than monetary policy to avoid the financial crisis caused by the hyperinflation.
Chao, Chih-Wei, and 趙志偉. "Asymmetric Effects of Monetary Policy." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/30842612324589658934.
Full text楊家麟. "Monetary Policy/Fiscal Policy Announcement to the Effect of Exchange Rate Dynamics Adjustment." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/25542111341671578673.
Full textLiap, Jyh Fooh, and 聶志福. "The Credit Channel Of Monetary Transmission And The Growth Effect Of Fiscal And Monetary Policy." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/80312988573885821432.
Full text國立臺北大學
經濟學系
99
This thesis develops an endogenous growth model with a banking system and the reserves market, where the central bank adopts the nominal interest rate rules and affects the overnight loan rate through open market operation. By means of the model, this thesis analyzes the effect on the economy's long-run growth rate of monetary and fiscal policy. To highlight the role of the credit channel of monetary policy transmission, we start with a basic model without the banking system and the reserves market, and obtain traditional results that: (1) the economy's long-run growth rate is immune to changes in the corporate tax rate and the consumption tax rate; (2) personal income taxation has a negative effect on the long-run growth rate. We then show that once the banking system and the reserves market are incorporated into the model, the long-run growth effects of the corporate tax and the consumption tax are no longer nil. Since the behaviors of commercial banks are properly described, the model is able to analyze the effect of changes in the reserve requirement ratio. It turns out that an increase in the reserve requirement ratio negatively affects the economy's long-run growth rate.
Li, YU-Ling, and 李玉玲. "The Effect of Monetary Policy Shock on the Stock Return." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/71628021381338705402.
Full text淡江大學
財務金融學系
87
This study examines whether or not stock return responds asymmetrically to monetary policy shocks using Taiwan''s data form 1978:02 to 1998:12. The importance of this issue is that if monetary policy shocks do effect asset market return, then, according to the theory of asset pricing, monetary policy changes contribute one source to asset systematic risk, and thereby changing investors'' expectations about asset returns and prices. This efforts one possible channel through which monetary policy shocks affect nominal asset return. A generalized autoregressive conditional heteroskedasticity(GARCH) model is utilized to construct the conditional variation of monetary policy changes used to normalize unexpected movements in monetary policy. It is found that stock return responds more to positive monetary policy shocks than to negative shocks. Furthermore, it is indicates that positive normalized shocks have a powerful effect on stock return while negative normalized shocks do not.
Termos, Ali. "Banking structure and the effect of monetary policy on bank lending." 2005. http://www.lib.ncsu.edu/theses/available/etd-08102005-013747/unrestricted/etd.pdf.
Full textLin, Chen-Chao, and 林振造. "The Announcement Effect of Monetary Policy Adjustments on Taiwan Stock Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/54852423469293515482.
Full textLee, Yi-Tan, and 李易潭. "The effect of Fed monetary policy on U.S. industry sector returns." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/76566396663340094825.
Full text國立中正大學
財務金融研究所
99
This study examines the effect of FOMC announcements of Federal funds target rate decisions on U.S. industry sector returns. We find that only the unexpected changes in Federal funds target rate--the surprises--are crucial determinants. We find that, on average, an unexpected 100-basis-point cut in Federal funds target rate leads an about 6.24% increase in the stock market.The stock market responds differently to the reversal decisions and to negative and positive surprises. This study argues that there is significant cyclical variation in the impact of monetary policy shocks on the industry sector returns. Moreover, the reaction of the industry sector returns to the monetary policy shocks is larger in a tight credit market. We document the state’s dependence on the reaction of the industry sector returns, that is, the response is larger in a recession and in a tight credit market (in bad economic times) than in good economic times. Overall, the results are consistent with the credit channel of monetary policy channel.
Hsieh, Pei-Ying, and 謝佩穎. "The Effect of Monetary Policy on the Chinese Bank Liquidity Creation." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/23907784990850505019.
Full text國立臺灣大學
財務金融學研究所
103
In recent years, Chinese government actively implement monetary policy, is nothing more than hope to pull forward the development of China''s economic orientation. The banking sector as a financial intermediary, has a special position and role in the central bank''s monetary policy is passed, the banking industry if a good response of monetary policy, the implementation of its "liquidity creation" function, an important overall environmental impact of today''s China one of the factors. However, although the increase in market liquidity and create liquidity, but also causing bank debt maturity mismatch of assets is more serious, the government for the regulatory bank risk, bank liquidity creation leads to exert the function affected, but to take a more active bypass mode through Chinese-style shadow banking balance sheet items such as trust assets and other ways to create liquidity. Therefore, this combination of three elements: (1) banking sector liquidity creation function, (2) People''s Bank of China monetary policy, (3) the shadow banking factors discussed monetary policy implemented by the central bank through empirical research on China''s banking sector liquidity creation functions are affected, and then the final reaction in the real economy. At the same time, also after joining the shadow banking factors, whether the change will affect the results. Study found that regardless of whether the factors to consider shadow banking, bank liquidity creation functions will be subject to changes in monetary policy arising from changes in the central bank and presented significant negative correlation between the two, the implementation of the central bank to tighten monetary policy, said the bank will liquidity creation effect is reduced, and regardless of the five commercial banks, the national joint-stock commercial banks and city commercial banks are the presence of the same effect, indicating that monetary policy and bank liquidity creation can complement each other to change the market liquidity; the other hand, the paper also confirmed that the central bank the monetary policy will indeed consider the case of commercial banks liquidity creation, especially heavy discount rate and the one-year lending interest rate, and liquidity creation presents significant positive correlation, the greater bank liquidity creation, will make the central bank to tighten monetary policy to prevent the spread of liquidity too.
LIN, CHE-WEI, and 林哲緯. "The Effect of FED Monetary Policy on Bank Profitability in Taiwan." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/g5n66n.
Full text