美國貨幣寬鬆政策與資產價格的探討

The Impact of United States Monetary Quantitative Easing Policy to Asset Prices

陳佑瑄(Yu-Hsuan Chen) ； 林以白(Yi-Pai E. Lin)

《統計與資訊評論》 19卷 (2019/12) Pp. 93-112

摘要

國際經濟近十年受到不少危機的影響，如2007年次級房貸風暴及後續的環球股災等。美國實施貨幣量化寬鬆（Quantitative easing，QE）等政策以增加國內貨幣流量對抗貨幣緊縮並改善國內經濟。本文探討貨幣政策是否影響資產價格及量化寬鬆如何影響資產價格。經由實證來探討上述議題，貨幣政策採用利率及貨幣供給量兩項；而資產價格採用長期利率、美元指數、股票價格與房價指數。先利用迴歸分析探討美國貨幣政策分別對資產價格的同期結構關係與經濟學理論的比較，再利用時間序列分析來考量上述變數之間俱有時間遞延的關係。實證結果顯示，短期利率、貨幣供給額對長期利率、美元指數、標普500指數存在同期影響關係，其中短期利率對長期利率、美元指數與標普500指數呈現正向關係，而貨幣供給額對標普500指數呈現負向關係。

關鍵字

貨幣政策 ； 量化寬鬆 ； 遞迴式VAR ； 衝擊反應函數分析

並列摘要

The international economy has been affected by many crises in the past decade, such as the subprime mortgage crisis in 2007 and the subsequent global stock market crash. The United States implemented policies such as Quantitative easing (QE) to increase domestic currency flows against monetary tightening and improve the domestic economy. This article explores whether monetary policy affects asset prices and how quantitative easing affects asset prices. Through empirical research to investigate the above issues, in this project, monetary policy uses interest rates and money supply and asset prices use long-term interest rates, the US dollar index, stock prices and house prices index. Firstly, using regression analysis to explore the contemporaneous structural relationship of US monetary policy to asset prices, and compare it with economic theory. Then, the multivariate time series analysis is adopted to analysis the structure between monetary quantitative easing policy and the asset prices. The empirical results show that the short-term interest rate and the money supply have an impact to the long-term interest rate, the US dollar index, and the S&P 500 index. The short-term interest rate has a positive relationship with the long-term interest rate, the US dollar index and the S&P 500 index, while the money supply has a negative relationship with the S&P 500 index.

並列關鍵字

monetary policy ； Quantitative easing ； recursive VAR ； impact response analysis