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Full-Text Articles in Social and Behavioral Sciences

Three Essays On The Impacts Of China’S Monetary Policy, Shen Chen Dec 2018

Three Essays On The Impacts Of China’S Monetary Policy, Shen Chen

Dissertations

China has experienced high speed of economic growth, trying to catch up with the developed countries. Monetary policy has played a more and more important role in China. This dissertation studies the impacts of China's monetary policy on China's housing market, stock market, and China's economic growth.

The first essay examines macroeconomic determinants of China's housing price by constructing a VAR model. Granger Causality tests, impulse response functions and variance decompositions are used to analyze the impacts of macroeconomic factors on the housing price. By using the monthly data from 2005 to 2015, the results show ...


Three Essays On Asset Price Bubbles, Frank Ofori-Acheampong Jun 2018

Three Essays On Asset Price Bubbles, Frank Ofori-Acheampong

Dissertations

This dissertation examines various issues associated with asset price bubbles. In the first essay, a Markov regime-switching model with time-varying transition probabilities is developed to identify asset price bubbles in the S&P 500 Index. The model nests two different methodologies; a state-dependent regime-switching model and a Markov regime-switching model. Three bubble regimes are identified; dormant, explosive, and collapsing. Time-varying transition probabilities are specified for each of the nine possible transitions in the Markov regime-switching model. Estimation of the model is done using conditional maximum likelihood with the Hamilton filter. Results show that transition probabilities depend significantly on trading volume and relative size of the bubble. Overall, the model ...