| Summary: | 碩士 === 國立屏東商業技術學院 === 不動產經營系(所) === 99 === This paper examines the relationship between macroeconomic and real assets (house) and
financial assets (stocks), discussion difference in the impacts of monetary policy on house
and stock, using the recursive VAR and structural VAR. The model is estimated for
Taiwan, using quarterly data from 1993Q1 to 2010Q2. The empirical results displayed that
house prices from responding contemporaneously to monetary policy shocks is statistically
significant positive relationship, this may be due to increase in the cost of borrowing for
the construction company or investors, the partial costs into the consumer. This will lead to
cost driven housing price rise. However, besides the influence its own on house price,
interest rate contributes around 3.83% of housing variation, but this influence will be
reduced gradually. Studies reveal that the impact of monetary policy shocks on the housing
market the largest impact in the current period. The contemporaneous impacts of monetary
policy on stock price is negative but not statistically significant relationship. The results
show that monetary policy effects on different types of assets will produce a different
response.
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