本研究的出發點是想了解基於股市預期的貨幣政策對於資產價格穩定的效果。傳統上，經濟學者的主流觀點認為貨幣政策應忽略股票市場對於總體經濟的影響，貨幣當局無須重視股票市場的波動。但隨著股市波動對經濟的衝擊漸趨嚴重，劇烈的股市波動不僅影響總體需求面與供給面之變化，也讓貨幣當局開始關切股市波動對經濟之衝擊。貨幣當局將面臨的問題是如何解析股票市場波動對貨幣政策的影響。如果存在任何關係，他們要探討納入股票市場因素的貨幣政策對穩定價格的政策效果。
就實證的角度而言，未能了解何種因素所導致的股價波動，會使得政策制定者無法釐清股價波動所傳遞的信息，甚至對於股市狀態的判別。本文引用Ellen and Zwinkels (2010)提出的異質代理者模型(HAM)－基本面信徒與圖表分析信徒，估計代理者對未來股價波動的預期。但本文非著重於探討代理者是存在異質預期之特性，而是透過特定代理者的動態變化，作為研判股市動向的預測信息，並有助於貨幣當局作出適當的貨幣政策立場。基本面信徒與圖表分析者扮演影響股市波動的兩個重要角色。基本面信徒是根據股價偏離股價基本面的程度來產生對於未來的預期，以及圖表分析者是根據過去股價的變動的程度來產生對於未來的預期。其中，基本面信徒比重的變動可視為傳遞股市反轉的訊號；圖表分析者比重的變動可視為傳遞股價趨勢的訊號。
首先，本文探討交易者的股價趨勢預期對貨幣當局在決策貨幣政策之影響。本文的結果符合貨幣政策會考慮總體經濟預測效果的看法，但不同於傳統認為貨幣政策不受股市影響的觀點，本文發現股市泡沫期間(股市危機期間)圖表分析者比重的增加會影響到隨後的利率政策之調降(調升)。主因是貨幣當局正視股價異常波動對總體經濟所產生的衝擊。在泡沫(危機)狀態發生後一年，利率政策出現微幅調升(調降)。但在牛市與熊市狀態期間下，政策制定者所調整的利率政策，卻有助長股價趨勢形成的嫌疑。格蘭傑因果關係檢定的結果指出整體上，股市預期對利率決策的過程所扮演的角色，不僅是提供有關於政策制定者有關未來經濟發展的訊息，也可能是扮演如同影響總體經濟之角色。
本研究進一步以實證觀點探討基於股市預期的貨幣政策在穩定價格的政策效果。當基本面信徒的預期作為利率政策決策的唯一依據時，本文的結果指出有七個國家在股價高估期間採取緊縮性貨幣政策會促使價格下跌回復基本面，或在股價低估期間採取擴張性貨幣政策會促使價格上漲回復到基本面。 甚至，這些國家在未來的6個月內股價對基於股市預期的貨幣政策持續呈現負向反應。此外，在未受到基於基本面信徒預期的貨幣政策所影響的國家中，本論文的調查結果有超過33%比例在未來的3個月內股價對政策作出負向反應。整體而言，基於股市預期的利率政策對價格穩定的政策效果是優於貨幣政策會議中實際調整政策利率所產生的效果。

The present study investigates the effect of stock market expectations-based monetary policy on asset price stability. Theoretically, the most popular viewpoint among economic scholars is that monetary policy should ignores respond to the impact of stock market volatility on macroeconomy, and monetary authorities have not attached importance to the stock market movements. But as the influence of stock market volatility on the real economy deepens, high volatility levels cause changes in overall supply and demand, generating increased concern among monetary authorities about the impact of stock market volatility on the real economy. Monetary authorities will face the challenge of how to analyze the influences of stock market movements for monetary policy as well as how to measure the policy effectiveness of a monetary policy based on stock market movements.
From an empirical perspective, a failure to understand the causes of stock price volatility means that this study cannot establish the information conveyed by stock price volatility, or even identify the market state. The present study uses heterogeneous agent model with fundamentalists and chartists as proposed by Ellen and Zwinkels (2010) to examine the phenomenon of heterogeneous expectations among agents. This study does not focus on the characteristics of the heterogeneous expectations of agents. Instead, this study looks at the dynamic changes of specific agents as prediction information for assessing stock market trends, assisting the monetary authority with taking an appropriate policy stance. In the heterogeneous agent model, the fundamentalists and chartists play two important roles in influencing stock market volatility. Fundamentalists generate expectations for the future based on the level of deviation of stock prices from stock price fundamentals, and chartists generate expectations for the future based on past trends in the stock price. More importantly, the change in the fraction of fundamentalists can be viewed as sending a signal of stock price reversals; the change in the fraction of chartists can be viewed as sending a signal of stock price trends.
Firstly, an experimental study of interaction between interest rate policy and stock market volatility examines the effect that price movement expectations of traders in different stock markets have on monetary authorities when deciding monetary policy. Consistent with the view that monetary policy considers overall economic forecast effects, but in contrast to the traditional view that monetary policy is not subject to the influence of the stock market, the results find that during stock market bubbles (stock market crises), an increase in the fraction of chartists influences subsequent policy decisions to raise (lower) interest rates. This is mainly because monetary authorities are aware of the impact of abnormal stock price volatility on the overall economy. In the year following the occurrence of a bubble (crisis), there were slight decreases (increases) in interest rate levels. However, policymakers’ adjustments of interest rate policy during bull and bear markets may encourage stock price movements. The results of panel data Granger causality test show that the role of stock market expectations in the interest rate decision making processes not only provides policymakers with information about how the economy may perform in the future, but may also play a role in influencing the economy as a whole.
A further investigation for the effect of expectations based on monetary policy develops an empirical approach to measuring the monetary policy effectiveness for price stability based on stock market expectations. When the expectations of fundamentalists are the only basis for interest rate policy decision making, these results in seven countries show that those with an overvalued stock price use tight monetary policy so than the price falls to the fundamental level, and countries with an undervalued stock price use expansionary monetary policy so the price increases to the fundamental level. Furthermore, the stock price in the next six months in these countries continues to show a negative reaction to expectations-based monetary policy. In addition, in countries not subject to the influence of monetary policy based on the expectations of fundamentalists, these survey results showed that within the next three months, in more than 33% of cases, stock prices reacted negatively to policy. In short, the effect of expectations-based interest rate policy on price stability is superior to adjustments in the policy rate by monetary policy committees.

誌 謝 i
摘要 ii
Abstract iv
Table of Contents vii
List of Tables x
List of Figures xii
Nomenclature xiv
CHAPTER 1 Introduction 1
1.1 Background 1
1.2 Literature Review 3
1.2.1 The Interaction between Interest Rate Policy and Stock Market 3
(a) Monetary Policy don’t Respond to Stock Market Volatility 4
(b) Monetary Policy Respond to Stock Market Volatility 6
(c) US. Federal Reserve and Market States 8
1.2.2 The Formation of Agents’ Expectations 8
(a) The Evidence of Heterogeneous Expectations among Agents 8
(b) The Evidence of Heterogeneous Expectations in Stock market 10
1.3 Motives and Objectives 13
1.4 Scope of the Thesis 14
CHAPTER 2 Empirical Strategy 16
2.1 Heterogeneous Agent Model 16
(a) Hodrick–Prescott filter Model 19
(b) Polynomial trend regression 19
2.2 Measuring the Stock Market Trends under Different Stock Market States 20
2.3 Measuring Monetary Policy Strategy based on Stock Market Expectations 24
2.3.1 Measuring the Long-Term Policy Effects on Prices of Monetary Policy based on Fundamentalists 27
2.4 Setting the Hypotheses 28
CHAPTER 3 Empirical Results－Interaction between Stock Market Expectations and Interest Rate Policy 31
3.1 Data Sources 31
3.2 Overview of the Monetary Policy Committee and Interest Rate Policy 33
3.3 Estimated Parameter Values for Heterogeneous Agent Model in 16 Countries 34
3.4 Descriptive statistics 38
3.5 Interaction between Stock Market Expectations and Interest Rate Policy 41
3.6 The Effect of the Fraction of Chartists on Subsequent Interest Rate Policy 43
3.7 Robustness Test 50
(a) Using generalized least squares to estimate the parameters 50
(b) Set other macroeconomic variables as control variables 52
(c) Use an alternative measure of excess returns 57
3.8 The Interaction between Macroeconomic Variables, Forecast Variables for the Macroeconomy, the Fraction of Chartists, and Interest Rate Policy 57
CHAPTER 4 Empirical Results－The Effectiveness of Expectations based Monetary Policy on Stock Prices 69
4.1 Data Sources 69
4.2 Descriptive Statistics 70
4.3 Unit Root Test 72
4.4 Estimated Parameter Values for Heterogeneous Agent Model in 10 Countries 74
4.5 The Policy Effectiveness of Key Policy Rates on Prices 80
4.6 The Policy Effectiveness of the New Measure of Monetary Policy Based on Stock Market Expectations on Prices 84
4.7 Measuring the Long-Term Policy Effects on Prices of Monetary Policy based on Fundamentalists 90
4.8 Robustness Test 98
(a) Bull and Bear Markets 99
(b) Monetary Policy of the United States Federal Open Market Committee 103
CHAPTER 5 Conclusion and Recommendations 108
5.1 Conclusions 108
3.1.1 Interaction between stock market expectations and interest rate policy 109
3.1.2 The effectiveness of expectations based monetary policy on stock prices 110
5.2 Recommendations for future work 111
3.2.1 Interaction between stock market expectations and interest rate policy 111
3.2.2 The effectiveness of expectations based monetary policy on stock prices 111
Reference 113
Appendix A: The frequency of monetary policy committee meetings by month in the sixteen countries between 1996 and 2011 118
Publications 120

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