Date of Award


Document Type


Degree Name

Doctor of Philosophy (PhD)

Committee Member

Dr. Gerald Dwyer, Committee Chair

Committee Member

Dr. Robert Tamura

Committee Member

Dr. Michal Jerzmanowski

Committee Member

Dr. Scott Templeton


The first chapter uses regression based event-study analysis to examine the response of the 30-year mortgage rate to the Federal Reserve's Quantitative Easing (QE) announcements in zero lower bond period. A total of 35 QE announcements from 2008 to 2015 are selected in reference to previous literature and my own discretion. Each announcement is then identified by a certain type and in a QE round. After model validation, the best-fitting IGARCH model with skewed t distribution is used to measure the QE announcement effects on daily changes of the 30-year mortgage rate, the 30-year Treasury rate and the spread between them. Abnormal returns (changes), cumulative abnormal returns and their long-run values of the mortgage rate for each announcement within 1-day, 3-day and 5-day event windows are calculated and reported. In event windows, announcements suggesting the start of a new round of QE reduced the mortgage rate tremendously, while the effects of further news conveying a continuation of the current QE policy diminished. Announcements of an increase in mortgage-backed security purchases decreased the mortgage rate more than the Treasury rate and reduced the credit risk of holding mortgage securities over Treasury securities. Two robustness checks find that the shocks of macro-economy and mortgage rate determinants were trivial in influencing abnormal returns and cumulative abnormal returns of the mortgage rate on average, and the results do not change so much if the model is controlling for the 10-year Treasury rate instead of the 30-year Treasury rate. The second chapter studies the same topic as the first chapter by utilizing the bivariate structural VAR model with recursive restrictions. In the VAR, both the mortgage rate change and the Treasury rate change are endogenous variables, and the QE event dummies are exogenous variables. I find that the responses of the mortgage rate are similar to the results of GARCH model in Chapter 1 with 1-day and 3-day event windows. In addition, the aggregate effects of QE events in different rounds of QE are in line with the results in Chapter 1. Again, the conclusion of the MBS purchase events reducing the mortgage rate more than Treasury rate still holds. From the impulse response analysis, I find that the Treasury rate responds faster to a QE announcement shock than the mortgage rate, this evidence proves the necessity of longer event windows and a recursive relationship between the Treasury rate and the mortgage rate. The third chapter analyzes the effects of the monetary policy on the stock price in China. As suggested by existing literature, there are four major monetary policy instruments used by the People's Bank of China, they are the 7-day repo rate, the 1-year benchmark lending rate, the M2 and the total loan. I run Structural VARs with respect to these four instruments and find the impulse responses of the Shanghai A-share stock index to the monetary policy shocks. I use two different restriction schemes- the short-run Cholesky restrictions and the short-run and long-run combined restrictions for identification. After comparing the results, I conclude that the latter restriction method leads to the better estimation than the former one. In general, a contractionary monetary policy shock cuts the stock price, appreciates the Chinese currency, reduces the output gap, injects deflation and shrinks the commodity price gap. In additional, the “price puzzle” found in the US economy also exists in China.