中國與鄰近經濟體資本市場的連結日益加深，中國的崛起開始被亞洲乃至全球視為合理且重要的傳導管道。本研究以中國貨幣政策跨境角度探討新興與先進經濟體之資本市場的長期關係。研究假設中國貨幣政策經政策變數M2和重貼現率(RR)的單一渠道或混合渠道外溢傳導至其他經濟體，成為股票和債券市場的長期驅動力。本研究採取優於傳統的傅立葉函數共整合檢定來證明此論點。實證結果顯示中國貨幣政策對新興經濟體股市扮演強而有力的重要作用，但僅限於新興經濟體，對於先進經濟體的證據尚顯薄弱。另發現中國貨幣政策對全球十七個經濟體的債券市場之間有顯而易見的密切外溢效應。本研究成果可清楚了解中國貨幣政策的傳導機制與範圍，這有利於當局進行審慎評估、適時調整市場政策，對維護資本市場穩定具重要意義。

China’s connections with neighboring capital markets are deepening, and China’s rise is beginning to be seen as a reasonable and important transmission channel in Asia and even the world. This thesis explores the capital markets of Newly Developed and Emerging Economies (NDEE) and advanced economies from the perspective of the long-term cross-border correlation of China's monetary policy. The empirical setting propases that spillover effect of China's monetary policy can be transmitted to these economies through hybrid or single channels monetary policy variables M2 and rediscount rate (RR). It may become a long-term driving force in the stock and bond markets. We use a Fourier function cointegration test method that is better than traditional cointegration to prove this argument. The results of the paper show that China's monetary policy plays a significant and important role in the stock market, but it is limited to NDEE economic markets, and the evidence for advanced economies is very weak. We also found that there is a close connection between China's monetary policy and the bond markets of seventeen economies around the world, which has also produced clear spillover effects. This research results can clearly let us understand the transmission mechanism and scope of China's monetary policy, which is helpful for the authorities to conduct prudent assessments. It is of great significance by role to adjust market policies in a timely manner to maintain the stability of the capital market.

Table of contents
論文審定書i
致謝ii
摘要iii
Abstractiv
1. Introduction 1
2. Literature Review 7
2.1. Economic issues 7
2.1.1. China’s monetary policy reform history 7
2.1.2. China’s monetary policy variables 11
2.1.3. Theoretical basis of monetary policy transmission mechanism 14
2.1.4. Theoretical basis of monetary policy spillover effects 19
2.1.5. Bond market 22
2.2. Econometrics issues 24
2.2.1. Unit root test 25
2.2.2. Spurious regression 27
2.2.3. Traditional cointegration 29
2.2.4. Cointegrated with structural changes 31
3. Methodology 35
3.1. Test for cointegration in models with a Fourier-form break 35
4. Empirical model and data 44
4.1. Empirical model 44
4.2. Data and variables 48
5. Empirical analysis 52
5.1. Measuring cointegration of structural changes in NDEE 52
5.2. Testing the spillover effect of China’s monetary policy on the NDEE bonds market 63
5.3. Detect the spillover effect of China’s monetary policy on advanced economies’ bond markets with Fourier-form break cointegration test 82
5.4. Robustness test of substitution variables 89
6. Conclusion 94
References 108

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