Three Essays on the Behavior of Monetary Policy PDF Download
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Author: Michael T. Owyang
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 300
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Author: Michael T. Owyang
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 300
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Author: Xu Zhang
Publisher:
ISBN:
Category :
Languages : en
Pages : 138
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This dissertation studies the identification of monetary policy and the effects of monetary policy on the macroeconomy. Chapter 1 provides a new methodology to identify monetary policy shock. Federal Reserve announcements contain information about both economic fundamentals and monetary policy. My paper proposes to disentangle the information effects using Federal Reserve's forecasts about the macroeconomy and constructs a new measure of monetary policy shocks. The new shock series is consistent with the traditional view. Chapter 2 investigates the effects of unconventional monetary policy when the nominal interest rate reaches the zero lower bound. There are two types of monetary policy, i.e. forward guidance and large-scale asset purchases. I identify the separate contributions of each monetary policy shock to the effects on yield curve and macroeconomy. Chapter 3 studies the effects of monetary policy on the household behavior. I look at how households with heterogeneous balance sheet composition would make their decisions in response to monetary policy interventions, and to what extent and this could affect the aggregate economy. I provide empirical analysis using household-level data, and document empirical stylized facts that can be used to evaluate different theoretical transmission channels of monetary policy.
Author: David B. Gordon
Publisher:
ISBN:
Category : Monetary policy
Languages : en
Pages : 182
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Author: Kemal Burak Bekircan
Publisher:
ISBN:
Category : Dollar, American
Languages : en
Pages : 238
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This dissertation develops three essays on safe haven currency behavior and international monetary interactions. Essay one notes the dramatic appreciation of the U.S. dollar vis-à-vis all world currencies, along with its reversal after a year on the account of the Great Recession. This paper investigates bilateral U.S. dollar exchange rate movements during and in the aftermath of the Great Recession. I find that increasing global market uncertainty has a significant and consistent effect in strengthening of the U.S. dollar. This striking finding suggests flight-to-safety phenomenon of foreign investors, and repatriation of capital flows to the United States by the U.S. investors during and after the last financial crisis. This essay also demonstrates that global investors consider the 3-month and 1-year T-bill, the 5-year T-note, and the 20-year T-bond as the strongest safe haven instruments that can be bought and sold in U.S. dollars. In essay two, it is noted that existing literature assumes that the euro is a safe haven currency but there is no evidence whether it actually behaves as a safe haven. This essay studies the validity of the safe haven hypothesis for the euro. A safe haven currency works as a hedge in the face of extreme market uncertainty. The results of this research imply that the euro is a safe haven currency if the market uncertainty originates in the U.S. market. I show that there is no significant evidence to suggest that the euro serves as a safe haven currency if the uncertainty originates in the Euro-area. From the standpoint of world investors, however, this paper does not find any Euro-area safe haven asset (other than cash) using the EURO STOXX 50 Index as a measure of uncertainty. Essay three studies whether the European Central Bank or the Federal Reserve have an influence on monetary policy implementations of each other and other major industrialized countries since the advent of the euro. I find that the Federal Reserve causes an endogenous monetary policy response in the Euro-area, and in other non-US G7 countries, with the exception of Japan, during the conventional monetary policy period of the post-euro era. I also show that exogenous Euro-area conventional monetary policy innovations cause foreign monetary policy endogeneity in Canada and the UK, but do not cause similar endogeneity in the US and Japan. I define foreign monetary policy endogeneity as the reaction of G7 monetary authorities (that persists for at least two time periods) following a monetary policy innovation of the other. The results of this chapter further reveal that, with respect to the G7 economies, U.S. unconventional monetary policy shocks induce endogenous policy reactions only in Japan during the Great Recession and its aftermath. Unconventional monetary policy innovations by the European Central Bank, instead, lead to a response by the monetary authorities of Japan, the UK, and the US.
Author: Andrea Tambalotti
Publisher:
ISBN:
Category :
Languages : en
Pages : 227
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Author: Thomas Lauback
Publisher:
ISBN:
Category :
Languages : en
Pages : 186
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Author: Matthew Schaffer
Publisher:
ISBN: 9780438170032
Category : Electronic dissertations
Languages : en
Pages : 135
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Author: Karl David Boulware
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 177
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This dissertation is composed of three essays that measure the impact of monetary policy on non-bank credit activity by issuer, composition, and duration. The first essay measures the dynamic impact of monetary policy on gross repurchase agreement activity of primary government dealers of the Federal Reserve System. The second essay measures the dynamic impact of monetary policy on commercial paper activity. The third essay measures the impact of monetary policy on issuers of asset-backed securities. In the first essay, we find a positive shock to the federal funds rate significantly affects the level of credit activity. In particular, repo arrangements longer than a day display persistent declines. By comparison, overnight financing increases after a delay. This implies that contractionary monetary policy shocks lead to maturity substitution in the repo market. Our findings show that credit activity in the repo market is more sensitive to monetary policy than previously reported in the literature. In the second essay, our measure of contractionary monetary policy shocks corresponds to a sharp decline in money market mutual fund assets. Though there is an increase in aggregate commercial paper volumes, the impact of monetary policy is stronger for issuers with less liquid balance sheets. Specifically, issuers of asset-backed paper and issuers with second tier credit ratings. Furthermore, there is evidence of a broad substitution towards shorter maturities, in particular for asset backed and nonfinancial paper. In the final essay, we find that an anticipated increase in the target for the federal funds rate impacts the behavior of ABS issuers. In particular, we find commercial paper issuance rises while bond issuance falls. Consequently, our results support the existence of a liquidity risk channel for monetary policy operating through the total supply of non-bank credit activity. In this manner, our findings indicate the monetary transmission mechanism contributes to systemic risk in the shadow banking system through rollover risk. As a result, non-bank credit activity is an important component of the relationship between monetary policy and financial stability.
Author: Kyuil Chung
Publisher:
ISBN:
Category :
Languages : en
Pages : 228
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Author: Jiri Woschitz
Publisher:
ISBN:
Category :
Languages : en
Pages :
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