Download or read book Essays on Conventional and Unconventional Monetary Policies written by Henry Eshemokhai Aviomoh and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Unconventional Monetary Policy written by Cobus Cornelis Vermeulen and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Following the Global Financial Crisis of 2007 { 2010, central banks around the world were forced into unprecedented policy interventions to stabilise asset markets and prevent the global nancial system from collapsing. Because interest rates around the world were at historical lows, \conventional" interest rate policy was not an option. Central banks, led by the US Federal Reserve, resorted to \unconventional" monetary policies, rst to stabilise markets during the height of the crisis, and then to support the economic recovery thereafter. The distinguishing characteristic of these unconventional policies was that they involved direct intervention by central banks in long-term xed income markets, such as government bonds and agency debt. This thesis considers the theoretical channels through which central bank purchases of long-term securities could impact (i) bond yields, (ii) other domestic asset markets, and (iii) spillovers to foreign countries. The theory is then tested and evaluated against the empirical evidence. Based on the empirical results, a simple closed-economy DSGE model is constructed. The model captures and illustrates the transmission from central bank asset purchase shocks to the aggregate economy. The asset purchase shock is subsequently converted to an endogenous balance sheet rule. Simulations show that combining this unconventional (balance sheet) rule with a conventional (short-term interest rate) rule yields a superior policy mix than under the conventional rule alone. Finally, the closed-economy model is extended to an open-economy framework, within which a similar balance sheet rule is evaluated in the context of international capital ows. Again, the combination of the balance sheet and interest rate policy is found to yield a superior outcome than interest rate policy alone. The contribution of this thesis is twofold. It contributes to the understanding of the impact of central bank interventions in xed income markets on long-term yields, as well as the externalities and spillovers to other asset markets. Furthermore, this thesis develops a robust and versatile framework, which is intuitively easy to grasp, within which various aspects of central bank balance sheet policy could be investigated. This thesis' main conclusion is that unconventional monetary policy could complement conventional policy under normal market conditions, and that unconventional policy need not be restricted to crisis times only.

Download or read book Essays on Unconventional Monetary Policies written by Gherardo Gennaro Caracciolo and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Unconventional Monetary Policy written by Adrian Paul and published by . This book was released on 2017 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Monetary Policy and International Finance written by Yi Zhang and published by . This book was released on 2017 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is a collection of three essays focusing on how to measure unconventional monetary policy and how unconventional monetary policy and the zero-lower-bound (ZLB) environment affect the macroeconomy and exchange rates. Chapter 1 shows that the widely used shadow rate is not a sufficiently informative measure of unconventional monetary policy. To better trace out monetary policy innovations and measure the corresponding macroeconomic impact, I develop a new econometric model which not only uses the shadow rate, but also employs forward guidance information contained in survey data on expected lift-off dates. After controlling for expectations about lift-off, I find post-crisis expansionary monetary policy is much more aggressive and effective than that estimated by a standard FAVAR model (Wu and Xia (2016)). Chapter 2 examines the performance of popular exchange rate forecast models against the random walk benchmark. The models are estimated in error correction and first-difference specifications, and evaluated at various forecast horizons (1 quarter, 4 quarters, 20 quarters) using differing metrics (mean squared error, direction of change, and "consistency" test). No model consistently outperforms a random walk, by a mean squared error measure, although purchasing power parity does fairly well. Moreover, along a direction-of-change dimension, certain structural models do outperform a random walk with statistical significance. While one finds that these forecasts are cointegrated with the actual values of exchange rates, the elasticity is usually different from unity. Overall, model/specification/currency combinations that work well in one period will not necessarily work well in another period. Chapter 3 converts unconventional monetary policy measures into equivalent conventional monetary policy measures --- federal funds rate surprises and expected inflation surprises --- and compares the effects of unconventional and conventional monetary policy announcements on the value of the dollar through these two channels. I find that the impact of the federal funds rate surprises on the dollar value has not changed much since the crisis began, but this channel has become irrelevant because the ZLB has eliminated all federal funds rate surprises. The impact of the expected inflation surprises, however, has weakened dramatically compared to the pre-crisis period.

Download or read book Essays on Macroeconomic Policies and Redistribution written by Karen Davtyan and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The general objective of the doctoral thesis is to evaluate the distributive effects of macroeconomic policies. In particular, the thesis assesses the distributional impact of fiscal policy, conventional and unconventional monetary policies. The distributive effect of fiscal policy is examined by analyzing the interrelations among economic growth, income inequality, and fiscal performance based on the evidence from the Anglo-Saxon countries. These interrelations are analyzed jointly in a system by examining also transmission channels among them. All the variables are regarded as endogenous within the framework of the structural vector autoregression methodology. This allows exploring dynamic interactions among the variables and feedback effects on each other through impulse response functions. In addition, the thesis provides new evidence on interrelations among economic growth, income inequality, and fiscal performance by employing the longest possible consistently measured data on income inequality on a country basis. The obtained results show that there are differences in the obtained results for the countries. Particularly, income inequality has negative effect on economic growth in the case of the UK while its effect is positive in the cases of the USA and Canada. The increase in inequality worsens fiscal performance for all the countries. Government spending reduces income inequality in the UK but it raises inequality in the USA and Canada. In addition, the results also indicate that tax revenues generally raise income inequality in all the considered countries. Thus, the measures of the fiscal policy channel are important tools to consider in the design of the policies to decrease inequality. The academic literature generally views fiscal policy as a measure to address growing income inequality, which is a widespread concern nowadays. Although the income distribution could also be affected by monetary policy, the distributive effects of monetary policy have not broadly been discussed in the literature. Taking this into account, the thesis contributes to the discussion in this research area by evaluating the effect of monetary policy on income inequality. The distributional effect of monetary policy is estimated in the case of the USA, where the dynamics in income inequality has mainly been driven by the variation in the upper end of distribution since early 1980's. Consequently, the thesis uses an inequality measure that represents the whole distribution of income. To identify a monetary policy shock, the thesis employs contemporaneous identification with ex-ante identified monetary policy shocks as well as log run identification. In particular, a cointegration relation has been determined among the considered variables and the vector error correction methodology has been applied for the identification of the monetary policy shock. The obtained results indicate that contractionary monetary policy decreases the overall income inequality in the country. These results could have important implications for the design of policies to reduce income inequality by giving more weight to monetary policy. In the wake of the global financial crisis, central banks have generally begun to implement unconventional monetary policy together with conventional policy measures. There are already numerous studies on the impact of unconventional monetary policy measures on financial market as well as on their macroeconomic effect. However, the distributive effect of unconventional monetary policy has not essentially been examined yet. The thesis fills this gap by evaluating the distributive impact of unconventional monetary policy in comparison with the distributional effect of conventional monetary policy. The distributional effects of conventional and unconventional monetary policies are evaluated for the USA. The distributive impact of conventional monetary policy is explored through contractionary policy shocks. At the same time, the distributional effect of unconventional monetary policy is studied via expansionary policy shocks. The obtained results indicate that conventional monetary policy reduces income inequality while unconventional monetary policy raises it. In particular, the distributive impact of conventional monetary policy is stronger. The results also show that the both conventional and unconventional monetary policies significantly affect the upper part of income distribution. While conventional monetary policy does not significantly affect the lower part of income distribution, unconventional monetary policy has still a significant impact on it. In addition, the implemented variance decomposition analysis assesses the relative importance of conventional and unconventional monetary policy shocks in the variation of Gini index of income inequality. The obtained results indicate that the unconventional monetary policy shock explains the higher share of the variation in Gini index than the conventional monetary policy shock."--TDX.

Download or read book Essays on Unconventional Monetary Policy written by Nicolò Bandera and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Unconventional Monetary Policy and Macroprudential Policy written by Jagat Prirayani and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on International Financial and Monetary Interactions written by Kemal Burak Bekircan and published by . This book was released on 2020 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Essays on the ECB Monetary Policy s Impact on Non Financial Firms written by Lior Cohen and published by . This book was released on 2020 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: "In recent years, one of the main problems the European Economic and Monetary Union (EMU) has been facing is slow economic growth stemming, in part, from subdued investments despite interest rates falling below the zero-lower bound (ZLB). Summers (2013) brought back the term "secular stagnation" - first coined by Hansen (1939) - to describe the United States' economic environment following the 2008-2009 Great Recession, in which a central bank is unable to reduce interest rates enough to stimulate investment and consumption. In recent years, another term, "liquidity trap", has also gained popularity to characterize an economy where short-term interest rates are at the ZLB, and in effect, rendering conventional monetary policy incapable of stimulating growth. Indeed, this topic has fostered extensive research on ways unconventional monetary policies could stimulate an economy (see, for example, Dominguez et al. (1998), Bernanke et al. (2004), and Eggertsson and Krugman (2012)). The European Central Bank (ECB) has been trying to ameliorate financial conditions and restore confidence in the EMU, especially after the 2011-2012 Euro Debt crisis. On July 26th, 2012 the then President of the ECB, Mario Draghi, stated the most important three words ever uttered by a central banker that he was going to do "whatever it takes" to save the Euro. Since then, the ECB has introduced an array of conventional and unconventional monetary policies to maintain the EMU project. Some of these policies include slashing interest rates below the ZLB, implementing the longer-term refinancing operations (LTRO), and targeted longer-term refinancing operations (TLTRO), and introducing quantitative easing (QE). However, were these policies successful in encouraging investment and easing financial conditions? In this thesis, we try to answer this question from the perspective of non-financial firms. The analysis of the ECB's unconventional policies - mainly of QE - has been widely researched, especially their effect on borrowing costs in general and government bond yields in particular (see Albu et al. (2014), De Santis (2020), Jäger and Grigoriadis (2017), and Krishnamurthy et al. (2017), among others). However, the research on corporations has been somewhat limited, although non-financial corporations (NFCs) are a vital sector, particularly for investments. In this thesis, we focus on the ECB's interest rate policy and its QE programmes, especially the public sector purchase programme (PSPP), and the corporate sector purchase programme (CSPP).The PSPP, first introduced on January 22nd, 2015, aimed to lower long-term sovereign bond yields by purchasing sovereign debt at an average pace of 47 billion euros a month from March 2015 to December 2018 . In total, the ECB purchased over 2.2 trillion euros worth of government bonds of EMU countries. This asset purchase programme accounted for 47% of ECB's balance sheet. Another vital purchase programme was the CSPP. Under this program, the ECB purchased NFC debt at a monthly pace of 5.8 billion euros from June 2016 to December 2018 for a total of 178-billion-euro worth of European corporate bonds. This programme's goal was to lower NFCs' borrowing costs and to induce corporate borrowing and investment spending.This thesis consists of three independent chapters, albeit with an overarching theme of investigating the impact of ECB's policies on NFCs. In Chapter 2, titled Has ECB's monetary policy prompted NFCs to invest, or pay dividends?, we take a broad view of the influence of the ECB's conventional and unconventional policies on NFCs' decisions on debt holdings, investments, and dividends. Toward this end, we use a unique dataset comprised of income statements and balance sheets of leading NFCs' operating in the EMU from the four largest economies, Germany, France, Italy, and Spain. Chapter 2 contributes to the literature by shedding light on the ECB monetary policies' long-term effect on NFCs' leverage and capital allocation - subjects that, to the best of our knowledge, have yet to be methodically investigated over such an extended period and encompasses the ECB's unconventional policies. The main results in Chapter 2 suggest that the ECB's monetary policies have encouraged firms to raise their debt burden, especially after the global recession of 2008. The ECB's policies, particularly after 2011, also seem to have led NFCs to allocate more resources not only to capital spending but also to shareholder distribution.Chapter 3, titled Examining the effect of ECB monetary policy on non-financial corporations' credit risk premia examines the usefulness of the ECB's policies in ameliorating financial conditions and reducing the risk premia of NFCs. We collected daily credit default swaps (CDSs) prices of publicly-traded European NFCs to analyze the short-term effects of the policy announcements between June 2nd, 2014, and December 30th, 2016. We also test the long-term impact of the ECB's policies on NFCs' CDS prices using monthly data from January 2008 to February 2018. Chapter 3 contributes to the literature by being the first to methodically investigate the mechanism of the ECB's monetary policy's short-term and long-term impact on NFCs' CDS prices. By doing so, we assess the ECB's various policies' transmission mechanism to NFCs' risk premia - a critical factor in NFCs' borrowing costs. The main findings in Chapter 3 are that the ECB's asset purchase programme announcements seem to have an immediate impact on CDS daily prices; these announcements had a stronger effect, especially after the PSPP started in March 2015. From 2008 to 2012 and from 2015 to 2018, the ECB's interest rate policy had statistically and economically significant effects in reducing CDS prices. We also find that some of ECB's asset purchase programmes, such as the PSPP, had a statistically significant long-term impact on CDSs. These findings indicate that some of the ECB's policies were effective in reducing NFCs' risk premia, notably since 2015, as market conditions improved. In Chapter 4, titled Bang for the QE buck: Examining the impact of ECB's corporate bond purchases on firms' credit risk, debt and investment, we focus on the CSPP. This programme, first announced in March 2016 and started by June 2016, aimed to ameliorate corporations' financial conditions and encourage NFCs to borrow and invest. Chapter 4 analyzes the CSPP's short-term and long-term effect on corporate credit risk by utilizing daily (from March to August 2016) and monthly data (June 2016- December 2018) of corporate zero-volatility, and nominal spreads. We also employ NFCs' debt covenants data to assess the pass-through of the CSPP to firms' risk of credit. We examine the CSPP's long-term effect on liquidity risk by using scaled bid-ask spread data. The data include purchased bonds under the CSPP (targeted bonds) and European bonds that were not purchased. We then analyze the CSPP's short-term and long-term impact on capital structure and capital allocation of NFCs whose bonds the ECB purchased (targeted firms) compare to European firms whose bonds were not purchased. Chapter 4 contributes to the literature by shedding light on the CSPP's short-term and long-term effect on corporate bonds' risk premia liquidity costs. Third, to the best of our knowledge, we are also the first to investigate the CSPP's long-term impact on firms' borrowing costs and corporate decisions. In Chapter 4 we find that following the CSPP announcement, targeted corporate bonds' zero-volatility spread, and nominal spread fell by 3.5 basis points (2.6%) and 4.1 basis points (4.2%), respectively. Initially, the programme encouraged firms to borrow more and pay dividends; however, it did not improve investments. Throughout its implementation (June 2016-December 2018), the CSPP only marginally reduced targeted bonds' risk premia and did not lower corporate bonds' liquidity risk. Nonetheless, it reduced targeted firms' cost of debt, improved their debt covenants, and encouraged investments. The findings in Chapter 4 suggest the CSPP did not have a persistent impact in reducing credit risk or liquidity risk in the corporate bond market; however, it had an economically significant lasting effect in lowering corporate debt cost and stimulating investment." -- TDX.

Download or read book Essays on Unconventional Monetary Policy and the Global Financial Cycle written by Haobin Wang and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Unconventional Monetary Policies Forward Guidance and Open Economies written by Severin Gabriel Damian Bernhard and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Unconventional Monetary Policies written by Stephen John Cole and published by . This book was released on 2015 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: The three chapters in this dissertation analyze the unconventional monetary policy tools that were utilized in response to the global financial crisis of 2007-2009. Chapter 1 examines the degree of misspecification in a mainstream DSGE model with unconventional monetary policy using the DSGE-VAR approach. The findings indicate that this type of model exhibits a high level of misspecification. For instance, estimation results point to the data favoring an unrestricted vector autoregression model over a DSGE model with unconventional monetary policy. Thus, policymakers should exercise caution when using new macroeconomic models that incorporate unconventional monetary policy. Chapter 2 examines the link between expectations formation and the effectiveness of central bank forward guidance. In a standard New Keynesian model, agents form expectations about future macroeconomic variables via either the standard rational expectations hypothesis or a more plausible theory of expectations formation called adaptive learning. The results show that the efficacy of forward guidance depends on the manner in which agents form their expectations. During an economic crisis (e.g. a recession), for example, the assumption of rational expectations overstates the effects of forward guidance relative to adaptive learning. Specifically, the output gap is higher under rational expectations than adaptive learning. Thus, if monetary policy is based on a model with rational expectations, which is the standard assumption in the macroeconomic literature, the results of forward guidance could be potentially misleading. Chapter 3 investigates the effectiveness of forward guidance while relaxing two standard macroeconomic assumptions: rational expectations and frictionless financial markets. A standard DSGE model is extended to include the financial accelerator mechanism. The results show that the addition of financial frictions amplifies the differences between rational expectations and adaptive learning to forward guidance. During a period of economic crisis (e.g. a recession), output under rational expectations displays more favorable responses to forward guidance than under adaptive learning. These differences are exacerbated when compared to a similar analysis without financial frictions. Thus, monetary policymakers should consider the way in which expectations and credit market frictions are modeled when examining the effects of forward guidance.

Download or read book Essays on Unconventional Monetary Policy written by Juan Medina and published by . This book was released on 2015 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of three essays in which we provide a theoretical framework to study the transmission mechanism of unconventional monetary policy on real activity and credit markets under differing degrees of banking sector concentration. In particular, the three chapters in this dissertation focus on expansionary balance sheet policies consisting of long-term asset purchases by a central bank. The overall results indicate that such expansionary policies stimulate economic activity in the form of capital formation, increased credit volume and financial easing under low short-term interest rate economies when the financial sector is perfectly competitive. However, when the banking sector is fully concentrated, the transmission mechanism of monetary policy can be distorted and thus the impact of a long-term security purchase program is hampered. Our results also suggest that the fiscal authority as well as the industrial organization of the banking sector play fundamental roles in the transmission mechanism of unconventional monetary policy.

Download or read book Essays in unconventional monetary policy and firm dynamics written by Alexander Rodnyansky and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Monetary Policy written by Zhengyang Chen and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The federal funds rate became uninformative about the stance of monetary policy from December 2008 to November 2015. During the same period, unconventional monetary policy actions, like forward guidance and large-scale asset purchases, show the Federal Reserve’s intention to depress longer-term interest rates. My research question is whether, after the 2007-2009 financial crisis, monetary policy still effectively influences or adjusts the real economy. The critical challenges are to indicate the impacts of increasingly diversified monetary policy actions and empirically identify monetary policy shocks more comprehensively than exclusively focusing on variation in the policy rate. Chapter 2 considers a long-term real interest rate as an alternative monetary policy indicator in a structural VAR framework. Based on an event study of FOMC announcements, I advance a novel measure of long-term interest rate volatility with important implications for monetary policy identification. I find that monetary policy shocks identified with this volatility measure drive significant swings in credit market sentiments and real output. In contrast, monetary policy shocks identified by otherwise standard unexpected policy rate changes lead to muted responses of financial frictions and production. These finding supports the validity of the risk-taking channel and suggests an indispensable role of financial markets in monetary policy transmission. Chapter 3 documents the pass-through of the short-term interest rate onto the components of Divisia monetary aggregates. The information factors extracted from real balances of monetary assets alleviate the price puzzle, which is commonly seen in conventional monetary VAR analysis of the transmission mechanism. We also show that financial and monetary markets reacted strongly to the Federal Reserve policy after 2007. The strong monetary response varies not only quantitatively over time, but qualitatively across asset classes. Although far from a one-to-one relationship, balances of assets more closely associated with household demand, such as currency and savings, tend to move in the opposite direction of short-term rates—indicative of a liquidity effect. Whereas balances more closely associated with firms returns are mixed, where institutional money markets also show a liquidity effect, large time deposits or commercial paper exhibit a strong Fisher effect post 2007. In summary, this dissertation sets the foundation for future research in the measurement of monetary policy and the investigation of monetary policy transmission to the real economy post the financial crisis.

Download or read book Essays on Unconventional Monetary Policy and Long term Government Debt written by Andreas Tischbirek and published by . This book was released on 2014 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: