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 0 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 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 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 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 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 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 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 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 the Effects of Unconventional Monetary Policy in Economies with Frictions written by Néstor Iván González-Quintero 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 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 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:

Download or read book Three Essays in Monetary and Financial Economics written by Liang Ma and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays in the field of monetary and financial economics. Specifically, we use high-frequency financial data to study monetary policies with a focus on the information effect, namely, that some of the interest rate movements around central bank announcements are not policy-driven, but are results of the market becoming aware of the central bank's view about future economic prospects. Understanding the role played by the information effect will help us apprehend monetary policy implications in both normal times and extraordinary situations. Chapter 1 evaluates the impact of unconventional monetary policy in the newly developed instrumental variable structural Vector Autoregression (VAR) framework. In the current low interest rate environment, central banks must resort to using unconventional monetary policies, such as forward guidance and quantitative easing, to flight recessions. To empirically evaluate the effectiveness of these unconventional policies, we need to rely on the clean policy shock. A prominent concern is that the often used high-frequency interest rate surprises not only reflect unexpected policy changes, but also contain the information effect. We contribute to the literature by using a heteroskedasticity identification approach, taking advantage of changes in the relative dominance of economic shocks around different macroeconomic announcements. Analysis based on clean policy shocks suggests that the unconventional policies successfully aided the recovery in the U.S. More importantly, we show that the information effect, while it may introduce bias, is rather modest when it comes to estimating the real impact of unconventional monetary policies. Chapter 2 studies the stock return pattern after the U.S. Federal Open Market Committee (FOMC) announcement. This research is motivated by recent literature that documents stock returns drifts, both before and after FOMC announcements, according to policy rate surprises. Indeed, research has shown that the information contained in the central bank announcement is multifaceted: its current monetary policy stances (monetary policy news) and news about future economic prospects (non-monetary policy news). Our contribution is to combine these two strands of literature. To the best of our knowledge, no study has looked at stock market reactions to the non-monetary news stemming from policy announcements. We identify both good and bad news events using a combination of sign restriction with high-frequency financial prices. The novel finding is that following bad FOMC announcements, that is the market interpreted the Fed announcements as revealing negative information about the economy, we observe significant positive stock returns in a 20-day period. We call this the ``post-FOMC drift.'' Further analysis suggests that the drift is likely caused by relatively heightened risks associated with bad announcements, although the drift is consistent with market overreactions as well. Moreover, the post FOMC drift is a market-wide phenomenon and can be exploited in an easy-to-implement trading strategy with a historical record of earning 40\% of the annual equity premium. In Chapter 3, we explore the channels through which the FOMC announcements affect the financial market. While much of the existing literature measures the surprise components with only changes in policy rates (surrounding the announcement), we contribute to the existing literature by taking a broader view through examining unexpected changes in longer-term yields, corporate credit spreads, and inflation expectations (a proxy for growth prospects), using high-frequency financial data. Through a regression analysis, our findings show that these additional surprises provide orthogonal information and sharply increase the goodness of fit in explaining stock returns around FOMC announcements, with the inclusion of inflation expectations having the biggest contribution. The important role of inflation expectation suggests that the current literature, which uses stock prices together with nominal rates to disentangle the information contents of central bank announcements, may be too limited in the scope of information it uses.

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 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Unconventional Monetary Policy at the Zero Lower Bound written by Yang Zhang and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter zImpact of Quantitative Easing at the Zero Lower Bound (with J. Dorich, R. Mendes)y, we introduce imperfect asset substitution and segmented asset markets, along the lines of Andres et al. (2004), in an otherwise standard small open-economy model with nominal rigidities. We estimate the model using Canadian data. We use the model to provide a quantitative assessment of the macroeconomic impact of quantitative easing (QE) when the policy rate is at its effective lower bound. In the second chapter zImpact of Forward Guidance at the Zero Lower Boundy, I consider alternative monetary policy rules under commitment in a calibrated three-equation New Keynesian model and examine the extent to which forward guidance helps to mitigate the negative real impact of the zero lower bound. The simulation results suggest that the conditional statement policy prolongs the zero lower bound duration for an additional 4 quarters and reverses half of the decline in inflation associated with the lower bound. It even generates a period of overshooting in inflation three quarters after the initial negative demand shock. Alternatively, the effect of price-level targeting as a forward guidance policy at the zero lower bound is slightly different. In the third chapter zImpact of Quantitative Easing on Household Deleveragingy, I extend the DSGE model in the first chapter with some financial frictions to explore the effects of QE on asset prices and household balance sheet. There are two effects of QE on aggregate output originated from the model. First, QE leads to a decline in term premium, which increases current consumption relative to future consumption. Second, it leads to a lower loan to collateral value ratio and a decline in external finance premium. Favorable financing condition encourages further accumulation of household debt at cheaper rates, in turn, leads to an immediate higher household debt to income ratio. In the consideration of the future withdrawal of any stimulus provided from QE, this would pose greater challenges as it implies much intensive household deleveraging process. I provide some sensitivity analysis around key parameters of the model.

Download or read book Essays on Unconventional Monetary Policy Inflation Expectations and Commodity Prices written by Michael Hachula and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 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: