Download or read book Three Essays on Monetary Policy and Macroeconomics Stability written by Shadi Nezar El Ramli and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The three chapters of the thesis are centered around monetary policy and macroeconomic stability. In the first chapter, a DSGE model is simulated and estimated to evaluate the macroeconomic effect of credit-demand shocks versus credit- supply shocks. The model features two financial shocks originating on the credit-demand side and one shock originating on the credit-supply side. Model simulations show that credit-demand shocks could generate significant macroeconomic fluctuations, up to three times the impact of credit-supply shocks. Bayesian estimation of the parameters of the shocks and variance decomposition show that credit-demand shocks caused 17\% of the fluctuation in output. The second paper investigates the role of monetary policy in the rise of household debt in the periods leading to the Great Recession. A Factor-Augmented Vector Autoregression (FAVAR) model is estimated in multiple periods. Tests of stability of the estimated coefficients suggest the existence of a structural break, which is interpreted as a change in the transmission mechanism in periods of low versus high household debt. Monetary policy shocks during both periods are identified by Cholesky decomposition. The paper shows that during the period of higher household debt, the volatility of monetary policy shocks was lower and the impulse responses of output and household debt to monetary policy shocks were stronger. Estimates of monetary policy reaction functions in the two periods suggest the stronger response of output and household debt in the second period might have been due to a combination of a stronger transmission mechanism and a weaker monetary policy reaction. The final chapter of the thesis investigates whether monetary policy surprises affect home equity excess returns, and whether the effect transmits through expected future interest rates, expected future dividends, or expected future excess returns. Home equity excess returns are decomposed into three components using a forecasting VAR model. The three decomposed components are then used to estimate a VAR model where monetary policy shocks are identified by Cholesky decomposition. Analysis of the generated impulse responses shows that, unlike its effect on stock equity returns, the effect of monetary policy surprises on home returns transmits through interest rate and future dividends channels more than through the risk premium channel.

Download or read book Three Essays on Monetary Policy and Macroeconomics Stabilization written by Ole Bjørn Røste and published by . This book was released on 2006 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Monetary Policy written by David B. Gordon and published by . This book was released on 1994 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Fiscal Policy and Macroeconomics written by Sergio Sola and published by . This book was released on 2013 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Monetary Policy written by Xu Zhang and published by . This book was released on 2019 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Three Essays on Monetary and Fiscal Policy written by Francesco Furlanetto and published by . This book was released on 2006 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Macroeconomic and Financial Stability written by Mei Li and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Monetary Policy written by Adnan Kummer and published by . This book was released on 2015 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on monetary policy. The first essay estimates the impact of the European Central Bank's (ECB) monetary policy rate changes on individual member country's economic output in Eurozone. The results show that real output responds differently in different Eurozone members and highlight the "convergence gap" that continues to exist among member countries. Based on their output response, the sample countries are divided into two groups which exhibit the breakdown of monetary policy transmission mechanism in the currency union. The second essay uses the Taylor rule model to calculate the optimal interest rates for individual eurozone members based on their local economic variables of output gap and inflation rate. The results indicate that at the aggregate level the Taylor rule tracks the ECB policy rate very closely but when the rule is applied to individual Eurozone countries, the models predicts very different rates for member economies. Additionally, the Eurozone sample countries are organized into two sets of groups namely Core versus Periphery and North versus South to analyze whether the national monetary policy requirements of member countries can be grouped based upon their economic characteristics and on their geographical location. In both cases, the rule predicts different rates for the groups compared to the ECB policy rates. The third essay investigates the institutional arrangement of monetary policy and its interaction with macroprudential policy in economic and financial stability. The interactions of macroprudential policy with both monetary and fiscal policy are explored to determine the effectiveness of this new policy framework. The analysis shows that while political and budget support are essential for the policy's design and implementation, there should be no connection politically with the execution of macroprudential policy because of short-sightedness of the political process which could potentially delay or jeopardize the roll-out of the policy's tools when necessary. Overall, the dissertation contributes to the growing literature on monetary policy in currency unions and offers policy insights to overcome the obstacles of monetary policy transmission mechanism and to develop a more robust policy framework for economic and financial stability.

Download or read book Three Essays on Monetary Policy in a Small Open Economy written by Sarbari Banerjee-Rothe and published by . This book was released on 2001 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Monetary Economics written by Qiao Zhang and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, my research aims at dwelling on the questions, at understanding and explaining -- as a follow of current strand of literature on financial frictions -- the mechanisms that allowed the imperfect and perfect credit intermediation to affect the dynamics of economy and the transmission of monetary policy, and providing a new theoretical formulation for evaluating the unconventional monetary policy. To do this, I first considered the impact of financial intermediation on the analysis of central bank transparency issue (Chapter 2). ln Chapter 3, I focused on the role played by the imperfect financial intermediation/financial frictions in the transmission of shocks : through which mechanisms, do the presence of balance-sheet constraint financial intermediaries affect the effect of shocks on the macroeconomy? Finally, in Chapter 4, 1 construct an theoreticalmodel to analyze an important issue which have net been carried out in existing literature: the transmission mechanism of the central bank's large-scale purchase of mortgage-backed securities. ln this chapter, I first simulated a financial crisis to see if the model is able to replicate some of the most important stylized facts of the Great Recession. Then, basing on the simulated crisis, I examine the efficacy and transmission mechanism of large scale purchases of MBS through comparing these purchases to the purchases of corporate bonds. This experiment is conducted in two credit market configurations, i.e., a partially and a totally segmented credit market. The latter case of market condition is considered by many economists as main obstacle that impedes the nominal functioning of the financial markets. ln this work, we have obtained rich and important findings for guiding the use of unconventional monetary policy. The following parts briefly present the findinqs of the thesis.

Download or read book Three Essays in Macroeconomics of Fiscal and Monetary Policies written by and published by . This book was released on 2015 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Monetary Policy written by Andrea Tambalotti and published by . This book was released on 2004 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Monetary Policy Macroprudential Policy and Business Fluctuations written by 林姿妤 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 Three Essays on Monetary Macroeconomics An Empirical Examination of the Soundness Of the Alternative Monetary Model and Monetary Policy in Canada written by Reed Benjamin Collis and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This series of essays explores the soundness of the Alternative Monetary Model (AMM) of Smithin (2013, 2018) via an examination of the monetary policy and monetary transmission mechanism in Canada. The AMM has assumptions that are more consistent with the real world than other approaches to macroeconomics and monetary theory, and the reliability of the AMM through the business cycle will be examined. The model was tested using abduction and numerical methods. The results were also tested econometrically, and the predictions of the directional change of the variables were found to have an accuracy of 91%. Historical simulations were conducted to examine the ability of the AMM to mimic the time profiles of actual economic events. The simulations indicate that if the central bank were to have implemented a real interest rate rule during these historical periods, there would have been better economic outcomes. The monetary transmission mechanism between the Bank of Canada and commercial banks is examined. Evidence suggests this relationship has changed over the period of study and that monetary policy changes have affected commercial bank activities more swiftly since the 1980s. Additional evidence supporting the endogeneity of the money supply was found. Debt dynamics were examined, and certain convergence conditions for debt-to-GDP ratios were established. In almost all cases balanced budgets are not necessary to maintain a stable debt-to-GDP ratio. In much of the existing theoretical literature, it is assumed that interest rates are greater than the growth rate to maintain the assumptions of the transversality conditions, the no-Ponzi constraint, and Ricardian equivalence. However, it was found that in half of the periods studied, Canadas real interest rates were less than the real growth rate violating these assumptions. Monetary policy was found to have a significant effect on government interest rates, whereas fiscal policy was only found to have a marginal effect. This lends credence to the idea that monetary policy should play a critical supporting role in government debt sustainability, through a real interest rate rule, as this has a strong effect on both interest rates at commercial banks and bond yields throughout the economy.

Download or read book Three Essays on Monetary Policy written by Thomas Lauback and published by . This book was released on 1997 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Theory of Money and Financial Institutions written by Martin Shubik and published by MIT Press. This book was released on 1999 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume in a three-volume exposition of Shubik's vision of "mathematical institutional economics" explores a one-period approach to economic exchange with money, debt, and bankruptcy. This is the first volume in a three-volume exposition of Martin Shubik's vision of "mathematical institutional economics"--a term he coined in 1959 to describe the theoretical underpinnings needed for the construction of an economic dynamics. The goal is to develop a process-oriented theory of money and financial institutions that reconciles micro- and macroeconomics, using as a prime tool the theory of games in strategic and extensive form. The approach involves a search for minimal financial institutions that appear as a logical, technological, and institutional necessity, as part of the "rules of the game." Money and financial institutions are assumed to be the basic elements of the network that transmits the sociopolitical imperatives to the economy. Volume 1 deals with a one-period approach to economic exchange with money, debt, and bankruptcy. Volume 2 explores the new economic features that arise when we consider multi-period finite and infinite horizon economies. Volume 3 will consider the specific role of financial institutions and government, and formulate the economic financial control problem linking micro- and macroeconomics.

Download or read book Three Essays on Macroeconomics and Banking written by Lulei Song and published by . This book was released on 2018 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation covers three loosely connected topics in Macroeconomics and Banking. The first chapter, titled Effect of Failed Bank Mergers During the Crisis on Cost Efficiency, examines the effect of merging with failed banks during the crisis period on the acquiring banks' cost X-efficiency. Between December 31, 2006, and Decem- ber 31, 2010, the number of U.S. commercial banks and savings institutions declined significantly because of failures. The majority of failed banks were acquired by the existing banks. I utilize the Fourier flexible cost function form to estimate the cost X-efficiency, and find out that merging with failed banks does negatively affect the cost X-efficiency of the acquiring bank. Although the local market concentration does not change much after the merger, the decrease in cost X-efficiency may still indicate the increase of market power for acquiring banks. With the evolving technology, the cost of obtaining banking service from distant providers fell a lot compared with 30 or 40 years ago. Local market concentration may no longer be a good measure of market competitiveness, and the FDIC may need to develop other more relevant measures regarding merger regulations. The second chapter, titled Financial Regulation and Stability of the Banking System, builds a dynamic stochastic general equilibrium model which includes both regulated and unregulated banks to study the effect of the capital requirement, which is imposed only on regulated banks, on the stability of the financial system. One of the most distinctive features of the recent financial crisis is the turmoil of the financial market. Financial institutions with high leverage were the first to bear the brunt, and the chain effect caused by their bankruptcy led the economy into a prolonged depression. In order to stabilize the financial market and prevent financial institutions from taking excessive risks, the government imposed capital requirements on the regulated banks. However, a large number of financial institutions, which perform similar functions as regulated banks, are not under government regulation. In this paper, I build a model which includes both regulated banks, referred to as commercial banks, and unregulated banks, referred to as shadow banks, to study and quantify the effects of capital requirements on the stability of the financial system. I find that when the capital requirement is high enough to help commercial banks to survive the bank runs, it does help to alleviate the negative impact of the crisis. However, if the capital requirement is not high enough, increasing capital requirements only causes decreased net output but does not help to stabilize consumption and capital price during the crisis. The third chapter is titled The Effect of Monetary Policy on Asset Price Volatility: Evidence from Time-Varying Parameter Vector Autoregression Approach. The great financial recession in 2007 - 2009 reactivated the discussion of the effect and the focus of monetary policies. Some researchers argue that whether the monetary authority should take action to fight against the asset price bubbles prior to 2007 aside from targeting inflation and GDP gap. However, one important fact that often get ne- glected is that the volatility of the financial market is also closely related to monetary policy shocks, and it has an important impact on economic output and unemployment in the economy. This paper utilizes two empirical methods, constant parameter structural vector auto-regression and time-varying parameter vector auto-regression, to study the relationship between monetary policy and financial market volatility. I find that under these two different methods, the financial market volatility responds differently to the monetary policy shocks.