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Jalil, Munir Andrés. "Essays on the effect of information on monetary policy /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2004. http://wwwlib.umi.com/cr/ucsd/fullcit?p3144340.
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Secchi, Alessandro. "Heterogeneous Effects of Monetary Policy." Doctoral thesis, Universitat Pompeu Fabra, 2005. http://hdl.handle.net/10803/7425.
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The main objective of this thesis is to offer empirical evidence in support of the hypothesis that differences in firms' balance sheet structures may generate heterogeneous responses to monetary policy innovations. To this end in the second, introductory, chapter we start providing some evidence in favor of a large degree of heterogeneity in the asset and liability side of the balance sheet structure of manufacturing firms belonging to different European countries and different size classes. This static comparison is complemented with a quantitative assessment of the sensitivity of asset and liability items to business cycle conditions.In the third chapter we focus on a specific dimension along which the presence of heterogeneities in the balance sheet structure may induce different responses to a monetary policy action. In particular we address the existence of a channel of transmission of monetary policy, the cost-channel, that operates through the effect of interest expenses on the marginal cost of production. Such a channel is based on an active role of net working capital (inventories, plus trade receivables, less trade payables) in the production process and on the fact that variations in interest rate and credit conditions alter firms' short-run ability to produce final output by investing in net working capital. It has been argued that this mechanism may explain the dimension of the real effects of monetary policy, give a rationale for the positive short-run response of prices to rate increases (the "price puzzle") and call for a more gradual monetary policy response to shocks. The analysis is based on a unique panel, that includes about 2,000 Italian manufacturing firms and 14 years of data on individual prices and interest rates paid on several types of debt. We find robust evidence in favor of the presence of a cost-channel of monetary policy transmission, proportional to the amount of working capital held by each firm and with a size large enough to have non-trivial monetary policy implications.
The empirical analysis of chapter three is based on the hypothesis that the type of heterogeneity that produces different firm level responses to an interest rate variation is well defined and measurable. On the contrary, most of the empirical literature that tests for the existence of heterogeneous effects of monetary policy on firms' production or investment choices is based on an ad hoc assumption of the specific firm level characteristic that should distinguish more sensitive from less sensitive firms. A similar degree of arbitrariness is adopted in selecting the number of classes of firms characterized by different responses to monetary policy shocks as well as in the selection of the cutoff points. The objective of chapter four is to apply a recent econometric methodology that building on data predictive density provides a well defined criteria to detect both the "optimal" dimension along which analyze firms' responses to monetary policy innovations and the "optimal" endogenous groups. The empirical analysis is focused on Italian manufacturing firms and, in particular, on the response of inventory investment to monetary policy shocks from 1983 to 1998. The main results are the following. In strike contrast with what is normally assumed in the literature in most of the cases it turns out that the optimal number of classes that is larger than two. Moreover orderings that are based on variables that are normally thought to be equivalent proxies for the size of the firm (i.e. turnover, total assets and level of employment) do not lead neither to the same number of groups nor to similar splitting points. Finally even if endogenous clusters are mainly characterized by different degrees of within group heterogeneity, with groups composed by smaller firms showing the largest dispersion, there also exist important differences in the average effect of monetary policy across groups. In particular the fact that some of the orderings do not show the expected monotonicity between the rank and the average effect appears to be one of the most remarkable aspects.
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Yie, Myung-Soo Froyen Richard T. "The term structure and cost channel effect of monetary policy." Chapel Hill, N.C. : University of North Carolina at Chapel Hill, 2007. http://dc.lib.unc.edu/u?/etd,1173.
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Thesis (Ph. D.)--University of North Carolina at Chapel Hill, 2007.Title from electronic title page (viewed Mar. 27, 2008). "... in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the Department of Economics." Discipline: Economics; Department/School: Economics.
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Macalagh, Constance. "Effect of Monetary Policy Announcements on Stock Prices in South Africa." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/30467.
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The purpose of the monetary policy is to attain and sustain price stability in order to achieve balanced and sustainable economic development and growth. The stock market contributes to the growth of vital sectors of the economy and thus ultimately has an impact on the economy of a country. Prior to making investment decisions, investors consider the required rate of return, making stock prices largely sensitive to macroeconomic announcements. The purpose of the study is to define the extent to which the monetary policy rate announcements influence the behaviour of stock prices for firms that are listed on the Johannesburg Stock Exchange (JSE). A general conclusion from studies done in developed countries is that there is an inverse relationship between monetary policy and stock returns. The existing literature for developing economies, mainly Africa, focuses more on the relationship between long-term interest rates and stock prices and less on the policy rate effects on stock prices which have a number of limitations. According to literature, these limitations can be overcome by utilising the event study methodology. The event study methodology is known for using a short event period around the announcement of the policy rate in order to avoid limitations. In order to examine the impact of the policy rate announcement on the JSE, the study adopted the event study methodology to analyse data from October 2006 to September 2018. The data was collected from South African Reserve Bank publications and JSE daily trading reports. The results showed that abnormal returns were present for stock prices when there was a policy rate announcement. However, it was found that monetary policy rate announcements had no significant effect on companies listed on the JSE. The study concluded that there is no inverse relationship between the monetary policy announcement and the stock prices in South Africa. Monetary policy rate changes have an immediate effect on commercial banks and because of this, it assumed that the monetary policy rate announcement will have a greater impact on commercial bank stock prices than it would have on non-bank stock prices. The results from this study did not confirm this assumption as the bank stocks were not impacted more by the monetary policy rate announcement than the non-bank stocks were. This paper further confirms the finding of studies done in developing countries where it is found that policy rate actions do not significantly influence the stock markets in developing countries and more importantly those within Sub-Saharan Africa.
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Samate, Ireen Nunsa. "Effect of monetary policy rate announcements on stock prices in Zambia." Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/27478.
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In many countries including Zambia, stock markets are perceived to be crucial for economic development because of the financial intermediary role that they have assumed in the financial system. Stock markets are sensitive to the arrival of new information, especially those that are macroeconomic like monetary policy announcements. This study sought to determine the extent to which the Lusaka Stock Exchange reacts to monetary policy actions by examining the response of all companies listed on the stock exchange to policy rate announcements, with the exception of ZCCM holdings. The study also aimed to look at the differential response of bank stock returns to policy rate announcements. In order to examine the impact of the policy rate announcement on the Lusaka Stock Exchange, the event study methodology was adopted to analyse data from January 2011 to June 2016. The data was collected from the LuSE daily trading reports and monetary policy publications from the Bank of Zambia. It was found that the policy rate announcement has an insignificant negative impact on stock prices in the event of a policy rate increase and an insignificant positive impact on stock prices when the policy rate is maintained. Similar findings were observed for bank stock prices and non-bank stock prices. The impact of the policy rate on stock prices has important implications for the monetary policy transmission mechanism, risk and investment management strategies of financial market participants, as well as government policy and actions towards financial markets. This study makes a unique contribution to existing literature because it is the only study in Zambia to have measured the impact of monetary policy on stock prices using the event study approach.
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Quaresma, Gonçalo Dias. "Monetary policy easing and non-keynesian effects of fiscal policy." Master's thesis, Instituto Superior de Economia e Gestão, 2021. http://hdl.handle.net/10400.5/21777.
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Mestrado em Economia Monetária e FinanceiraThis paper assesses the possible contribution of monetary expansions for the existence of expansionary fiscal consolidations, using annual panel data for 14 European Union countries over the period 1970-2019. The paper adopts a two-fold approach: it combines the usual CAPB approach used to identify fiscal consolidations with the narrative approach, and extends this approach to include dummy variables for identifying monetary expansions. A fiscal consolidation couple with a monetary expansion does produce little evidence of non-Keynesian effects, thus, monetary expansions does not contribute for the existence of expansionary fiscal consolidations. Moreover, Panel Probit estimations suggest monetary developments even contribute negatively for success of fiscal consolidations. For other success variables, duration and size contribute in a positive way and expenditure based consolidations lead to a decrease in debt to GDP ratio.
info:eu-repo/semantics/publishedVersion
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Yarmukhamedov, Farkhod. "Monetary versus Fiscal policy: which combination gives the highest growth performance?" Thesis, KTH, Samhällsekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-77470.
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This paper investigates a simultaneous impact of monetary and fiscal policies on economic growth in a single model. The data for 21 OECD countries covering the period 1970-2009 is gathered for our study of policy effect on economic growth. A quadratic specification method is employed by constructing a relationship between economic growth and several policy variables in order to find optimal values for government debt level, tax revenues and interest rate that lead to the highest economic growth, which is a contribution of this paper. Furthermore, a threshold method is exploited to determine the highest growth rate at different tax and interest rates given a particular debt level. Another distinctive feature of this research is uttered in simultaneous application of both a quadratic specification method and a threshold method in the same paper which has never been done before. Having analysed methodological problems of previous studies, we employ a state-of-art advanced estimation technique which ensures a robustness of stated conclusions. According to the results, the highest economic growth performance is achieved when total tax revenue reach 23.75% of GDP and when a government debt level does not exceed 41% of GDP.
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Perruchoud, Alexander. "Swiss monetary policy rules, effects, and indicators." Berlin dissertation.de, 2007. http://d-nb.info/987389912/04.
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Perruchoud, Alexander. "Swiss monetary policy : rules, effects, and indicators /." Berlin : dissertation.de, 2008. http://www.gbv.de/dms/zbw/558704808.pdf.
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Uhlenbrock, Birgit. "Disaggregate effects of monetary policy in Germany /." Bonn : [s.n.], 2004. http://aleph.unisg.ch/hsgscan/hm00130088.pdf.
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Lee, Yongdae. "Essays on international effects of monetary policy." Thesis, Durham University, 2017. http://etheses.dur.ac.uk/12024/.
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During recent decades the monetary policies of central banks have shown similar patterns - mostly led by the policy changes of large economies such as the US and the Eurozone. These large economies care little for other countries' monetary policies, while other economies have concerns about the fluctuations of international variables such as currency values and capital flows. This results in asymmetric relationships between the central bank policies across countries. The major central banks' quantitative policies also have significant effects on the other economies by way of changes to cross-border capital flows. The first chapter presents (i) a theoretical framework that explains the asymmetric policy relationships and (ii) empirical evidence for those relationships. In the two-country model analysis, home welfare is approximated as a function of international variables. These variables also influence optimal home inflation and output. The optimal home policy rate is affected by the foreign policy rate, and the effect becomes stronger as home openness is greater. Therefore, when the degrees of openness are significantly different between countries, there can be an asymmetric policy rates relationship. The empirical analysis investigates the policy rate relationships between two large economies (the US and the Eurozone) and other economies. In the probit model analysis, 12 out of 14 countries have leader and follower relationships with at least one of the US and the Eurozone. The VAR analyses indicate that 11 countries have one-way relationships with the large economies. In the second chapter, the leader-follower policy relationship between central banks is investigated based on a small open economy model. The asymmetric relationship is strengthened by economic globalization. When the foreign policy rate is lowered, the home currency appreciates. This leads to a decrease in net exports via the expenditure switching effect, thus reducing home output. The lower import price reduces home inflation. In response to the changes in home output, inflation and the real exchange rate, the home central bank lowers its policy rate. The policy relationship becomes stronger when (i) the international assets holding cost is lower, (ii) home openness is higher, (iii) the home central bank adopts more aggressive inflation targeting, and (iv) the home monetary policy responds to currency value changes. The banking friction also strengthens the policy relationship. The third chapter models the international effects of quantitative easing (QE) in terms of cross-border capital flows. A two-country model is set up with financial frictions. The foreign central bank conducts QE. As the amount being loaned to home agents by foreign banks increases, capital stock, investment and the asset price of the home economy rise, accompanied by a currency appreciation. The fall in the foreign interest rate lowers the home interest rate through a decline in the home capital return. The financial accelerator strengthens the foreign QE effects. The rise in the asset price boosts home borrowers' net worth, and eventually investment and capital stock increase more. The international effects of QE are stronger with (i) a greater assets adjustment cost in the foreign economy, (ii) a lower home investment adjustment cost, and (iii) a higher degree of home financial openness.
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Lartey, Emmanuel K. K. "Capital inflows, Dutch disease effects, and monetary policy." Thesis, Boston College, 2006. http://hdl.handle.net/2345/51.
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Thesis advisor: Fabio GhironiThesis advisor: Peter N. Ireland
This dissertation consists of three essays on Dutch disease effects of capital inflows in emerging market economies. In chapter one, I develop a twosector dynamic, stochastic, general equilibrium model of a small open economy, incorporating an investment technology that utilizes both domestic and foreign capital, and show that as capital inflow increases, tradable sector output increases initially but later contracts as output of the nontradable sector expands in response to an increase in consumption of nontradables. The increase in nontradables consumption causes the relative price of nontradables to rise, thereby exerting pressure on the real exchange rate to appreciate. The model is consistent with features of the business cycle in emerging market economies that were recipients of capital inflows. Chapter two investigates the question of whether capital inflows cause the real exchange rate to appreciate, and whether different forms of capital inflow have variable effects on the real exchange rate. I use panel data for a group of sub-Saharan African countries to estimate a dynamic real exchange rate model specifying a set of capital inflow variables. The results reveal that increases in foreign direct investment and, especially official aid cause the real exchange rate to appreciate. Chapter three develops a monetary version of the model in the first chapter, with monopolistic competition and sticky prices in the nontradable sector. I examine the roles and welfare implications of a set of monetary policy rules in a small open economy that is susceptible to the Dutch disease. The results show that Dutch disease effects occur under a fixed nominal exchange rate regime, mimicking the dynamics in economies that pegged the nominal exchange rate during episodes of capital inflow; whereas Taylor-type interest rate rules featuring either the real exchange rate or the nominal exchange rate avert Dutch disease effects. Welfare results reveal that the optimal rule is a generalized Taylor rule consistent with nominal exchange rate flexibility
Thesis (PhD) — Boston College, 2006
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
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Chung, Joonho. "Empirical study on the effects of monetary policy on the exchange rates : the role of uncertainty in monetary policy /." free to MU campus, to others for purchase, 1998. http://wwwlib.umi.com/cr/mo/fullcit?p9901229.
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Chen, Tao. "The Effect of Chinese Monetary Policy on Banking During the Global Financial Crisis." Universität Potsdam, 2013. http://opus.kobv.de/ubp/volltexte/2013/6866/.
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1. Abstract
2. Introduction to the main monetary policy tools in China
2.1 Reserve requirements
2.2 Open market operations
2.3 Interest rate policy
2.4 Credit policy and window guidance
2.5 Real estate credit control
3. Loosening monetary policy and its effect on the banking
3.1 Loosening monetary policy measures
3.2 The effect of the expansionary monetary policy on the banking
4. Sound monetary policy with tight trend and its effect on banking
4.1 Main measures of the sound monetary policy with tight trend
4.2 The effect of sound monetary policy with tight trend on banking
5. Conclusion
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KUHBIER, SIMON, and HESARI PEYMAN SAFARI. "Is the Effect of Monetary Policy Asymmetric? A Study on Swedish Household Debt." Thesis, KTH, Skolan för industriell teknik och management (ITM), 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-224875.
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Benkhodja, Mohamed Tahar. "Essays on Monetary Policy in an Oil Exporting Economy." Thesis, Lyon 2, 2012. http://www.theses.fr/2012LYO22008.
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Cette thèse de doctorat aborde le rôle de la politique dans une économie exportatrice de pétrole sous forme de trois essais. Chaque essai tente d'apporter des réponses à une problématique liée à la réponse de la politique monétaire face aux chocs externes, en particulier le choc pétrolier. A ce titre, nous construisons trois modèles dynamique et stochastique d'équilibre général (DSGE) multisectoriels que nous calibrons et estimons sur des pays producteurs de pétrole. Dans le premier essai, nous montrons que le syndrome hollandais sous ses deux effets, dépense et ressource, semble avoir lieu dans une économie exportatrice de pétrole seulement lorsque les salaires sont flexibles et les prix rigides dans le cas d'un régime de change fixe. En d'autre terme, les simulations montrent que le syndrome hollandais est évité si les prix sont rigides et les salaires sont flexibles lorsque les autorités monétaires adoptent une règle de ciblage d'inflation ; les prix et les salaires sont rigides, quelque soit l'objectif de la Banque centrale dans les deux cas : aubaine et boom. Nous montrons également, en comparant les sources de fluctuation qui conduisent au syndrome hollandais que la hausse de gisement pétrolier (boom) conduit à une plus forte désindustrialisation de l'économie comparé à l'aubaine. Enfin, le régime de change flexible semble améliorer le bien être des ménages. Dans le deuxième essai , nous comparons trois règles de politique monétaire (ciblage d'inflation, ciblage de taux de change et ciblage de l'inflation sous jacente) face à quatre chocs externes (prix du pétrole, taux de change, terme de l'échange et taux d'intérêt international) subis par un pays exportateur de pétrole. Pour ce faire, nous construisons un modèle DSGE à deux secteurs (pétrolier et non-pétrolier) estimé sur des données trimestrielles de l'économie algérienne en utilisant l'approche bayésienne. Les résultats montrent que, globalement, la réponse des variables macroéconomiques du modèle, est similaire sous les trois règles de politique monétaire. Notre principal résultat est la dépréciation du Dollar américain et la hausse du prix du pétrole constituent la principale source de fluctuation cyclique de l'économie algérienne. Aussi, et comme prédit par la théorie, la dépréciation du dollar américain a significativement contribué à la détérioration des termes de l'échange et du compte courant. Dans ce cas, la Banque centrale peut adopter une politique de dévaluation pour éviter les effets de ces chocs. Dans le troisième essai, nous considérons un échantillon de 16 pays exportateurs de pétrole que nous divisons en deux sous échantillons afin de comparer l'occurrence du syndrome hollandais dans deux principales catégories : les pays fortement dépendants du pétrole et les pays faiblement dépendants du pétrole. Nos principaux résultats montrent que six parmi huit pays fortement dépendants subissent les effets du syndrome hollandais. Dans l'autre sous échantillons, seul un pays sur huit subit le syndrome hollandais sous ses effets dépenses et ressources. Toutefois, concernant la règle de politique monétaire à adopter face au syndrome hollandais, les résultats obtenus ne sont pas tous identiques dans tous les pays. Il semblerait que, l'adoption d'une politique monétaire appropriée dépend essentiellement des caractéristiques structurelles de chaque paysThe aim of this thesis is to analyze the impact of external shocks on oil exporting economies and the role of monetary policy in this context. It consists of three essays. In the first essay, we build a Multi-sector Dynamic Stochastic General Equilibrium (DSGE) model to investigate the impact of both windfall (an increase in oil price) and boom (an increase in oil resource) on an oil exporting economy. Our model is built to see if the two oil shocks (windfall and boom) generate, in the same proportion, a Dutch Disease effect. Our main findings show that the Dutch disease effect under its two main mechanisms, namely spending effect and resource-movement effect, occurs only in the case of flexible wages and sticky prices, when exchange rate is fixed. We also compare the source of fluctuations that leads to a strong effect in term of de-industrialization. We conclude that the windfall leads to a stronger effect than a boom. Finally, the choice of flexible exchange rate regime helps to improve welfare.In the second essay, we estimate, by using the Bayesian approach, a DSGE model for Algerian economy investigating the dynamic effect of four external shocks (oil price, real exchange rate, international interest rate and foreign inflation), and examining the appropriate monetary policy rule. Our main findings show that, over the period 1990Q1-2010Q4, core inflation target is the best monetary rule to stabilize both output and inflation. In the third essay, we investigate the impact of the recent increase of oil price on a small open oil exporting economy. For this, we estimate a Dynamic, Stochastic, General equilibrium (DSGE) model for some oil producing countries using the Bayesian approach. We consider, in this essay, a sample of 16 oil exporting countries (Algeria, Argentina, Ecuador, Gabon, Indonesia, Kuwait, Libya, Malaysia, Mexico, Nigeria, Oman, Russia, Saudi Arabia, United Arab Emirates, and Venezuela) over the period from 1980 to 2010, except for Russia where our sample begins in 1992. In order to distinguish between high-dependent and low-dependent countries, we use two indicators : the ratio of fuel exports to total merchandise exports and the ratio of oil exports to GDP. We estimate the median for each ratio on our 16 studied countries. Countries above (below) the median are considered as high (low) oil dependent economies. We verify if the first group is more sensitive to the Dutch disease effect. We also assess the role of monetary policy. Our main findings show that in the first sample, namely high oil dependant economies, 6 countries are affected by the Dutch disease (decrease in the manufacturing production). Low oil dependant countries, are less affected by the fluctuation of oil price. Indeed, only one country has suffered a Dutch disease effect after the shock. Nevertheless, Regarding the appropriate monetary policy rule, we find that both inflation targeting and exchange rate rules may be effective to contain the size of the Dutch disease effect. Our results suggest that in Algeria and Saudi Arabia, inflation targeting offers better performances. We observe the opposite in Gabon, Kuwait, Oman, and Venezuela. Such results are consistent with economic theory. Indeed, we see that in more open economies and smaller countries (in terms of economic size), the exchange rate rule is preferable to inflation rule. Venezuela seems an exception. Such country does not fulfill the traditional criteria favoring the choice of the exchange rule. In fact, this exception is only apparent. First, if we consider the volatility, we see that Venezuela is among the most volatile economy. Second, Venezuela suffers from a fiscal dominance effect: both inflation rate and fiscal deficit are the highest relative to other studied countries
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Lindé, Jesper. "Essays on the effects of fiscal and monetary policy." Doctoral thesis, Handelshögskolan i Stockholm, Samhällsekonomi (S), 1999. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-645.
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This thesis contains four essays, which studies the macroeconomic effects of fiscal and monetary policy quantitatively. The first essay investigates whether Swedish postwar business cycles have been generated by domestic or foreign shocks and finds that they are about equally important. In the second essay, the effects of government budget deficits on interest rates in Sweden are studied in a small open economy framework. The empirical results, which have high power due to very large swings in deficits and interest rates, provide support that larger deficits produce higher interest rates and thus give support against the ricardian view. The third essay seeks to identify optimal social insurance and redistribution levels in Sweden and the U.S. with respect to temporary and permanent idiosyncratic productivity risks. The results indicate that Sweden should reduce the social security level while the U.S. should approximately maintain the current level. In the last essay, the small sample properties of a well-known statistical test for the Lucas critique - the super exogeneity test - is studied in a general equilibrium environment. The results indicate that the super exogeneity test do not have sufficient power in small samples.Diss. Stockholm : Handelshögsk.
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Lindé, Jesper. "Essays on the effects of fiscal and monetary policy /." Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1999. http://www.hhs.se/efi/summary/507.htm.
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Boroditskaya, Tatiana. "The Execution and Effects of Monetary Policy in Russia." Thesis, Lancaster University, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.514446.
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Dhankhar, Rashmi. "Effects of expansionary monetary policy shocks on financial variables." Thesis, Manhattan, Kan. : Kansas State University, 2010. http://hdl.handle.net/2097/3517.
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Lee, Young Koo. "Macroeconomic effects of monetary policy and oil price changes /." free to MU campus, to others for purchase, 1996. http://wwwlib.umi.com/cr/mo/fullcit?p9841213.
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Moleka, Elvis Musango. "Inflation dynamics and its effects on monetary policy rules." Thesis, University of Bath, 2015. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.687344.
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This thesis examines dynamic relationships between inflation and monetary policy in a sample of African economies using quarterly data over the period 1980:01 to 2012:04. The literature on inflation dynamics and monetary policy focuses on developed economies, with little attention devoted to the African economies, which is potentially explained by the fact that in the past monetary policy played second fiddle because of fiscal policy dominance following episodes of high inflation and stabilization policies that occurred in the 1980's. This thesis fills an important gap in assessing African's monetary policy. The thesis predominantly uses the Vector-Autoregression (VAR) framework to examine the monetary policy frameworks of the African economies. The thesis finds that an interest rate shock on average explain a more significant proportion of the variance in the output gap and inflation than the exchange rate, in terms of analysing the decomposition of shocks to the economy. This shows a shift in the monetary policy focus away from exchange rate management to interest rate targeting as the African economies have become more market oriented. The monetary policy reveal strong asymmetric responses with respect to the macroeconomic variables when inflation exceeds its threshold value. The analysis suggests that monetary policy in the African economies is regime-dependent, propagated through the inflation thresholds, such that the authorities strongly implement policy changes when inflation goes beyond a certain threshold. The thesis reveals that by taking into account the prior belief of the monetary authorities, it helps produce better estimates of the performance of the monetary policy transmission mechanism, as it combines prior information with the sampling information which is contained in the data. The overall novelty of the thesis is that some African economies are adopting inflation targeting policies instead of exchange rate management. It is imperative that the subsequent inflation targeting frameworks will achieve monetary policy objectives for the African economies and the use of interest rate management should be continued.
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Yoo, Jae Soo. "Monetary superneutrality and monetary policy effects in post-war economies : a bivariate long-memory approach /." free to MU campus, to others for purchase, 2000. http://wwwlib.umi.com/cr/mo/fullcit?p9974704.
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Quitzau, Nina. "Swiss monetary policy analyzing the liquidity effect through VAR models and a DSGE model." Berlin dissertation.de, 2005. http://www.dissertation.de/buch.php3?buch=5031.
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Quitzau, Nina. "Swiss monetary policy : analyzing the liquidity effect through VAR models and a DSGE model /." Berlin : dissertation.de, 2007. http://www.dissertation.de/buch.php3?buch=5031.
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Mannerson, Ludvig. "ECB and U.S Monetary Policy Spillovers to Sweden: : Transmissions Channels and the Effects of Central Bank Information Bias/Unconventional Monetary Policy." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-447909.
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This paper revisits the transmission of ECB and U.S Fed monetary policy to Sweden by usingrecently developed measures of ECB and Fed monetary policy shocks, corrected for the centralbank information element. To analyze the spillovers of foreign monetary policy to Sweden Irely on the Local Projections methodology. First, I show that standard measures of foreignmonetary policy shocks that are known to contain a central bank information element can causecounterintuitive spillover effects to Swedish macroeconomic and financial variables. Second,my results suggest that monetary policy spillovers from the ECB and U.S Fed both havesubstantial impact on the Swedish economy, particularly through the aggregate demandchannel. While an ECB monetary contraction has a strong negative impact on Swedishmacroeconomic variables, the tightening of the U.S Fed monetary policy mostly exhibits an expansionary effect. Lastly, but crucially, my thesis demonstrates that US monetary policy has more substantial spillovers during the conventional monetary policy period, as the aggregatedemand channel is muted during periods of unconventional monetary policy.
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Wangpichayasuk, Kevalin. "Asymmetric effects of monetary policy shocks a case study of Thailand /." Bangkok : Faculty of Economics, Thammasat University, 2001. http://catalog.hathitrust.org/api/volumes/oclc/49194232.html.
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Thesis (M.A.)--Thammasat University, 2001."A thesis submitted in partial fulfillment of the requirement for the degree of Master of Economics (English Language Program), Faculty of Economics, Thammasat University, Bangkok, Thailand, May 2001." Includes bibliographical references (leaves 86-90).
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Rannenberg, Ansgar. "Explaining medium run swings in unemployment : shocks, monetary policy and labour market frictions." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/974.
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The literature trying to link the increase in unemployment in many western European countries since the middle of the 1970s to an increase in labour market rigidity has run into a number of problems. In particular, changes in labour market institutions do not seem to be able to explain the evolution of unemployment across time. We conclude that a new theory of medium run unemployment swings should explain the increase in unemployment in many European countries and the lack thereof in the United States. Furthermore, it should also help to explain the high degree of endogenous unemployment persistence in the many European countries and findings suggesting a link between disinflationary monetary policy and subsequent increases in the NAIRU. To address these issues, we first develop an endogenous growth sticky price model. We subject the model to an uncorrelated cost push shock, in order to mimic a scenario akin to the one faced by central banks at the end of the 1970s. Monetary policy implements a disinflation by following an interest feedback rule calibrated to an estimate of a Bundesbank reaction function. 40 quarters after the shock has vanished, unemployment is still about 1.8 percentage points above its steady state. The model also partly explains cross country differences in the unemployment evolution by drawing on differences in the size of the disinflation, the monetary policy reaction function and wage setting. We then draw some conclusions about optimal monetary policy in the presence of endogenous growth and find that optimal policy is substantially less hawkish than in an identical economy without endogenous growth. The second model introduces duration dependent skill decay among the unemployed into a New-Keynesian model with hiring frictions developed by Blanchard/Gali (2008). If the central bank responds only to inflation and quarterly skill decay is above a threshold level, determinacy requires a coefficient on inflation smaller than one. The threshold level is plausible with little steady-state hiring and firing ("Continental European Calibration") but implausibly high in the opposite case ("American calibration"). Neither interest rate smoothing nor responding to the output gap helps to restore determinacy if skill decay exceeds the threshold level. However, a modest response to unemployment guarantees determinacy. Moreover, under indeterminacy, both an adverse sunspot shock and an adverse technology shock increase unemployment extremely persistently.
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Nikolic, Marko, and Miriam Homsi. "Negative Interest Rates Effect Economic Stability." Thesis, Mälardalens högskola, Akademin för ekonomi, samhälle och teknik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-40911.
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Today's monetary policy is a historic one, where the introduction of negative interest rates has started a new "age" of unconventional monetary policy and some argue that there is a need for further unconventional monetary tools. The purpose of this thesis is to analyze negative interest rates, how they came to be, what long-term eect they have on economic stability and if its possible to get out. We do this by analyzing existing theoretical and empirical research, including a theoretical model based on household consumption, a cost of money function and an illustration of the liquidity trap. Thereby the thesis concludes that the short term positive eects of negative interest rate policy get exhausted in the long-term as the negative eects increase over time, thus creating an environment of excessive borrowing both by consumers and governments that might lead to instability and economic downturn in the long-term. Furthermore, the negative interest rate policy is creating a diculty of getting out of the negative interest rate environment because the consumers and the rms have gotten used to the "cheap money" and might have hard time nancing day to day operations in normal interest rate world.
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Da, Silva Rocha Manuel Duarte. "The aggregate and sectoral effects of monetary policy in Portugal." Thesis, University of Oxford, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.439740.
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BARBOZA, RICARDO DE MENEZES. "THE EFFECTS OF UNCERTAINTY ON ACTIVITY AND MONETARY POLICY IN BRAZIL." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2017. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33170@1.
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Este trabalho tem um duplo objetivo. Em primeiro lugar, investiga qual o efeito da incerteza sobre a atividade econômica no Brasil. Para isso, são construídas diversas proxies que buscam captar o nível de incerteza vigente no Brasil (incerteza doméstica) e em vários de seus principais parceiros comerciais (incerteza externa). Em seguida, são estimados modelos de vetores autorregressivos (SVAR), em linha com Baker, Bloom e Davis (2016). Os resultados obtidos sugerem que a incerteza tem efeitos contracionistas relevantes sobre a economia brasileira. Em segundo lugar, estuda qual o efeito da incerteza sobre o poder da política monetária no Brasil. Para tanto, são construídos diversos modelos de vetores autorregressivos interativos (IVAR), tal como proposto por Aastveit, Natvik e Sola (2013), porém estimados por LASSO Adaptativo. As estimativas obtidas não corroboram a hipótese de que sob alta incerteza os efeitos da política monetária sobre a atividade são menores do que sob baixa incerteza. Este resultado, no entanto, não é robusto.This work has a dual purpose. First of all, we investigate the effect of uncertainty on economic activity in Brazil. In order to do that, we construct several proxies which seek to capture the uncertainty level prevailing in Brazil (domestic uncertainty) and in several of our major trading partners (external uncertainty). Next, we estimate vector autoregressive (SVAR) models, in line with Baker, Bloom and Davis (2016). The results suggest that uncertainty has, in fact, contractionary effects on the activity in Brazil. Second, we study the effect of uncertainty on effectiveness of monetary policy in Brazil. Thus, we make use of interacted vector autoregressive (IVAR) models, as proposed by Aastveit, Natvik and Sola (2013), estimated, however, by Adaptive LASSO. Our estimates do not corroborate the hypothesis that under high uncertainty the effects of monetary policy on the activity are lower than under low uncertainty.
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Sun, Yunpeng. "Essays on the effects of monetary policy in China and Japan." Thesis, University of Portsmouth, 2018. https://researchportal.port.ac.uk/portal/en/theses/essays-on-the-effects-of-monetary-policy-in-china-and-japan(c899ef91-0feb-4bfa-9f09-3a2a7aeda042).html.
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This thesis seeks to shed a new light on the macroeconomic and financial effects of China's monetary policy and Japan's unconventional monetary policy by means of multi-equation time series models. It consists of four empirical chapters. The specific econometric techniques employed in this thesis include a factor-augmented vector autoregressive model (FAVAR), a Markov switching vector autoregressive model (MS-VAR), and a Markov switching structural factor-augmented vector autoregressive model (MS-SFAVAR). The formulation of these models is dictated by the research aims and objectives. The first empirical chapter studies the effects of China's monetary policy has positive and significant effects on the economy. Using the FAVAR model, this chapter documents that the effectiveness of China's monetary policy is limited to the quantity-based direct monetary instruments. More specifically, the quantity-based direct monetary instruments have positive and significant effects on the economy and the price level in China. By contrast, the effects of the price-based indirect monetary instruments are generally insignificant. Turning to the stock market, the second empirical chapter employs the MS-VAR model to show that China's monetary policy has asymmetric effects on the stock market in a bull market and in a bear market. The effects of China's monetary policy on the stock market in a bull market are stronger than in a bear market. The third empirical chapter investigates the effects of China's monetary policy on the tourism market. In this empirical chapter, I firstly outline a framework to analyse the effects of monetary policy on the tourism market. The results indicate that money supply, exchange rate, and other assets exert negative and significant effects on the China's tourism market. Turning to the Japan's unconventional monetary policy, the fourth empirical chapter identifies periods in which monetary policy was effective and periods in which it failed. In the "effective" period, Japan's unconventional monetary policy exerts positive and significant effects on the economy and the price level. In the "failure" period, Japan's unconventional monetary policy has positive and significant effects on the financial market, the economy and the price level. In general, my research findings highlight positive and significant effects of China's monetary policy on the economy. Considering the characteristics of China's economic transformation, the effectiveness of monetary policy is also limited by a number of factors, such as the low levels of ownership marketization. The thesis also looks at how the economy responds to monetary policy with a particular emphasis on the stock market and the tourism market. In this regard, the effectiveness of China's monetary policy is confirmed also for these sectors. Moreover, this thesis quantifies the macroeconomic and financial effects of three rounds of unconventional monetary policy in Japan.
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Marra, Lauren J. "The Effects of Unconventional Monetary Policy on Asset Prices Across Markets." Thesis, Boston College, 2012. http://hdl.handle.net/2345/2609.
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Thesis advisor: Peter IrelandWith interest rates stuck near zero for the foreseeable future, the Federal Reserve has had to employ numerous unconventional monetary policy measures in an attempt to stimulate an economy in the after math of the worst economic downturn since the Great Depression. I assess the usefulness of market-based measures of expectations in gauging the effects of these seemingly extreme policy actions undertaken in an environment of unprecedented fear and uncertainty. I use a principal component analysis to combine a number of asset prices that indicate different types of market expectations; by combining these variables into one single variable indicator, this principal component variable filters out the variance among these similar variables and focuses on the common movements among the variables that can be attributed to a specific market force such as investors’ inflation expectations, overall market risk appetite, and economic growth expectations
Thesis (BA) — Boston College, 2012
Submitted to: Boston College. College of Arts and Sciences
Discipline: College Honors Program
Discipline: Economics
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Conti, Antoniomaria. "Essays on Monetary Policy, Low Inflation and the Business Cycle." Doctoral thesis, Universite Libre de Bruxelles, 2017. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/260933.
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The last ten years have been extremely challenging for both researchers in monetary economics and policymakers.The Global Financial Crisis of 2007-2009, in spite of its size and severity, was initially widely perceived in the Euro Area (EA) as an imported and transitory crisis: it was frequently predicted that the EA economy would recover once the US and the World Economy rebounded. Instead, after a brief period of recovery, the Euro Area was hit by the Sovereign Debt Crisis of 2011-12, a domestic crisis which widened the divide already existing between core and peripheral countries up to the point of threatening a break-up of the euro. Thanks to the bold monetary policy response of the ECB this fear gradually vanished, but the sudden fall in oil price and the uncertain economic outlook led to the low inflation period, particularly severe in the EA, in which inflation, both in terms of headline and core measures, is well below the ECB target of 2%. This prompted the ECB to launch its Quantitative Easing program, at the beginning of 2015, much later than what the FED implemented to offset the impact of the 2007-09 crisis.This dissertation consists of two different but interlinked parts, which contribute to the empirical literature on monetary policy, low inflation and the business cycle. The first part is composed by Chapters I and II, and it is devoted to analyse the EA economy, both before the Global Financial Crisis and during the most recent low inflation period. The second one, composed by Chapters III and IV, focuses on the US economy to evaluate the possible negative consequences of the extraordinary monetary stimulus undertaken by the FED. In particular, we study the risks for both price and financial stability of the effects of the so called lift-off, i.e. the gradual normalization of monetary stance. In the first Chapter, we provide novel evidence on the different effects of the ECB common monetary policy on euro-area core and peripheral countries even before the eruption of the crisis.We estimate a structural dynamic factor model on a large panel of Euro Area quarterly variables to take into account both the comovement and the heterogeneity in the EA business cycle, and we then simulate the model to investigate the possible existence of asymmetric effects of ECB monetary policy on member states' economies. Data stop before the eruption of the Global Financial Crisis in order to only assess conventional monetary shocks, which are identified by means of sign restrictions. Although the introduction of the euro has changed the monetary transmission mechanism in the individual countries towards a more homogeneous response, we find that differences still remain between North and South Europe in terms of prices and unemployment. These results are the consequence of country-specific structures, rather than of European Central Bank policies.In the second Chapter we use a Bayesian VAR model to analyse the transmission of global and domestic shocks in the euro area, with a particular focus on the drivers of inflation, especiallyin the recent period labeled as low inflation. We identify several shocks by means of sign restrictions, and we account for the role of ECB unconventional monetary policies by using a shadow interest rate. We document that the recent low inflation phase was not entirely attributable to falling oil prices, but also to slack in economic activity and to insufficiently expansionary monetary policy, because of the Zero Lower Bound of interest rates. Interestingly, we show that the launch of the ECB Quantitative Easing turned the monetary stance into more accommodative, preventing deflationary outcomes. In the third Chapter we provide an empirical evaluation of the existence of a "dark side" of monetary policy, i.e. the possibility that credit spreads abruptly rise following a monetary tightening, after being compressed by an extraordinary period of monetary easing. This would create a problematic trade--off for the central bank, as temporary monetary expansions might at once stimulate the economy and sow the seeds of abrupt and costly financial market corrections in the future in terms of risks for financial stability (Stein, 2014).We investigate this possibility using data for the US by exploiting non-linear methods to examine the propagation of monetary shocks through US corporate bond markets. Across different methodologies, we find that the transmission of monetary shocks is mostly symmetric. What is asymmetric is instead the impact of macroeconomic data releases: spreads respond more to bad news. Crucially, these responses anticipate economic slowdowns rather than causing them directly.However, empirical evidence points to the possibility of larger effects of expansionary monetary shocks depending on (i) the type of non-linear estimation technique (ii) the identification of the shock and (iii) the inclusion of unconventional measures in the analysis. Finally, in the fourth Chapter, we ask whether the FED has riskily delayed the exit from its large monetary easing, increasing the probability of a future inflationary burst. We do so by means of medium and larger scale Bayesian VAR, which we use for both structural analysis, i.e. the evaluation of monetary policy shocks, and forecasting, i.e. the running of counterfactuals and scenario analysis.We show that expansionary monetary policy did not trigger a large deviation of inflation from its steady state. Furthermore, the FED monetary stance is totally in line with the concurrent macroeconomic dynamics. Last, our model predicts that US core inflation will lie well below its 2% target in 2017, a finding only recently acknowledged by the FOMC projections.Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished
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Ding, Yan, and 丁艷. "Measuring the long-and short-run effects monetary policy on real economic activity in China." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40887807.
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Ding, Yan. "Measuring the long-and short-run effects monetary policy on real economic activity in China." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/B40887807.
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Fischer, Andreas M. "Money announcements and their effects on asset prices." Thesis, University of Oxford, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.290905.
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Taye, Alemayehu Demissew. "Evaluation of Monetary Policy in Ethiopia: An Empirical Study." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-333505.
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In this paper, a structural vector auto regression (SVAR) approach is used to empirically investigate the effects of monetary policy shocks on output (measured by real GDP) and prices (measured by consumer price index) in Ethiopia. We isolated the SVAR structural shocks by imposing restrictions on the long- run behavior of the variables in the model, which places a recursive restriction on the disturbances of the SVAR. We considered three alternative policy instruments i.e. broad money supply (M2), lending rate and the real effective exchange rate (REER). We find evidence that price-based nominal anchors (Interest rate and REER) have an effect on real output, a modest effect of the lending rate while a significant effect of REER is documented, with a slightly faster speed of adjustment. Similarly, innovation in the quantity based nominal anchor (M2) affects economic activities significantly. Powered by TCPDF (www.tcpdf.org)
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Chang, Wen-Hua, and 張雯華. "The Effect of Monetary Policy on Sentiment Indicators." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/16157159539779405383.
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碩士中原大學
企業管理研究所
98
Abstract This research studies the effects of monetary policy on emotional index. By adopting the changes of re-discounted rates, the changes of deposit-reserve rates and open market operations as variables, this study examines monetary effect on VIX, Put Call Ratio, TRIN and Bull Bear Spread by means of ARCH and GARCH(1,1) models, respectively. Besides, the monetary policy is categorized into tight and loose ones, thereby figuring out whether or not different implementation may cause expectation on emotional index for investors. Through ARCH (1) and GARCH (1,1) analyses, the result demonstrated that the decreases of re-discounted rate and deposit-reserve rate could not lower the panic of investors. Under the open market operation, the results of GARCH model showed that the positive significance relationship between short-run repurchase agreement on VIX, This represents that the loose open market operation conversely increases VIX, reflecting that loose monetary policy is not only ineffective, but also causes adverse result. Fed’s long-term open market operation for outright purchase (OR) and outright sell (OS) contributed to the adverse effects on Put Call Ratio by using ARCH and GARCH models, This demonstrates that the loose monetary policy will effectively lower the Put Call ratio. During the period of financial crisis, investors still have confidence in the market; therefore, the Fed’s long-term market operation of OR and OS is an effective monetary tool providing a crucial reference for the adoption of monetary policy for policy makes.
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Traverso, Raffaella. "Unconventional monetary policy." Master's thesis, 2014. http://hdl.handle.net/1822/30588.
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Dissertação de mestrado em Monetary, Banking and Financial EconomicsIn this work, I use data for the US at both quarterly and monthly frequencies and estimate a Bayesian Structural Vector Autoregression (B-SVAR) to assess the macroeconomic impact and the wealth effects of unconventional monetary policy. I show that neither a positive shock to the interest rate spread, nor a positive shock to the central bank s reserves significantly affect the output and the aggregate price level. However, both shocks give a strong boost to asset prices, which is temporary in the case of stock prices and gradual and persistent in the case of housing prices. Thus, the main channel via which unconventional monetary policy operates is through wealth re- allocation: by expanding the size of its balance sheet and purchasing troubled assets, the central bank releases money that economic agents use to increase their exposure to risk by investing in real estate, stocks and long-term debt. Finally, I account for the three rounds of quantitative easing put in place by the Federal Reserve. I show that, if anything, the magnitude and the persistence of the effects are lower in the case of QE2 and QE3.
Neste trabalho, é estimado o impacto macroeconómico e os efeitos riqueza da política monetária não convencional tendo por base dados trimestrais e mensais para os Estados Unidos da América e um Vector Auto-Regressivo Estrutural Bayesiano. Mostra-se que um choque positivo sobre o spread entre a taxa de juro de longo-prazo e a taxa de juro de curto-prazo ou um choque positivo sobre a taxa de crescimento das reservas do banco central não tem um efeito significativo sobre o produto e o índice de preços. Contudo, ambos os choques estimulam fortemente os preços dos activos, sendo o efeito temporário no caso dos preços das acções e gradual e persistente no caso dos preços da habitação. Logo, o principal mecanismo de transmissão da política monetária não convencional opera por via do efeito riqueza: ao expandir o seu balanço e adquirir activos problemáticos, o banco central gera a liquidez de que os agentes económicos necessitam para aumentar a sua exposição ao risco, assim como o seu investimento em habitações, acções e dívida de longo-prazo. Finalmente, é analisado o impacto à luz dos três programas de exibilização da política monetária levados a cabo pela Reserva Federal Americana. Mostra-se que, quando muito, a magnitude e a persistência dos efeitos são menores no caso do segundo e do terceiro programas.
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Chao, Chun-Hao, and 趙俊豪. "The Effect of Monetary Policy and Fiscal Policy on the Price Level." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/93706039648502898032.
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碩士淡江大學
財務金融學系碩士在職專班
98
The aim of this research is to investigate the dynamic relationship among money supply, government spending and inflation rate. The empirical finding is that the increment of money supply by the expansionary monetary policy will drag up the inflation rate, whereas the expansionary fiscal policy keeps the aggregate price in a comparative stable level. Therefore, this research concludes that when the government decides to implement the expansionary policy in order to increase the GDP, it should adopt fiscal policy rather than monetary policy to avoid the financial crisis caused by the hyperinflation.
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Chao, Chih-Wei, and 趙志偉. "Asymmetric Effects of Monetary Policy." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/30842612324589658934.
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楊家麟. "Monetary Policy/Fiscal Policy Announcement to the Effect of Exchange Rate Dynamics Adjustment." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/25542111341671578673.
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Liap, Jyh Fooh, and 聶志福. "The Credit Channel Of Monetary Transmission And The Growth Effect Of Fiscal And Monetary Policy." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/80312988573885821432.
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碩士國立臺北大學
經濟學系
99
This thesis develops an endogenous growth model with a banking system and the reserves market, where the central bank adopts the nominal interest rate rules and affects the overnight loan rate through open market operation. By means of the model, this thesis analyzes the effect on the economy's long-run growth rate of monetary and fiscal policy. To highlight the role of the credit channel of monetary policy transmission, we start with a basic model without the banking system and the reserves market, and obtain traditional results that: (1) the economy's long-run growth rate is immune to changes in the corporate tax rate and the consumption tax rate; (2) personal income taxation has a negative effect on the long-run growth rate. We then show that once the banking system and the reserves market are incorporated into the model, the long-run growth effects of the corporate tax and the consumption tax are no longer nil. Since the behaviors of commercial banks are properly described, the model is able to analyze the effect of changes in the reserve requirement ratio. It turns out that an increase in the reserve requirement ratio negatively affects the economy's long-run growth rate.
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Li, YU-Ling, and 李玉玲. "The Effect of Monetary Policy Shock on the Stock Return." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/71628021381338705402.
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碩士淡江大學
財務金融學系
87
This study examines whether or not stock return responds asymmetrically to monetary policy shocks using Taiwan''s data form 1978:02 to 1998:12. The importance of this issue is that if monetary policy shocks do effect asset market return, then, according to the theory of asset pricing, monetary policy changes contribute one source to asset systematic risk, and thereby changing investors'' expectations about asset returns and prices. This efforts one possible channel through which monetary policy shocks affect nominal asset return. A generalized autoregressive conditional heteroskedasticity(GARCH) model is utilized to construct the conditional variation of monetary policy changes used to normalize unexpected movements in monetary policy. It is found that stock return responds more to positive monetary policy shocks than to negative shocks. Furthermore, it is indicates that positive normalized shocks have a powerful effect on stock return while negative normalized shocks do not.
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Termos, Ali. "Banking structure and the effect of monetary policy on bank lending." 2005. http://www.lib.ncsu.edu/theses/available/etd-08102005-013747/unrestricted/etd.pdf.
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Lin, Chen-Chao, and 林振造. "The Announcement Effect of Monetary Policy Adjustments on Taiwan Stock Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/54852423469293515482.
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Lee, Yi-Tan, and 李易潭. "The effect of Fed monetary policy on U.S. industry sector returns." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/76566396663340094825.
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碩士國立中正大學
財務金融研究所
99
This study examines the effect of FOMC announcements of Federal funds target rate decisions on U.S. industry sector returns. We find that only the unexpected changes in Federal funds target rate--the surprises--are crucial determinants. We find that, on average, an unexpected 100-basis-point cut in Federal funds target rate leads an about 6.24% increase in the stock market.The stock market responds differently to the reversal decisions and to negative and positive surprises. This study argues that there is significant cyclical variation in the impact of monetary policy shocks on the industry sector returns. Moreover, the reaction of the industry sector returns to the monetary policy shocks is larger in a tight credit market. We document the state’s dependence on the reaction of the industry sector returns, that is, the response is larger in a recession and in a tight credit market (in bad economic times) than in good economic times. Overall, the results are consistent with the credit channel of monetary policy channel.
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Hsieh, Pei-Ying, and 謝佩穎. "The Effect of Monetary Policy on the Chinese Bank Liquidity Creation." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/23907784990850505019.
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碩士國立臺灣大學
財務金融學研究所
103
In recent years, Chinese government actively implement monetary policy, is nothing more than hope to pull forward the development of China''s economic orientation. The banking sector as a financial intermediary, has a special position and role in the central bank''s monetary policy is passed, the banking industry if a good response of monetary policy, the implementation of its "liquidity creation" function, an important overall environmental impact of today''s China one of the factors. However, although the increase in market liquidity and create liquidity, but also causing bank debt maturity mismatch of assets is more serious, the government for the regulatory bank risk, bank liquidity creation leads to exert the function affected, but to take a more active bypass mode through Chinese-style shadow banking balance sheet items such as trust assets and other ways to create liquidity. Therefore, this combination of three elements: (1) banking sector liquidity creation function, (2) People''s Bank of China monetary policy, (3) the shadow banking factors discussed monetary policy implemented by the central bank through empirical research on China''s banking sector liquidity creation functions are affected, and then the final reaction in the real economy. At the same time, also after joining the shadow banking factors, whether the change will affect the results. Study found that regardless of whether the factors to consider shadow banking, bank liquidity creation functions will be subject to changes in monetary policy arising from changes in the central bank and presented significant negative correlation between the two, the implementation of the central bank to tighten monetary policy, said the bank will liquidity creation effect is reduced, and regardless of the five commercial banks, the national joint-stock commercial banks and city commercial banks are the presence of the same effect, indicating that monetary policy and bank liquidity creation can complement each other to change the market liquidity; the other hand, the paper also confirmed that the central bank the monetary policy will indeed consider the case of commercial banks liquidity creation, especially heavy discount rate and the one-year lending interest rate, and liquidity creation presents significant positive correlation, the greater bank liquidity creation, will make the central bank to tighten monetary policy to prevent the spread of liquidity too.
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LIN, CHE-WEI, and 林哲緯. "The Effect of FED Monetary Policy on Bank Profitability in Taiwan." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/g5n66n.
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