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Napier, Steven. "Roosevelt's monetary policy." Huntington, WV : [Marshall University Libraries], 2005. http://www.marshall.edu/etd/descript.asp?ref=600.
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Theses (M.A.)--Marshall University, 2005.Title from document title page. Includes abstract. Document formatted into pages: contains v, 180 p. Bibliographical notes by chapters: p. 142-158. Bibliography: p. 159-180.
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Malik, Ali Khalil. "Essays on monetary policy : formulation and implementation of monetary policy rules." Thesis, University of Manchester, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.625463.
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Monetary Policy Economics has grown substantially over the recent years. The presentation of a simple monetary policy rule by Professor John Taylor stimulated an enormous amount of research on monetary policy and in particular on the formulation and implementation of the monetary policy rules. Economists have evaluated monetary policy rules and regimes i.e. their feasibility, viability etc. from various dimensions. However research on many of the issues related to monetary policy is still pending. This thesis is organized in the form of a series of essays on monetary policy. This particular field of economics is so dynamic that adhering to a single model or topic for the completion of one's thesis may not prove to be very fruitful. Models and topics intensively examined by researchers have changed rapidly over the recent years. We now no longer see the ad hoc econometric models (which were frequently used in the past) for the evaluation of the monetary policy rules. To keep up with the existing literature and also to examine monetary policy from more than one dimension, I decided to organize this thesis as a collection of essays. I evaluate various monetary policy rules in these essays using simulations, empirical estimation etc. In the context of a closed economy (using simulations) in one essay I examine the viability and preferability of the Taylor rule, nominal income targeting rules and inflation targeting rules. In another two essays in the same context I examine the performance of the monetary policy rules in response to fiscal and asset price bubble shocks. In the open economy context (using simulations) I examine the performance of domestic/CPI inflation targeting rules. In another essay for a closed economy I use a mixture of (empirical) estimation and simulation for examining the impact of shocks in an inflation targeting regime. The essays which are exclusively empirical in nature include one in which I examine the preferences of the policy makers (in terms of the policy regimes) using regime switching policy rules. Another paper in the same category examines the effectiveness of inflation targeting in the UK using a VAR framework. In an open economy context I examine the optimal policy rules in a small estimated macro-econometric model. In a multi-country setting a short paper examines the policy rules (using simulations only) in a two country framework. A final essay examines the determinacy and E-stability of the equilibrium under the Taylor rule and the nominal income targeting rule in a New Keynesian framework. Most of the essays in the thesis utilize some sort of a small dynamic general equilibrium framework for the evaluation of the policy rules. Each essay is designed to be independent from every other essay, so as to be individually accessible to the reader. I very much hope that the essays prove to be useful contributions to the existing literature on monetary policy and will help in stimulating further research on monetary policy.
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Söderström, Ulf. "Monetary policy under uncertainty." Doctoral thesis, Handelshögskolan i Stockholm, Samhällsekonomi (S), 1999. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-646.
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This thesis contains four chapters, each of which examines different aspects of the uncertainty facing monetary policymakers.''Monetary policy and market interest rates'' investigates how interest rates set on financial markets respond to policy actions taken by the monetary authorities. The reaction of market rates is shown to depend crucially on market participants' interpretation of the factors underlying the policy move. These theoretical predictions find support in an empirical analysis of the U.S. financial markets.''Predicting monetary policy using federal funds futures prices'' examines how prices of federal funds futures contracts can be used to predict policy moves by the Federal Reserve. Although the futures prices exhibit systematic variation across trading days and calendar months, they are shown to be fairly successful in predicting the federal funds rate target that will prevailafter the next meeting of the Federal Open Market Committee from 1994 to 1998.''Monetary policy with uncertain parameters'' examines the effects of parameter uncertainty on the optimal monetary policy strategy. Under certain parameter configurations, increasing uncertainty is shown to lead to more aggressive policy, in contrast to the accepted wisdom.''Should central banks be more aggressive?'' examines why a certain class of monetary policy models leads to more aggressive policy prescriptions than what is observed in reality. These counterfactual results are shown to be due to model restrictions rather than central banks being too cautious in their policy behavior. An unrestricted model, taking the dynamics of the economy and multiplicative parameter uncertainty into account, leads to optimal policy prescriptions which are very close to observed Federal Reserve behavior.Diss. Stockholm : Handelshögskolan, 1999
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Söderström, Ulf. "Monetary policy under uncertainty /." Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 1999. http://www.hhs.se/efi/summary/506.htm.
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Himmels, Christoph. "Essays on monetary policy." Thesis, University of Exeter, 2012. http://hdl.handle.net/10036/3735.
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This thesis consists of three essays on optimal monetary policy. In the first essay I study time-consistent monetary policy in an small open economy model with incomplete financial markets. I demonstrate the existence of two discretionary equilibria. The model is capable of explaining periods of different exchange rate volatilities as well as the transition between those regimes. Following a shock the economy can be stabilised either `quickly' or `slow', where both dynamic paths satisfy the conditions of optimality and time-consistency. I also show that a policy of partially targeting the exchange rate results in far worse welfare outcomes relative to a strict inflation targeting policy. In the second essay, I analyse how a policy maker can avoid expectation traps and coordination failures. Using a framework developed by Schaumburg and Tambalotti (2007) and Debortoli and Nunes (2010) in which a policy maker may or may not default on past promises I show that already mild degrees of precommitment are sufficient to generate uniqueness of the Pareto-preferred equilibrium. In the last chapter, I examine optimal monetary policy from an empirical perspective. I estimate a simple small open economy model separately for a policy maker acting under commitment and discretion and find that the data favours the commitment approach. Furthermore, the data suggest that the Bank of Canada did not target the nominal exchange rate in the inspected time period.
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Tang, Gaoyan (Jenny). "Essays in Monetary Policy." Thesis, Harvard University, 2014. http://dissertations.umi.com/gsas.harvard:11476.
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This dissertation presents three chapters addressing issues pertaining to monetary policy, information, and central bank communication. The first chapter studies optimal monetary policy in an environment where policy actions provide a signal of economic fundamentals to imperfectly informed agents. I derive the optimal discretionary policy in closed form and show that, in contrast to the perfect information case, the signaling channel leads the policymaker to be tougher on inflation. The strength of the signaling effect of policy depends on relative uncertainty levels. As the signaling effect strengthens, the optimal policy under discretion approaches that under commitment to a forward-looking linear rule, thereby decreasing the stabilization bias. This contributes to the central bank finding it optimal to withhold its additional information from private agents. Under a general linear policy rule, inflation and output forecasts can respond positively to a positive interest rate surprise when the signaling channel is strong. This positive response is the opposite of what standard perfect information New Keynesian models predict and it matches empirical patterns found by previous studies. Chapter 2 provides new empirical evidence supporting the predictions of the model presented in Chapter 1. More specifically, I find that the responses of inflation forecasts to interest rate surprises is especially positive when there is greater uncertainty regarding the previous forecast. Finally, Chapter 3 examines whether communications by the Federal Open Market Committee might have the ability to influence financial market responses to macroeconomic news. In particular, I am able to relate labor-related word use in FOMC statements and meeting minutes to the amount by which interest rates' response to labor-related news exceeds their response to other news.Economics
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Jaaskela, Jarkko Petteri. "Monetary policy under uncertainty." Thesis, Birkbeck (University of London), 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.401857.
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TRISTAO, TIAGO SANTANA. "ESSAYS ON MONETARY POLICY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2017. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=36292@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
Esta tese consiste de três ensaios sobre política monetária. O primeiro investiga o problema de endogeneidade relacionado a estimação de regras de política monetária. O estimador de Mínimos Quadrados Ordinários gera estimativas viesadas e inconsistentes devido ao problema de endogeneidade. O uso de Método Generalizados dos Momentos (MGM) tem sido defendido como uma maneira eficiente de eliminar o viés. Nós usamos um modelo Novo Keynesiano de três equações para mostrar analiticamente que o viés de endogeneidade é uma função da fração da variância das variáveis contabilizadas pelo choque monetário. Se os choques monetários explicam apenas uma pequena fração das variações da inflação e do hiato do produto, então o viés de endogeneidade é pequeno. Nós então usamos métodos de Monte Carlo para mostrar que este resultado sobrevive em modelos econômicos mais complexos. No segundo artigo nós estimamos um modelo dinâmico estocástico de equilíbrio geral para avaliar os efeitos de forward guidance em um ambiente em que o prêmio de risco varia no tempo. Nós avaliamos os efeitos de forward guidance sobre a curva de juros e documentamos como choques de news impactam as variáveis macroeconômicas. Os resultados mostram que forward guidance tem impacto limitado na macroeconomia. Além disso, nossos resultados sugerem que o forward guidance puzzle não pode ser eliminado mesmo em um ambiente no qual forward guidance tem papel limitado nas taxas de juros mais longas. O terceiro artigo explora informações das variações dos juros para identificar choques monetários de news em um modelo macro-financeiro dinâmico. Nós permitimos variação no prêmio de risco e correlação entre os choques de news em um modelo restrito à taxa nominal de juros igual a zero. Apresentamos evidências de que o uso de métodos de máxima verossimilhança, combinado com modelos dinâmicos, não é suficiente para identificar os choques de news. Esta falha está associada com a ausência de mecanismos mais sofisticados para lidar com os movimentos da curva de juros durante o período recente de recessão econômica.
This thesis consists of three essays on monetary policy. The first investigates the endogeneity problem related to monetary policy rules estimation. Ordinary Least Square estimator generates biased and inconsistent estimates due to endogeneity. Generalized Method of Moments (GMM) has been used on the pretext of eliminating the bias. We show analytically in the 3-equation New Keynesian model that the asymptotic bias is a function of the fraction of the variance of variables accounted for by monetary policy shocks. Since the monetary policy shocks explain only a small fraction of inflation and the output gap, hence, the endogeneity bias is small. We use Monte Carlo methods to show that this result survives in larger DSGE models. In the second article we estimate a medium-scale DSGE model to assess the effects of forward guidance in a framework with endogenous time-varying price of risk. We investigate how the forward guidance impact the term structure of interest rates, and document how different monetary policy news can impact macroeconomic variables. We find that forward guidance, through isolated news shocks, has limited impact on long term rates. Also, anticipated and surprise shocks have similar effects on bond yields as the economy is not restricted by the ZLB. Further, our results suggest that the forward guidance puzzle cannot be eliminated even within a framework in which forward guidance has limited impact on long term rates. The third essay exploits information from changes in yield curve to identify monetary news shocks in a macro-financial DSGE model. We allow a timevarying term premium and zero lower bound (ZLB) constraints. Although the DSGE econometric literature has argued in favor of the likelihood-based methods to identify and estimate the anticipated components of exogenous innovations, we show evidence that this approach, in combination with a standard New Keynesian DSGE model, does not provide a satisfactory estimation of the recent course of forward guidance shocks. This failure is associated with the absence of a richer mechanism to deal with the yield curve in the the recent recession.
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Zettelmeyer, Jerónimo. "Essays on monetary policy." Thesis, Massachusetts Institute of Technology, 1995. http://hdl.handle.net/1721.1/11305.
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Nguyen, Anh D. M. "Essays on monetary policy." Thesis, Lancaster University, 2015. http://eprints.lancs.ac.uk/76883/.
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This thesis consists of three essays which aim to evaluate the role played by monetary policy in economic outcomes. The first two essays investigate the properties of the historical conduct of monetary policy in the United Kingdom and the United States, respectively, and justify how these properties are related to economic performance. The third essay analyzes the impact of changes in the volatility of monetary policy shocks on the economy using a Dynamic Stochastic General Equilibrium (DSGE) model with financial frictions.
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Xu, Xin. "Flexible monetary policy rules." Thesis, University of East Anglia, 2017. https://ueaeprints.uea.ac.uk/63641/.
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The thesis includes three independent essays that investigate the properties of monetary policy rules that modern Central Banks enact in response to different shocks. Chapter 2 considers the changes observed in the policy rules followed by the Bank of England after the financial crisis in 2007. Strong evidence indicates that the linear Taylor rule is not able to capture the behaviour of the Bank of England. Considering three different types of non-linear Taylor rules – in particular, the structural model, the threshold model and the opportunistic model – we obtain robust results showing that the Bank of England has changed its policy priorities after the crisis. In Chapter 3, we compare the endogenous switching rule, in which the weights change according to the macroeconomic conditions, with the “traditional” Taylor rule with fixed weights in the basic New Keynesian model. The results show that although the endogenous-switching rule outperforms the “original” Taylor rule, the economy could benefit from implementing the linear Taylor rule by increasing the weights of inflation and output gap. Chapter 4 evaluates different monetary policy rules in a small open economy. In this framework, there exists an optimal rule which may however be hard to implement in practice. Central Banks may thus consider alternative rules. In order to minimise the welfare loss with respect to the optimal rule, we consider discretionary rules, the Taylor rule and the Taylor rule with real exchange rate, finding that the ranking of welfare performance depends on intratemporal elasticity of substitution and the degree of openness.
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Meaning, Jack. "Innovations in monetary policy." Thesis, University of Kent, 2016. https://kar.kent.ac.uk/54684/.
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The turn of the century brought with it a period of stability, both for the global macroeconomy, but also for the consensus view of how monetary policy could and should operate within it. Policymakers and academics widely agreed that control of the short-term nominal interest rate was sufficient to achieve price stability and moderate the worst of the economic cycle. However, more recent history has shown this view of the world to be a best overly simplistic, and at worst, dangerously flawed. Short-term interest rates have become constrained by their lower bound and monetary policymakers have turned to a range of alternative, unconventional policy measures in pursuit of their objectives. This thesis looks to investigate some of the reasons why the previous paradigm failed and starts to assess the range of innovations that have come in to play as part of the fundamental reassessment of the policy framework. It does this from the point of view of theory, but also empirically, employing econometric techniques to quantify the impacts of recent large-scale asset purchase programmes by central banks. Finally, it looks to develop a detailed model which begins to address some of the limitations of the pre-crisis paradigm by including a role for money which can be created by either policymakers, or the financial sector.
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Liz, Pedro Henrique Koerich de. "Spillovers in monetary policy." reponame:Repositório Institucional da UFSC, 2017. https://repositorio.ufsc.br/xmlui/handle/123456789/180539.
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Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Sócio Econômico, Programa de Pós-Graduação em Economia, Florianópolis, 2017.Made available in DSpace on 2017-10-31T03:16:14Z (GMT). No. of bitstreams: 1 348876.pdf: 1998898 bytes, checksum: f0a0366bd6ae9813367320dc160f3602 (MD5) Previous issue date: 2017
Abstract : The FED and ECB monetary policy decisions regarding the target interest rate are one of the main drivers of global financial cycles that affect both emerging and developed economies. Because of that, the investigation of how monetary policy decision announcements regarding official interest rate target made by the FED and ECB spillover in both yield curves is important for both market participants and academics. In this sense, this work extends the monetary-jump model in León and Sebestyén (2012) to a bivariate structure, which allows the analysis of four objectives: (1) Assess the extent to which not anticipated monetary policy decision contributes to the overall volatility in term structure of interest rates; (2) analyze the predictability of FED and ECB decisions and announcements; (3) assess if volatility and monetary policy spillover effects between the US and EMU yield curves exist; (4) identify two types of systematic jumps: jumps specific to one interest rate and jumps that occur to both interest rates at the same time, and assess the correlation between jumps in both markets. The empirical evidence suggested a high level of linkage between the two markets, especially during the world financial crises, when correlated jumps appear to drive the jump arrival process of both yield curves. The jump structure is very important to explain interest rate volatility; however, unanticipated monetary policy decisions report a little contribution to the overall volatility. As for the predictability of the monetary authority, future rates do not anticipate monetary policy decisions as shorter rates, indicating market participants are more likely to change their future monetary policy expectations only after the statement has been released, implying future rates are less predictable by the market participants. Monetary policy decisions spillover effects were relevant to explain jumps in the monetary authority meeting days, since foreign monetary decisions appear to create more jumps in both yield curves than the domestic monetary policy. This suggests domestic interest rate market participants predict their domestic monetary policy better than foreign central bank decisions. Finally, regarding volatility spillover effects, it can be seen that the covariance dropped during the financial crises period, at the same time the correlated jump intensity became large and drove both markets jumps arrival processes. During the sample period analyzed both individual and correlated jumps generated in the US and EMU interest rates markets are due more to other events than to unanticipated monetary policy decisions.
As decisões de política monetária do FED e ECB em relação as suas respectivas metas da taxa de juros são um dos determinantes do ciclos financeiros globais que afetam as economias emergentes e desenvolvidas. Por conta disso, a investigação de como as decisões de política monetária em relação a meta oficial da taxa de juros feita pelo FED e ECB transbordam em ambas estruturas a termo da taxa de juros é importante para os participantes do mercado e acadêmicos. Neste sentido, este trabalho estende o modelo monetary-jump de León e Sebestyén (2012) para uma estrutura bivariada, permitindo a análise de quatro objetivos: (1) Avaliar a contribuição das decisões de política monetária não antecipadas para a volatilidade da estrutura a termo da taxa de juros; (2) analisar a previsibilidade das decisões do FED e ECB; (3) avaliar se o transbordamento de volatilidade e política monetária entre as estruturas a termo da taxa de juros dos Estados Unidos e União Europeia existe; (4) identificar dois tipos de saltos sistemáticos: saltos específicos a uma taxa de juros e saltos que ocorrem em ambas taxas de juros ao mesmo tempo, e avaliar a correlação entre os saltos nos dois mercados. As evidências empíricas sugerem um alto nível de relacionamento entre os dois mercados, especialmente durante a crise financeira global, aonde os saltos correlacionados aparecem como principal determinante do processo de chegada dos saltos em ambas estruturas a termo da taxa de juros. A estrutura de saltos é muito importante para explicar a volatilidade das taxas de juros, entretanto, decisões de política monetária não antecipadas reportam uma pequena contribuição para a volatilidade total. Já em relação a previsibilidade da autoridade monetária, taxas de juros futuras não antecipam as decisões de política monetária como as taxas de juros mais curtas, indicando que os participantes do mercado estão mais propensos em mudar suas expectativas em relação ao futuro da política monetária apenas depois do anúncio ser divulgado pelo Banco Central, implicando que as taxas de juros futuras são menos previsíveis pelos participantes do mercado. Efeitos de transbordamento de decisões de política monetária são relevantes para explicar saltos em dias de reunião da autoridade monetária, visto que as decisões de política monetária estrangeira aparentam criar mais saltos em ambas estruturas a termo da taxa de juros que as decisões de política monetária doméstica. Isto sugere que os participantes do mercado de taxa de juros doméstico prevem e antecipam melhor a política monetária doméstica do que as decisões do Banco Central estrangeiro. Finalmente, em relação aos efeitos de transbordamento de volatilidade, pode ser visto que a covariância entre os mercados de juros caiu durante o período da crise financeira global, no mesmo tempo em que a intensidade dos saltos correlacionados ficaram maiores e determinaram o processo de chegada dos saltos em ambos mercados. Durante o período amostral analisado, os saltos individuais e correlacionados gerados no mercado de taxa de juros dos Estados Unidos e da União Europeia acontecem mais por conta de outros eventos do que por conta de decisões de política monetária não antecipadas.
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DELLE, CHIAIE SIMONA. "Essays on monetary policy." Doctoral thesis, Università degli Studi di Roma "Tor Vergata", 2009. http://hdl.handle.net/2108/769.
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Questa tesi contribuisce alla recente letteratura che studia le conseguenze quantitative dell'informazione incompleta circa il reddito potenziale per le decisioni di politica monetaria.
Attraverso l'utilizzo di metodi Bayesiani un modello Neo Keynesiano viene stimato tenendo
esplicitamente conto del problema di informazione incompleta.
La stima dei parametri strutturali e della funzione obiettivo della banca centrale è fondamentale per misurare l'importanza del problema informativo e per valutare la robustezza di risultati precedenti basati però sulla calibrazione dei parametri.
Il modello permette inoltre di esaminare l'utilita' del costo reale unitario del lavoro come indicatore di politica monetaria.This thesis contributes to the recent literature that studies the quantitative implications of the imperfect information about potential output for the conduct of monetary policy. By means of Bayesian techniques, a small New Keynesian model is estimated taking explicitly account of the imperfect information problem. The estimation of the structural parameters and of the monetary authorities' objectives is key in assessing the quantitative relevance of the imperfect information problem and in evaluating the robustness of previous exercises based on calibration. The model allows us to analyse the usefulness of unit labor costs as monetary policy indicator.
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Wolf, Clara. "Housing and monetary policy : three essays on empirical housing economics and international monetary policy." Thesis, Paris, Institut d'études politiques, 2016. http://www.theses.fr/2016IEPP0067.
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Cette thèse étudie des sujets hétérogènes puisqu'elle s’intéresse à la fois à l'économie du logement et à la politique monétaire internationale à l’aide de divers outils, tels que la modélisation théorique, l’évaluation microéconomique d’une politique publique, et une approche macroéconomique empirique. Elle est constituée de trois chapitres. Le premier, co-écrit avec Eric Monnet, s'intéresse à la relation entre les changements démographiques au sein des pays et l’investissement résidentiel. Le second, co-écrit avec Guillaume Chapelle et Benjamin Vignolles, évalue l'impact d'un dispositif d’incitation fiscale à l’investissement locatif sur plusieurs dimensions du marché du logement français. Enfin, le troisième étudie comment la politique monétaire devrait réagir aux afflux de capitaux en cas de frictions sur le marché financierThis thesis investigates heterogeneous topics since it is related to both housing economics and monetary economics, and uses various tools including theoretical modeling, microeconomic policy evaluation and macroeconomic empirical approach. It is constituted of three chapters. The first one, co-authored with Eric Monnet, is interested in the relationship between demographic changes within countries and housing investment. The second one, co-authored with Guillaume Chapelle and Benjamin Vignolles, assesses the impact of a housing tax credit on several dimensions of the housing market. Finally, the third one studies how monetary policy should react to capital inflows when there are frictions on the financial market
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Vasicek, Borek. "Empirical Essays on Monetary Policy." Doctoral thesis, Universitat Autònoma de Barcelona, 2011. http://hdl.handle.net/10803/48715.
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This dissertation is divided into four essays, each of them having its own structure and
methodological framework. Although each of the essays making the chapters of the thesis is
self-contained, their topics are very closely related. Consequently, the reader will be able to
follow the thesis in its unity.
The four essays are empirical and address some relevant issues from monetary economics and
policy. In first three essays we aim at the way central banks sets their policy rates, which is
usually described by central bank’s reaction function or a monetary policy rule (Taylor,
1993), and in the fourth one, we look at the inflation dynamics and the New Keynesian (NK)
Phillips Curve (Galí and Gertler, 1999). In the first three papers, we look at different issues
related to policy rules such as their nonlinearities, evolution across time, the intensity of
interest rate response to inflation, degree of policy inertia as well as how policy changes when
it is faced by financial stress.
The monetary policy rule and the NK Phillips Curve became key elements of the NK policy
model (e.g. Galí, 2008), which is at present the most influential theoretic framework for
analysis of macroeconomic dynamics and monetary policy both in academia and among
monetary policy makers. Dynamics Stochastic General Equlibrium models (DSGE), which
are the main analytic tools within most central banks (e.g. Area-Wide model of the European
Central Bank), are inspired by the NK models. While the traditional Keynesian literature
assumed sticky prices and wages in the short-term, it was unable to provide their satisfactory
microeconomic explanations. The NK model enriched the original Keynesian literature by
microeconomic foundations but at the same time by some important elements such as rational
expectations and vertical long-term Phillips curve incompatible with the Keynesian tradition.
Price rigidities (both nominal and real), which are result of imperfect competition, enable that
monetary policy has impact on real variables in the short term. Such view on monetary policy
is quite paradoxically close to monetarism but quite distant from other current
macroeconomic branches such as Real Business Cycle Theory or Post-Keynesianism that cast
doubt on the ability of monetary policy to affect real economy (Snowdon and Vane, 2005). In
spite of the popularity of NK models, the empirical evidence goes behind the theory. The
purpose of this thesis is to contribute to the empirics of the NK model.
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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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Chung, Kyuil. "Three essays on monetary policy /." For electronic version search Digital dissertations database. Restricted to UC campuses. Access is free to UC campus dissertations, 2005. http://uclibs.org/PID/11984.
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Kjellberg, David. "Expectations, Uncertainty, and Monetary Policy." Doctoral thesis, Uppsala University, Department of Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-8335.
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Essay 1 - To evaluate measures of expectations I examine and compare some of the most common methods for capturing expectations: the futures method which utilizes financial market prices, the VAR forecast method, and the survey method. I study average expectations on the Federal funds rate target, and the main findings can be summarized as follows: i) the survey measure and the futures measure are highly correlated; the correlation coefficient is 0.81 which indicates that the measures capture the same phenomenon, ii) the survey measure consistently overestimates the realized changes in the interest rate, iii) the VAR forecast method shows little resemblance with the other methods.
Essay 2 - This paper takes a critical look at available proxies of uncertainty. Two questions are addressed: (i) How do we evaluate these proxies given that subjective uncertainty is inherently unobservable? (ii) Is there such a thing as a general macroeconomic uncertainty? Using correlations, some narrative evidence and a factor analysis, we find that disagreement and stock market volatility proxies seem to be valid measures of uncertainty whereas probability forecast measures are not. This result is reinforced when we use our proxies in standard macroeconomic applications where uncertainty is supposed to be of importance. Uncertainty is positively correlated with the absolute value of the GDP-gap.
Essay 3 - The co-movements of exchange rates and interest rates as the economy responds to shocks is a potential source of deviations from uncovered interest rate parity. This paper investigates whether an open economy macro model with endogenous monetary policy is capable of explaining the exchange rate risk premium puzzle. When the central bank is engaged in interest rate smoothing, a negative relationship between exchange rate changes and interest differentials emerge for realistic parameter values without assuming an extremely large and variable risk premium as done in previous studies.
Essay 4 - This paper shows how market expectations as a function of the forecasting horizon can be constructed and used to analyse issues like how far in advance monetary policy actions are anticipated and how the market’s understanding of monetary policy has developed over time. On average about half of a monetary policy action is anticipated one month before a policy meeting. The share of fully anticipated FOMC policy decisions increase from less than 10% at the two-month horizon, to about 70% at the one-day horizon. The market ability to predict policy has improved substantially after 1999 as the fraction of fully anticipated meetings has quadrupled at the monthly horizon. This improvement can be described as an effect of increased central bank transparency.
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Cosgrove, Paul John. "Asset prices and monetary policy." Thesis, Heriot-Watt University, 2015. http://hdl.handle.net/10399/2928.
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This thesis investigates the effects of monetary policy on asset prices. In Chapters 2 and 3 a model is developed and evaluated, which can be used to examine the effects of a policymaker reacting to an asset price bubble. The model supports the idea that a policymaker reacting to asset prices, going beyond what would be required by policy consistent with the Taylor Rule, can achieve better economic outcomes than the policymaker who does not react to asset prices. These outcomes are in terms of the level and volatility of the bubble, output and inflation. In Chapter 4 propensity score matching is implemented to estimate the effects of inflation targeting on the growth and volatility of both house prices and stock prices. This thesis finds that there is a significant effect of IT on house price growth but not volatility and a significant effect of IT on stock price volatility and in some cases stock price growth.
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Spencer, Christopher. "Committee decisions and monetary policy." Thesis, University of Surrey, 2005. http://epubs.surrey.ac.uk/843286/.
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Economic theory typically assumes that monetary policy is set by a single policy-maker. However, the reality of monetary policy decision-making is very different. Monetary Policy Committees (MPCs) are responsible for setting the short-term interest rate in most countries across the world, and up until very recently, economists paid little serious attention to this fact. In light of this finding, this thesis (i) addresses the current dissonance between the theory and reality of monetary policy decision making and (ii) assesses the empirical evidence on monetary policy committee voting, with emphasis on the voting behaviour of Bank of England MPC members. The thesis contains four core chapters. In Chapter 3 I extend the game-theoretic literature on jury decision making to include the case of a monetary policy committee faced with making a binary choice under simple majority rule. I gauge the extent to which decision outcomes are a function of the amount of effort put into the decisions by individual members when paying attention is not costless. The game builds on Mukhopadhaya (2003), and is of the 'contribution' variety proposed by Rasmusen (2001).In Chapter 4 I present a boundedly-rational model of how monetary policy committees are able to reach decisions on the interest-rate. I draw upon Morris DeGroot's (1974) characterization of consensus formation in groups and DeMarzo, Vayanos and Zweibel's (2003) notion of persuasion bias. Monetary policy committees are shown to reach agreement even when the views its members are initially diverse. The model potentially explains the stylised facts of how members of the United States Federal Open Market Committee, European Central Bank Governing Council and Bank of England Monetary Policy Committee reach a decision on the interest-rate. Chapters 5 and 6 constitute empirical analyses of MPC voting behaviour, and investigate the voting behaviour of members of the Bank of England Monetary Policy Committee over the first five years of its being. This encompasses the entire spell for which the MPC was chaired by Sir Edward George. Using voting data obtained from Minutes of meetings, I show that as a group, internally appointed MPC members (insiders) on average prefer lower interest rates than external appointees (outsiders). Ordered logit analysis demonstrates that insiders and outsiders are motivated by different concerns when setting interest rates. Asymmetric policy preferences exist for the two groups. Insiders are found to dissents significantly less often than outsiders, with the majority of dissents cast by the former group being on the side of tightness. For outsiders, the reverse is shown to be true, with the majority of dissents being for looser policy.
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Linaa, Jesper Gregers. "Business cycles and monetary policy /." Copenhagen, 2005. http://www.gbv.de/dms/zbw/501512020.pdf.
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Huang, Zhangkai. "Finance, investment and monetary policy." Thesis, University of Oxford, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.270515.
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Fatima, Kaneez. "Globalization, inflation and monetary policy." Thesis, University of Glasgow, 2013. http://theses.gla.ac.uk/4713/.
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The thesis is aimed at investigating the implications of globalization for the conduct of monetary policy. By globalization we mean increased interdependence of national economies as reflected in greater and freer flow of goods, services, capital, and labour across national borders. In particular, our research addresses a number of important issues in the recent monetary policy and globalization debate. First, are global factors becoming important drivers of domestic inflation? Second, are global factors playing more powerful role on inflation dynamics in the sectors of an economy that are more open to trade? Third, has globalization made the job of Central Bankers more difficult? And finally, do the Central Bankers in the United States and the United Kingdom consider international factors too along with domestic factors while determining the short term interest rates? Inflation rates have been observed to be low across industrial countries since the early 1990s. The co-movements of inflation rates across countries are strikingly high. We model the co-movements of inflation rates by a global factor, regional factors and idiosyncratic component. In particular, we estimate a Dynamic Factor Model with Stochastic Volatility and find that the contribution of the global factor has increased over time in explaining the variance of inflation in OECD countries. The regional factor also gains importance in countries with strong intra-regional economic linkages potentially due to proliferation of regional trade agreements and common currency areas. In the European countries, the role of global and regional factor together dominates the country specific factor since the late 1990s. The volatility of inflation has substantially decreased over time and our modelling framework incorporates time varying volatility of inflation. We find strong positive and significant relationship between the international common factor and economic globalization. Consistent with inflation becoming a global phenomenon, co-movements of aggregate inflation between countries are observed to be high. We examine whether this is also the case for sectoral inflation, we model the co-movements in sectoral inflation as being associated with a global factor, a sector specific factor and an idiosyncratic error term. We find that the co-movements of inflation of tradable sectors are substantially greater than the co-movements in non-tradable sectors which implies that the greater co-movements of inflation can be attributed to increased trade global integration of product markets. To test this, we attempt to find empirical relationship between the estimated common factor in sectors and openness to trade measured as import penetration. A positive relationship is found between the estimated sector specific common factors and import penetration. Given our earlier chapters identify important global dimension to aggregate and sectoral inflation, does this matter for monetary policy? The implication of globalization for monetary policy in the United States and the United Kingdom are examined by estimating monetary policy reaction function for these advanced economies over the sample period 1985-2010. We also consider time variations in these reaction function by estimating over a sub-sample of 1992-2010 for the United Kingdom and the Greenspan-Bernanke Era for the United States. We estimate the policy reaction function with domestic and global inflation and output gaps and with the component of domestic inflation and output gap that is not related to global variations. The policy reaction function augmented with foreign variables such as real effective exchange rate and foreign interest rate is also estimated. We use measures of inflation based on GDP deflator, CPI and inflation expectations. We find that the Federal Reserve responds to global inflation only in the full sample and to global as well as the country specific inflation in the second sub-sample (Greenspan-Bernanke Era). This may imply strong commitment of the Federal Reserve to the goal of ``price stability'' during Greenspan-Bernanke Era. The Bank of England responds to global inflation along with the country specific inflation. The international factors such as the real effective exchange rate changes (depreciation) and foreign interest rates have significant and positive effect on policy rates.
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Maliszewski, Wojciech Stanislaw. "Monetary policy in transitional economies." Thesis, London School of Economics and Political Science (University of London), 2006. http://etheses.lse.ac.uk/2918/.
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These essays look at determinants of inflation and policies to control it at different stages of transition. It attempts to determine what factors have shaped the inflationary process, how successful were the policies adopted to control inflation, and what policy conclusions can be drawn from the experience of transitional economies. The first paper analyzes central bank independence in transitional economies, regarded as key for a successful monetary policy making. The results show that the central bank independence started to influence inflation only after the initial transitional shocks. The next two papers analyze monetary transmission mechanisms in less advanced economies, choosing Georgia and Romania as examples. The papers estimate structural models of inflation. The results show that, in the case of Romania, inflation was driven by a monetary expansion. Interactions between real and monetary developments were limited when inflation was high. In Georgia, where the dichotomy between the real and monetary sectors is also evident in the data, the tight control over the exchange rate was crucial for maintaining a low-inflation equilibrium. The third paper focuses on inflation in advanced transitional economies, analyzing transmission mechanisms and assessing the implementation of inflation targeting in the Czech Republic and Poland. The results show that the exchange rate has played a significant role in the transmission mechanism, suggesting that the behavior of this variable should be carefully watched even under an inflation targeting regime. The last paper in the thesis analyzes the credibility of inflation targets, which is the main factor affecting the costs of disinflation under the inflation targeting framework. The paper attempts to identify to what extent inflationary expectations in Poland were guided by announcements of the targets. The results show that the credibility of the targets increased after the introduction of inflation targeting, but dropped quickly after the target was missed.
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Michaelis, Henrike. "Essays on monetary policy transmission." Diss., Ludwig-Maximilians-Universität München, 2014. http://nbn-resolving.de/urn:nbn:de:bvb:19-176993.
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CAVALLARI, MATHEUS DE CARVALHO LEME. "OPTIMAL FISCAL AND MONETARY POLICY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2004. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=5393@1.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIORO presente trabalho tem objetivo de caracterizar as políticas fiscal e monetária ótimas e avaliar o comportamento do ganho de bem estar fruto do uso destas políticas. Para isto, utilizamos um modelo com rigidez de preços e concorrência monopolística em que a taxa de juros nominal e gasto público tem efeitos reais na economia, seguindo a literatura Novo- Keynesiana. Observamos que existe ganho no uso conjunto das políticas fiscal e monetária vis-à-vis o caso de independência destas políticas. Quanto maior a potência da política fiscal, maior a substituição do instrumento monetário pelo instrumento fiscal na gestão das políticas ótimas. Finalmente, quanto menor a persistência e/ou maior a volatilidade relativa da política fiscal no caso de independência, maior o ganho de bem estar em adotar as políticas ótimas.
The purpose of this work is to identify the optimal monetary and fiscal policy and to evaluate the welfare gains resulting from the cooperation of such policies. Based on a New-Keynesian approach, we investigate a model with price rigidity and monopolistic competition in which the nominal interest rate and the public spending have real effects on the economy. We found gains in the use of both fiscal and monetary instruments, compared to a framework of independence. As the power of the fiscal policy increases, there are welfare gains in substituting interest rate setting by public spending. There are also increasing welfare gains in cooperation when the fiscal policy is less persistent and/or more volatile in relation to other shocks.
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Mushendami, Postrick Lifa. "Essays in monetary policy rules." Thesis, Durham University, 2014. http://etheses.dur.ac.uk/10668/.
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John Taylor's (1993b) rule has revived the interest and usefulness of instrument rules in the formulation of monetary policy both among academics and practitioners. Consequently, research in this area has increased to answer among other things, which policy rule closely represent the actual monetary policy formulation of the central bank, or what is the performance of these Taylor rules compared to alternative rules. This thesis intends to add both to the theoretical and empirical literature on monetary policy rules and structured as follows: Chapter 2 attempts to examine the implication of interest rate smoothing on the persistence of a technology and monetary policy shock. Using a closed economy model of Galí (2008), I show that interest rate smoothing (Taylor rule with lagged interest rate and backward looking Taylor rule) tend to protracts the persistence of a monetary policy shock, while it truncates the persistence of a technological innovation. The persistence due to a monetary shock from the Taylor rule is however shorter, while that from a technology shock is longer. Thus, Taylor rule is considered superior to the Taylor rule with lagged interest rule or the backward looking Taylor rule when the economy is hit by a monetary policy shock. On the contrary, the Taylor rule with lagged interest rate and the backward looking Taylor rule is considered superior to the Taylor rule when the economy is faced with a technology shock. These results tend to suggest that a policy maker faces a trade off regarding the Taylor rule or the interest smoothing rules. Chapter 3, attempts to rank the performance of targeting rules against instrument rules in the presence of a cost push shock. In particular, it compares the performance of the three targeting rules (namely domestic inflation targeting rule (DIT), consumer price inflation (CPI) based targeting rule, exchange rate peg (PEG) with the original Taylor rule and the Forward looking Taylor rules of Clarida, Galí and Gertler (1998), commonly known as the CGG(+1) and CGG(+4). Using a small open economy, I show that the domestic inflation targeting rule simultaneously stabilizes the output gap and domestic inflation in the presence of a domestic technology shock and a foreign output innovation and hence superior. Among instrument rules I show that the Taylor rule is superior to its forward looking specifications CGG(+1) and CGG(+4). However, in the presence of a cost push shock the results are mixed. The domestic inflation targeting rule only stabilizes the domestic inflation, while the CGG(+1) minimizes the output gap volatilities the most. The CGG(+4) is the most inferior rule in this model and calibration, given that it maximizes the volatilities in the domestic inflation and the output gap. Chapter 4, empirically tests whether developing countries respond to domestic demand conditions or merely responds to developments in international interest rates in their interest rate reaction function. I show that developing countries do not strictly subscribe to the Taylor principle in setting nominal interest rate. Moreover, they tend to respond to international interest rates, inflation and past interest rates. Chapter 5, concludes.
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Pereira, Andreia Sofia Boanova Vieira. "Population ageing and monetary policy." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/11996.
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Mestrado em Economia Monetária e FinanceiraO envelhecimento da população altera a dinâmica das principais variáveis macroeconómicas com implicações para a condução da política monetária e estabilidade dos preços. O presente trabalho pretende analisar as principais tendências demográficas e de que forma influenciam o ambiente económico onde a política monetária é conduzida, causando direta ou indiretamente movimentos indesejados nas taxas de inflação. Recorrendo a uma técnica polinomial, estimamos a relação empírica entre a estrutura etária e a inflação para um painel de 24 países da OCDE durante o período 1961-2014. Encontramos uma correlação significativa entre demografia e inflação, consistente com a hipótese de que um aumento da população ativa causa pressões deflacionistas, enquanto uma maior parcela de dependentes e reformados está associada a taxas de inflação mais elevadas. Os resultados sugerem que o potencial impacto do processo de envelhecimento a nível global sobre a inflação deve ser tido em conta nas decisões de política monetária.
The ongoing demographic changes can affect the dynamic of economics in several ways, with implications for the conduct of monetary policy and price stability. This paper analyses the future prospects on demographic changes and how they are expected to influence the macroeconomic environment where monetary policy is conducted, which can directly or indirectly generate unwanted inflation dynamics. By adopting a polynomial technique, an estimation is carried out to determine the relationship between the age structure and inflation in a panel of 24 OECD countries over the 1961-2014 period. A significant correlation is found between demography and inflation, consistent with the hypothesis that an increase in the share of working-age population causes deflationary pressures, while a larger scale of dependents and young retirees are associated with higher inflation rates. The results suggest that the potential impact of the global ageing process on inflation should be taken into consideration in the decision making processes of monetary policy.
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Paul, Adrian. "Essays on unconventional monetary policy." Thesis, University of Oxford, 2017. https://ora.ox.ac.uk/objects/uuid:00a4f88f-114f-4e20-b354-ca66440447f1.
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Monetary policy since the global financial crisis of 2007/08 has contended with the 'unknown unknowns' associated with Knightian uncertainty rather than the 'known unknowns' associated with risk. We find that when a policymaker knows neither the parameters of his model nor the probability distribution from which those parameters are drawn, more fear of model misspecification calls for more aggressive use of both conventional and unconventional instruments. Moreover, the greater the policymaker's doubts about the effect of asset purchases relative to the effect of interest rate changes, the greater the relative zeal with which he should pursue the former. Critics of the U.S. Federal Reserve argue that "unwarranted pessimism" about the effectiveness of quantitative easing (QE) inhibited the postcrisis monetary policy response. We find that this relative passivism during QE2 may instead have been the optimal response to less fear of model misspecification following QE1. Rather than the FOMC's return to activism during QE3 implying that its passivism during QE2 was undue, it may be the latter that was warranted and the former that was undue.
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Gosai, Rushai. "Are monetary policy regimes optimal." Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/64847.
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The primary aim of monetary policy decisions made by central banks is to keep inflation low and, in doing so, to protect the currency. There have been multiple methods in which developed and developing economies have gone about this endeavour. Literature presented in the research provides evidence that inflation targeting appears to be more optimal than non-inflation targeting regimes.
The South African experience shows periods of high inflation in the late 1970Õs and 1980Õs. This leads us to believe that monetary policy was perhaps not implemented as optimally as it could have been. With this in mind, and based on the assumption on that central banks act optimally (Mishkin, 2017), the research applies the Taylor Rule and regression testing to determine whether the decisions made by the South African Reserve Bank were optimal. The research finds that over the period of 1960 to 2016, during which South Africa went through four different monetary policy regimes as well as a change of government and reintegration to the international community, monetary policy was implemented optimally.Mini Dissertation (MBA)--University of Pretoria, 2017.
za2018
Gordon Institute of Business Science (GIBS)
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Addo, Samuel. "Regime changes in monetary policy." Doctoral thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29311.
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This thesis consists of six chapters of which chapters one and two provide the introduction and a brief review of policy regimes in South Africa. Each of the three chapters that follow has its own structure and method. Chapter six concludes the thesis. The chapters share a common theme of understanding the effects of policy regime changes in stabilising inflation and output dynamics in emerging economies with reference to the South African economy. This thesis’s theme is premised on the debate that policy rate setting better describes the conduct of monetary policy and helps stabilise inflation and output. There is, however, no consensus on the appropriate policy regime and the specification of a policy rule that is universal for all economies. Chapter three establishes whether central bank preferences are related to governors’ tenures when there is a change in policy regime. A time-varying parameter approach that allows the policy preferences to vary over the sample period is used. The results show that the policy parameters exhibit significant changes and that the South African Reserve Bank placed more weight on output relative to inflation over the period 2000 and 2007. The dynamic responses of output and inflation under different central bank governors show different outcomes because of changes in central bank policy preferences and not necessarily different governors at the central bank. The effects of policy switches on macroeconomic performance using a regime-switching small open economy dynamic stochastic general equilibrium model is investigated in chapter four. The novelty of this chapter is in the structural model, where the primary commodity export sector follows a regime shock process that affect the policy parameters is allowed. The results suggest that an unexpected monetary policy shock and its variances account for a smaller proportion of macroeconomic fluctuations in the South African economy compared to external shocks and its variances in the form of exports, import cost inflation, risk premia, preference and technology changes. Chapter five consists of an investigation into central bank credibility by simulating a Markov-switching Bayesian vector autoregression model with time-varying transition probabilities. This is based on changes in monetary policy leading to clear policy goals. The findings suggest that the policy authority was credible over the period 2003 to 2007 and over the period 2010 until 2016. However, policy switched to a low credibility regime over the period 1990 to 1999 and in 2008. It is found that a positive yet unexpected change to credibility leads to a reduction in policy rate which leads to a decrease in inflation. The conclusion indicates that credibility is an important instrument that helps policy authority to conduct efficient monetary policy in stabilising inflation and output.
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O'Sullivan, Róisín. "Financial innovation and monetary policy." The Ohio State University, 2002. http://rave.ohiolink.edu/etdc/view?acc_num=osu1261399151.
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O'Sullivan, Roisin. "Financial innovation and monetary policy /." The Ohio State University, 2002. http://rave.ohiolink.edu/etdc/view?acc_num=osu1486462702464464.
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Strejc, Daniel. "Monetary policy and the ECB." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-4174.
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The thesis evaluates the ECB's monetary policy during the past decade by using policy rules and compares the suitability to particular members of the Eurozone. It examines the central bank's reaction function regarding the output and inflation. The work is divided into two main parts. First, gives the theoretical introduction of monetary policy and evaluation of the Eurozone regarding the theory of optimal currency area. In the second part it provides the econometric models and estimates. As a conclusion the results of two different OLS models show that, we cannot precisely decide to which variable the ECB reacted, as obtained two statistically significant models but with different results. For two models is used different variables GDP gap and IPI gap. The results have also shown that the ECB's monetary policy mostly suits to biggest economies within the Eurozone.
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Vít, Martin. "Monetary policy of interwar Czechoslovakia." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-86040.
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The diploma work charts the evolution of monetary policy of interwar Czechoslovakia in the context of development of domestic economy. It puts emphasis on the foreign relationships. The most important sources are materials from the archives of Czech National Bank and articles of foreign authors. The goal of work is to evaluate our monetary policy from several perspectives, such as the adequacy of the then economic situation, the impact of decisions of monetary authorities on individual national economic entities, and finally determining the most important persons of Czechoslovak monetary policy.
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O'Sullivan, Róisín. "Financial innovation and monetary policy /." Connect to resource, 2002. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1261399151.
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Pollio, Luigi. "Monetary Policy and Economic Expectations." Doctoral thesis, Universita degli studi di Salerno, 2019. http://elea.unisa.it:8080/xmlui/handle/10556/4511.
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2017 - 2018Economists have long recognized that adverse shocks to the nancial sector can have signi cant e ects on the real economy. The chance that nancial instability will lead to macroeconomic instability is often termed \systemic risk" and the bankruptcy of Lehman Brothers and the global crisis in the last decades represent near evidence. Historically, monetary authorities used to respond to global crisis by cutting interest rates to lower levels. However, when the short-term nominal interest rate reaches the zero lower bound, monetary policy loses the power to cut the interest rate to counterbalance the negative e ect of nancial crisis and to control the in ation rate in the economy. Motivating by the events of the nancial crisis in 2008, I study the e ect of nancial instability on the economy and the in uence of the Central Bank' unconventional monetary policy on market micro-structure. This work is divided in two main parts. In the rst chapter, I investigate the e ects of a nancial instability shock on consumption and business expectations using the \Announcements" of the European Central Bank in favor of stability as source of exogenous variation. Using quarterly data on the European countries, I show that a nancial instability shock depresses the aggregate expectations on investment while the e ects are mixed for aggregate consumption con dence. These results are robust to di erent identi cation schemes and several estimation methodologies. Finally, I estimate an impulse response function for a nancial instability shock on consumption and investment con dence using local projection on a 20 period horizon. The second chapter aims at assessing the impact of the unconventional monetary policy undertaken by the European Central Bank (ECB) on European corporate bond prices and their liquidity. Using a di erence-in-di erence estimation technique, I nd that the Corporate Sector Purchase Programme (CSPP) has signi cantly reduced both the yield and bid-ask spread of the purchased bonds. I also investigate whether the average treatment e ect has changed over time during the implementation of the policy: the e ect of the program on yield and prices has marginally abated, while the positive e ect on liquidity is still present approximately nine months after the policy inception. [edited by author]
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Salhi, Khadidja <1991>. "MONETARY POLICY AND SYSTEMIC RISK." Master's Degree Thesis, Università Ca' Foscari Venezia, 2018. http://hdl.handle.net/10579/13439.
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Kanda, Daniel Stanley. "Optimal fiscal policy propagation of monetary policy shocks." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp02/NQ35965.pdf.
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Fuchs, Patrick. "Monetary Policy and Stock Market Volatility extended with a new measure of Monetary policy surprise /." St. Gallen, 2004. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/98904360001/$FILE/98904360001.pdf.
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Choi, Jae-Young. "Comparing monetary policy indicators and the credit channel of monetary policy : the role of small borrowers /." free to MU campus, to others for purchase, 1998. http://wwwlib.umi.com/cr/mo/fullcit?p9901226.
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Gnocchi, Stefano. "Essays on Monetary Policy, Wage Bargaining and Fiscal Policy." Doctoral thesis, Universitat Pompeu Fabra, 2008. http://hdl.handle.net/10803/7385.
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Los modelos Neo-Keynesianos se han impuesto en el análisis de las políticas monetaria y fiscal óptimas. Esta literatura no considera la interacción estratégica entre los agentes económicos y las autoridades de la política económica. En esta tesis, se identifican dos problemas interesantes que no pueden abstraerse de este asunto: las implicaciones de política monetaria en una economía con grandes sindicatos; el mix de política monetaria y fiscal óptimas en una unión monetaria. El primer capitulo muestra cómo la política monetaria determina el nivel de producción y ocupación en el largo plazo, cuando los salarios se fijan en el marco de contratos colectivos. El segundo capítulo deriva la política monetaria óptima en este contexto. El tercer capitulo identifica la política monetaria óptima en una unión monetaria, cuando los gobiernos eligen el gasto público bajo discreción.
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Baker, Julian Robert. "Coinage, monetary policy and monetary economy in Greece, 1204- ca. 1350." Thesis, University of Birmingham, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.553003.
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Weber, Henning [Verfasser]. "Essays on monetary policy and the European Monetary Union / Henning Weber." Berlin : Freie Universität Berlin, 2008. http://d-nb.info/1023260018/34.
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O'Mahony, Angela Julie. "Monetary regimes : the interrelated choice of monetary policy and the exchange rate /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC IP addresses, 2003. http://wwwlib.umi.com/cr/ucsd/fullcit?p3083461.
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Blas, Pérez Beatriz de. "Essays on Monetary and Fiscal Policy." Doctoral thesis, Universitat Autònoma de Barcelona, 2002. http://hdl.handle.net/10803/4035.
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Esta tesis estudia cuestiones de política monetaria y fiscal en macroeconomías con fricciones financieras. El Capítulo 1 analiza numéricamente el funcionamiento de reglas de política monetaria en economías con y sin imperfecciones financieras. El capítulo compara una política monetaria endógena con una regla de crecimiento del dinero constante en un escenario de participación limitada. Las imperfecciones surgen por información asimétrica en la producción de capital. El modelo se ajusta bastante bien a los datos de EE.UU. El escenario con imperfecciones financieras es capaz de reflejar algunos hechos estilizados del ciclo económico, como la relación negativa entre producto y prima de riesgo, que no aparecen en el caso estándar sin fricciones. El uso de reglas de tipos de interés en un modelo de participación limitada tiene efectos estabilizadores contrarios a los de los modelos neo-Keynesianos. Concretamente, en un modelo de participación limitada, usar reglas de tipos de interés ayuda a estabilizar producto e inflación frente a un shock tecnológico, mientras que existe un trade-off entre estabilizar producto e inflación si el shock es a la demanda de dinero. Finalmente, los efectos de una regla de Taylor son más fuertes -más estabilizadores o más desestabilizadores- cuando hay fricciones financieras.
El Capítulo 2 utiliza datos de EE.UU. de posguerra para analizar si las fricciones financieras pueden haber contribuido a reducir la variabilidad del producto y la inflación desde los 80. Los datos sobre producto, inflación, tipo de interés y prima de riesgo indican un punto de ruptura en 1981:2, tras el cual estas variables son menos volátiles. El modelo anterior se utiliza aquí para calibrar una regla de tipos de interés para cada submuestra. Sin fricciones financieras, los resultados confirman el reconocido cambio en la política monetaria al presentar reglas bastante diferentes antes y después de 1981:2. Sin embargo, en contraste con la literatura empírica, la calibración no refleja un mayor peso sobre la estabilización de la inflación después de 1981:2. Sorprendentemente, con un nivel positivo de costes de control, la calibración presenta dos reglas mucho menos distintas que aquellas encontradas en ausencia de imperfecciones. Las reglas calibradas sí que asignan un mayor peso a la estabilización de la inflación y menor a la del producto tras 1981:2, a diferencia del caso de costes de control cero. Cuando la regla, costes de control, y shocks cambian entre submuestras, la calibración presenta dos reglas con más peso a la estabilización de la inflación y menos a la del producto después de 1981:2. El grado de fricciones financieras cae un 10% tras 1981:2.
El Capítulo 3 estudia las consecuencias en crecimiento y bienestar de imponer límites de deuda a la restricción presupuestaria del gobierno. El modelo presenta crecimiento endógeno y permite al gasto público tener dos papeles diferentes, bien como factor productivo o bien como servicios en la función de utilidad (en este caso, el capital privado genera crecimiento.) En el largo plazo, sin límites de deuda, mayores impuestos sobre el trabajo reducen el crecimiento, independientemente del papel desempeñado por el gasto público. Con límites de deuda, mayores impuestos sobre el trabajo aumentan el crecimiento si el gasto público es productivo. También se analiza la dinámica de una política fiscal más restrictiva para alcanzar un límite de deuda menor, cuando el gasto público es productivo. Mayores impuestos sobre el trabajo para reducir la deuda llevan a un nuevo estado estacionario con mayor crecimiento y menores impuestos, debido al papel productivo del gasto público. Igualmente, un menor ratio de gasto público-producto reduce el crecimiento y producto. Mayores impuestos sobre el trabajo conllevan menos costes de bienestar que cortes en el gasto público para reducir la deuda.
This dissertation analyzes monetary and fiscal policy issues in macroeconomies with financial frictions.
Chapter 1 analyzes numerically the performance of monetary policy rules in economies with and without financial imperfections. Endogenously driven monetary policy is compared to a constant money growth rule in a limited participation framework. The imperfections arise due to asymmetric information emerging in the production of capital. The model economy fits US data reasonably well. The setup with financial imperfections is able to account for some stylized facts of the business cycle, like the negative correlation between output and risk premium, which are absent in the standard frictionless case. The use of interest rate rules in a limited participation model has the opposite stabilization effects compared with new Keynesian models. More concretely, in a limited participation model, using interest rate rules helps stabilize both output and inflation in the face of technology shocks, whereas there is a trade-off between stabilizing output and inflation if the shock is to money demand. Finally, the effects of a Taylor rule are stronger -either more strongly stabilizing or more strongly destabilizing- when there are financial frictions in the economy.
In Chapter 2, postwar US data are employed to analyze whether financial frictions may have contributed to reduce the variability of output and inflation since the 1980s. Data on output, inflation, interest rate, and risk premium indicate a structural break at 1981:2, after which these variables become less volatile. The model economy of Chapter 1 is used to calibrate an interest rate rule for each subsample. Without financial frictions, the results confirm the widely recognized change in the conduct of monetary policy by reporting substantially different rules before and after 1981:2. However, in contrast with empirical literature, the calibration fails to assign more weight to inflation stabilization after 1981:2. Interestingly, when a positive level of monitoring costs is introduced, the procedure yields two calibrated rules that are much less different than those found in the absence of frictions. Furthermore, the calibrated rules do report a stronger weight to inflation and less to output stabilization after 1981:2, as opposed to the zero monitoring costs case. When the rule, monitoring costs, and shocks are allowed to change across subsamples, the calibration reports two interest rate rules that assign more weight to inflation and less to output stabilization after 1981:2. Also, the degree of financial frictions is 10% less after 1981:2.
Chapter 3 studies the growth and welfare consequences of imposing debt limits on the government budget constraint. The model economy displays endogenous growth and allows public spending to have two different roles, either as productive input or as services in the utility function (in this case private capital drives growth). Introducing debt limits is determinant for the growth effects of different fiscal policies. In the long run, without debt limits, the growth effects of raising taxes on labor income are negative regardless of the role of government spending. Interestingly, with debt limits, higher labor tax rates affect positively growth if government spending is productive. The chapter also analyzes the dynamic effects of imposing a more restrictive fiscal policy in order to attain a debt limit with a lower debt to output ratio, for the case of productive government spending. Raising taxes to lower debt leads to a new balanced growth path with higher growth and lower taxes, because of the productive role of government spending. By the same reason, a fiscal policy consisting of reducing government spending over output has the opposite effects, reducing growth and output. Finally, raising labor income taxes implies a lower welfare cost of reducing debt than does cutting spending.
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Pescatori, Andrea. "Essays on monetary and fiscal policy." Doctoral thesis, Universitat Pompeu Fabra, 2006. http://hdl.handle.net/10803/7346.
Full textAbstract:
The thesis is divided into three chapters.1) I study how monetary policy should be optimally designed when households show financial wealth heterogeneity.
Main results: thanks to its ability to affect interest payments volatility, monetary policy has real effects even in a flexible-price cashless-limit environment; second, in a setup with nominal rigidities, price stability is no longer optimal. The extent of deviation from price stability depends on the initial level of debt dispersion.
2) I assess the role of housing price movements in influencing the optimal design of monetary policy.
Under the optimal simple rule, housing price movements should not be a separate target variable in addition to inflation. Furthermore, the welfare loss arising from targeting housing prices becomes quantitatively more significant the higher the degree of access to the credit market.
3) I analyze the effects of fiscal policy in a currency area.
Results: a public spending shock in one region increases private agents demand for imports and appreciates the terms of trade; second, a countercyclical fiscal rule can restore the Taylor principle, the uniqueness of the equilibrium and reduce macro-volatility.
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Matveev, Dmitry. "Essays in monetary and fiscal policy." Doctoral thesis, Universitat Autònoma de Barcelona, 2015. http://hdl.handle.net/10803/310412.
Full textAbstract:
Aquesta tesi contribueix a la literatura que analitza conjuntament la política fiscal i monetària. Des de l'inici de la crisi econòmica mundial al 2007-2008, moltes economies desenvolupades han experimentat notables fluctuacions econòmiques. La majoria de polítiques estabilitzadores en aquests països han consistit en grans estímuls fiscals que han endegat el debat sobre quines polítiques, particularment política monetària, caldrà implementar per tal de sostenir o ajustar el deute públic generat. El meu treball estudia el disseny de polítiques en un entorn dinàmic d'equilibri general on totes les forces descrites anteriorment hi tenen un paper.
En el primer capítol, utilitzo un model New Keynesian per a estudiar la política monetària i fiscal òptima en un entorn on la barrera del tipus d'interès no negatiu condueix l'economia a la trampa de la liquiditat. L'efectivitat de les polítiques en aquest entorn està determinat per si el govern pot emetre deute públic o no. Quan el govern no pot generar deute, es veu obligat a utilitzar l'instrument de la despesa. En canvi, si el govern pot generar deute, és òptim utilitzar instruments recaptadors com els impostos sobre el treball ja que les distorsions d'aquest instrument poden ajustar els problemes generats pel deute quan s'entra en la trampa de la liquiditat. A més a més, demostro que el risc de caure en la trampa de la liquiditat condueix el govern a acumular deute de manera que el risc de arribar a la barrera del tipus d'interès no negatiu.
En el segon capítol, estudio com la com la velocitat òptima del ajustament del deute públic, i el conjunt de polítiques necessàries per aconseguir-lo, depenen de l'estructura de pagaments del deute. Sota l'assumpció que el deute pren la forma de bons nominals a un període, per a nivells plausibles de deute, la sostenibilitat fiscal requereix un ràpid ajustament del deute mentre la política monetària s'encarrega d'acomodar les fluctuacions. Pagaments de deute més dissipats cap al futur alteren els incentius del govern per alterar les polítiques presents i per a fer ajustos que modifiquin el preu de l'endeutament en el futur. Tenint en compte un nivell plausible de l'escala temporal de pagaments del deute, fa l'ajustament del deute molt més gradual, cosa que està en línia amb l'evidència empírica sobre la persistència del deute públic. En el cas d'una cartera de bons, amb un període de venciment que d'anys o més, no és òptim que la política monetària s'utilitzi per a acomodar les fluctuacions.
En el tercer capítol, faig una extensió de la teoria de risc sobirà d'Uribe (2006) en l'entorn d'una unió monetària amb mercats incomplets. En aquest cas, les polítiques d'impagament no només serveixen per garantir la sostenibilitat fiscal i escapar de possibles inflacions explosives sinó que poden servir com assegurança de les llars contra risc fiscal específic de cada país. Caracteritzo analíticament una solució de les dinàmiques de primer orde del model i comparo l'equilibri amb el cas en que hi ha mercats complets. Per tal que aquest dos escenaris coincideixin, cal que la política de pagaments sigui imperfectament discriminatòria. Un resultat complementari és que, sota el supòsit discriminació imperfecta, canvis en la política monetària afecten l'economia real en els períodes d'ajustament del deute fins i tot en l'absència de rigideses nominals. Finalment, descric el disseny d'una política d'impagament que aconsegueix portar l'economia al escenari de mercat complets.This thesis contributes to the literature on the joint analysis of monetary and fiscal policy. Since the onset of the global economic downturn in 2007-2008, many advanced economies experienced large economic fluctuations. Stabilizing policy responses in those countries often included large fiscal stimulus packages that in turn triggered discussions of the policy measures---including monetary policy---that would ensure debt sustainability or perform debt adjustment if required. In my work I study policy design in the framework of dynamic general equilibrium models that capture such pressing policy issues. In the first chapter I study optimal monetary and fiscal policy in a New Keynesian model with an occasionally binding zero lower bound that leads to liquidity trap episodes. I analyze the use of government spending and labor income tax as components of the discretionary fiscal stimulus package at the liquidity trap. Reliance on either of these instruments depends on whether the government budget is relaxed or has to be balanced. If the government has to balance its budget period by period, it relies more on the spending instrument. Varying the debt burden across time makes the government rely more on the use of labor taxes because discretionary incentives introduced by debt help to reduce the time-inconsistency problem of the tax rate response at the liquidity trap. Moreover, I show that the risk of falling into the liquidity trap leads to the accumulation of the optimal long run government debt buffer that reduces the frequency of reaching the zero lower bound. In the second chapter I study how the speed of optimal government debt adjustment and the monetary-fiscal policy mix that implements it depend on the maturity structure of debt when policy is chosen discretionary. Under the assumption of debt taking the form of one-period nominal bonds, for plausible levels of debt, fiscal sustainability requires prompt adjustment of debt and monetary policy bears a significant burden of implementing the adjustment. Higher average maturity reduces both the incentive of the government to alter current policy and the incentive to strategically affect future self so as to improve the price of borrowing. Accounting for a plausible average maturity makes the optimal debt adjustment much more gradual, which is in line with the existing empirical evidence on the persistence of government debt. In the case of bond portfolios with the average maturity ranging from several years and higher, it is no longer optimal for monetary policy to accommodate debt adjustment. In the thirds chapter I extend a fiscal theory of the sovereign risk by Uribe (2006) into the setting of a monetary union with incomplete markets. Default policy then not only serves the purpose of securing fiscal sustainability and escaping explosive inflation paths but at the same time can take on the role of insuring households across the union against country-specific fiscal risk. I characterize analytically a solution to the model's first-order dynamics and compare equilibrium consumption allocation against a benchmark of the perfect risk-sharing. For these two to coincide one necessary condition has to be satisfied, namely default policy has to be imperfectly discriminatory. The companion result is that, under imperfectly discriminatory default, changes in the monetary policy rule affect real economic activity during the periods of debt adjustment despite the absence of nominal rigidities. Finally, I discuss design of a simple default rule that attains perfect risk-sharing in equilibrium.
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Molnár, Krisztina. "Essays on monetary policy and learning." Doctoral thesis, Universitat Pompeu Fabra, 2006. http://hdl.handle.net/10803/7341.
Full textAbstract:
Mi tesis se basa en los resultados de least squares learning, que modela agentes individuales como econometricos: los agentes funcionan como regresiones, usan datos disponibles para formar sus expectativas. En el primer capítulo de mi tesis demuestro que la presencia de principiantes de learning en una economía se puede racionalizar incluso en coexistencia con los agentes racionales. En el segundo capítulo, examino cuál es la implicación en la política monetaria óptima cuando los agentes privados siguen aprendiendo con least squares learning. Este capítulo demuestra que la política monetaria óptima bajo learning introduce unas nuevas características del comportamiento de la política que no son presentes cuando los agentes privados tienen expectativas racionales.My thesis builds on the results of the least squares learning literature, which models individual agents as econometricians: agents are running least squares regressions using available data in order to form their expectations. I the ¯first chapter of my thesis I show that the presence of learners in an economy can be rationalized even in coexistence with rational agents. In the second chapter, I examine what is the implication on optimal policy when private agents follow learning. This chapter shows that optimal monetary policy under learning introduces new features of policy behavior that are not present under rational expectations.