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Neyer, Ulrike. "The design of the eurosystem's monetary policy instruments /." Heidelberg [u.a.] : Physica-Verl, 2007. http://swbplus.bsz-bw.de/bsz26625246xcov.htm.
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Marchesini, Camilo. "Optimal Monetary Policy, Macroprudential Instruments, and the Credit Cycle." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-388488.
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I study optimal monetary and macroprudential policies in a New Keynesian DSGE framework with leverageconstrainedbanks. In particular, I assess the desirability of alternative operational policy rules when theeconomy is hit by mortgage default shocks and show that their implications for inflation dynamics and policytrade-offs depend on whether the shocks originate in the household sector or in the entrepreneurial sector ofthe economy. Moreover, I find that the strategy of ‘leaning against the wind’ (LAW) of credit growth deliverssystematically poorer stabilization outcomes than standard flexible inflation-targeting when there exists anon-trivial trade-off between stabilizing output and inflation, but outperforms conventional monetary policyfor shocks that generate a comovement between the two, irrespective of the real or financial nature of theshock.I show that optimal macroprudential regulation that is as concerned with output as monetary policy candrastically reduce, and in many cases completely eliminate, the incentive to lean against the wind. I arguethat this is due to the ability of full-fledged optimal macroprudential policy to break the favourable complementaritybetween stabilizing credit growth and stabilizing output growth which underlies the incentive tolean against the wind. Macroprudential policy proves a superior substitute to LAW because it can achieve thesame financial stability objectives without systematically imposing costs in terms of price stability.
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Uesugi, Iichiro. "Monetary policy, the banking system, and short-term money instruments /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2000. http://wwwlib.umi.com/cr/ucsd/fullcit?p9975049.
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Simpson, A. K. "The instrument problem in monetary policy." Thesis, University of Oxford, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.305857.
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Geiger, Michael [Verfasser], and Peter [Akademischer Betreuer] Bofinger. "Monetary Policy in China : Institutions, Targets, Instruments and Strategies / Michael Geiger. Betreuer: Peter Bofinger." Würzburg : Universitätsbibliothek der Universität Würzburg, 2012. http://d-nb.info/1021078328/34.
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Picault, Matthieu. "Three essays on the transmission of monetary policy in the euro area." Thesis, Aix-Marseille, 2017. http://www.theses.fr/2017AIXM0136/document.
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Après Septembre 2008, du fait du gel du marché interbancaire, d’un manque de liquidité, d’une perte de confiance et des difficultés des institutions financières, la transmission de la politique monétaire au sein de la zone euro a été sévèrement altérée. La Banque Centrale Européenne (BCE) a donc dû avoir recours à des politiques monétaires non-conventionnelles. En considérant, au sein de la zone euro, les contraintes imposées à la banque centrale et la fragmentation des marchés financiers, l’objectif de cette thèse empirique est d’évaluer les canaux de transmission des politiques monétaires conventionnelles et non-conventionnelles de la BCE. Les comportements de prêts des banques étant liés à leurs coûts de financement, le premier essai se focalise sur le canal de transmission des prêts bancaires. Il étudie l’évolution des activités de prêts syndiqués d’institutions financières européennes et leur réaction aux politiques de la BCE. La communication de la banque centrale revêt une importance toute particulière dans une union monétaire. Les deuxième et troisième essais se concentrent sur le canal des signaux. Le deuxième essai étudie sur la communication durant les conférences de presse mensuelles ainsi que ses effets sur la prévisibilité des décisions de politique monétaire et sur les rendements et la volatilité des marchés financiers. Le dernier essai se focalise sur l’utilisation du guidage des taux d’intérêt futurs, une communication non-conventionnelle informant les marchés du niveau futur des taux d’intérêt de court-terme. Il étudie l’efficacité de cette annonce et sa capacité à influencer les prévisions de taux d’intérêt faites par les acteurs de marchéAfter September 2008, due to a frozen interbank market, shortage of liquidity, loss of confidence, and collapsing financial institutions, the monetary policy transmission in the euro area was severely impaired. Under thus exceptional circumstances, the European Central Bank (ECB) had to turn to non-standard monetary policy measures. Considering, in the euro area, the constrained range of actions and fragmented financial markets, the objective of this empirical thesis is to assess the transmission channels of ECB standard and non-standard monetary policies and their effects on both financial markets and the economy.As banks’ lending behaviors are related to their financing costs, the first essay focuses on bank lending channel. It studies the evolution of lending activities of European financial institutions on the syndicated loan market and its reaction to the ECB standard and non-standard policies. The communication of the central bank is of utmost importance in a monetary union with heterogeneous, in terms of economic situations and cultures, countries. The second and third essays study the signaling channel of monetary policy. The second essay focuses on the communication during monthly press conferences and their effects on the predictability of monetary policy decisions and on financial markets returns and volatility. The last essay concentrates exclusively on the use of \textit{forward guidance} on interest rate, a non-standard central bank communication providing information on future short-term interest rates. It discusses its effectiveness and ability to lower market participants expected interest rates
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Daudignon, Sandra. "Three essays in monetary and financial economics." Thesis, Paris 1, 2020. http://www.theses.fr/2020PA01E063.
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Le premier chapitre analyse l'impact de la compensation centrale des swaps, obligatoire depuis 2013, sur l'activité de dérivés des banques américaines. Une partie des banques traitées, c'est-à-dire des banques qui ne sont pas éligibles à la « end-user exception », réallouent leur portefeuille en substituant les options de taux d'intérêt OTC aux swaps de taux d'intérêt OTC. Cela suggère que ces banques pourraient se livrer à un arbitrage réglementaire. Le deuxième chapitre incorpore un taux d'intérêt naturel avec tendance stochastique dans un modèle nouveau keynésien et étudie comment cela modifie la politique monétaire optimale. Il montre que des augmentations systématiques du taux d'inflation optimal se justifient en réponse à des chocs négatifs sur le niveau de long terme du taux naturel, une fois que celui-ci passe en dessous de 1 \%. Néanmoins, une règle qui cible un niveau des prix constant continue de fournir une bonne approximation de la politique optimale, tant que le niveau de long terme du taux naturel reste positif. Le troisième chapitre étudie le lien entre l'incertitude microéconomique, définie comme la dispersion des niveaux de productivité idiosyncratique, et l'allocation du crédit entre les firmes. Il analyse l'équilibre d'un marché de la dette garantie où les banques et les investisseurs financiers interagissent en présence de sélection adverse et signalement. Le modèle prédit qu'une augmentation de l'incertitude micro peut générer un changement du régime d'information et se traduire par une contraction du crédit. Dans ce cas, une forte incertitude micro rétablit l'allocation optimale, car les banques ne financent que des projets de bonne qualitéThe first chapter analyses the impact of the central clearing requirement for swaps, which entered into force in 2013, on the derivatives activity of US banks. Part of treated banks, ie banks that are not eligible to the "end-user exception", reallocate their portfolio by substituting OTC interest rate swaps (regulated products) for OTC interest rate options (unregulated products). This suggests that these banks might engage in regulatory arbitrage. The second chapter allows for an integrated natural rate of interest in a new Keynesian mode! and studies its implications for optimal monetary policy under commitment. It shows that systematic increases in the optimal rate of inflation become warranted in response to downward shocks to the long-run natural rate, once this drifts below 1%. Nevertheless a constant price level targeting rule of the form put forward in Eggertsson and Woodford (2003) continues providing a good approximation to optimal commitment, as long as the long-run natural rate remains in positive territory. The third chapter investigates the link between micro-uncertainty, defined as the cross sectional dispersion of firms' idiosyncratic productivity, and the allocation of credit across firms. It analyses the equilibrium of a collateralized debt market where banks and financial investors internet in presence of adverse selection and signaling. The mode) predicts that a jump in micro uncertainty may generate a change of the information regime which may translate into a credit crunch. In this case, a high micro uncertainty restores the efficient allocation of credit as banks finance only high quality projects
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Hüfner, Felix. "Foreign exchange intervention as a monetary policy instrument : evidence for inflation targeting countries ; with 23 tables /." Heidelberg : Physica-Verlag, 2004. http://www.loc.gov/catdir/toc/fy044/2004298653.html.
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Zhang, Qiao. "Three essays in monetary economics : central bank transparency and macroeconomic Implications of financial frictions." Thesis, Strasbourg, 2014. http://www.theses.fr/2014STRAB010/document.
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Dans cette thèse, l'objectif de mes recherches, s'inscrivant dans la lignée de la littérature qui donne un rôle prééminent aux intermédiaires financiers dans les modèles macroéconomiques,consiste à comprendre les mécanismes qui ont permis à l'intermédiation financière imparfaite et parfaite d'affecter la dynamique de l'économie et la transmission de la politique monétaire, et de fournir une nouvelle formulation théorique pour l'évaluation de la politique monétaire non conventionnelle. Pour ce faire, j'ai d'abord considéré l'impact de l'intermédiation financière sur l'analyse des effets de la transparence de la banque centrale (chapitre 2). Dans le chapitre 3, je me suis concentré sur le rôle joué par l'intermédiation financière imparfaite et les frictions financières dans la transmission des chocs : par quels mécanismes, la présence d'intermédiaires financiers contraints par leur bilan affecte l'effet des chocs sur la macroéconomie? Enfin, dans le quatrième chapitre, je construis un modèle théorique pour analyser une question importante : le mécanisme de transmission des effets de l'achat à grande échelle de la banque centrale de titres adossés, qui n'a pas été effectué dans la littérature existanteIn this dissertation, my research aims at dwelling on the questions, at understanding and explaining -- as a follow of current strand of literature on financial frictions -- the mechanisms that allowed the imperfect and perfect credit intermediation to affect the dynamics of economy and the transmission of monetary policy, and providing a new theoretical formulation for evaluating the unconventional monetary policy. To do this, I first considered the impact of financial intermediation on the analysis of central bank transparency issue (Chapter 2). ln Chapter 3, I focused on the role played by the imperfect financial intermediation/financial frictions in the transmission of shocks : through which mechanisms, do the presence of balance-sheet constraint financial intermediaries affect the effect of shocks on the macroeconomy? Finally, in Chapter 4, 1 construct an theoreticalmodel to analyze an important issue which have net been carried out in existing literature: the transmission mechanism of the central bank's large-scale purchase of mortgage-backed securities. ln this chapter, I first simulated a financial crisis to see if the model is able to replicate some of the most important stylized facts of the Great Recession. Then, basing on the simulated crisis, I examine the efficacy and transmission mechanism of large scale purchases of MBS through comparing these purchases to the purchases of corporate bonds. This experiment is conducted in two credit market configurations, i.e., a partially and a totally segmented credit market. The latter case of market condition is considered by many economists as main obstacle that impedes the nominal functioning of the financial markets. ln this work, we have obtained rich and important findings for guiding the use of unconventional monetary policy. The following parts briefly present the findinqs of the thesis
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Vošková, Martina. "Deflácia a menová politka." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-263838.
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The thesis aims to explain different theoretical approaches to definition of deflation, categorize deflation, define positive and negative connotations typical for each economical school, define the role of monetary policy in relation to price stability and monetary instruments with an emphasis on unconventional. The last part applies theoretical knowledge on Swiss situation, describes the interventions between years 2009 and 2016 and presents their initially predicted and subsequently real, graphically illustrated impact on economy. The theoretical part of diploma concludes that mainstream economy perception is the most suitable for definition of deflation, therefore perceive it as a negative phenomenon and calls for elimination. Each step of SNB monetary policy was controversial. The author opens the question of the necessity of intervention from 2009, explains the reasons of SNB steps from 2011 and exit strategy from 2015. However, the author do not forget on negative connotations. In the final part, thesis outlines the most discussed topics raised by Swiss interventions and opens the topic of negative rates as unconventional monetary instrument.
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Madrigal-López, Róger. "The instrument problem under inflation targeting in an open economy the case of Costa Rica /." Connect to this title online, 2004. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1091041288.
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Thesis (Ph. D.)--Ohio State University, 2004.Title from first page of PDF file. Document formatted into pages; contains xi, 96 p. Includes bibliographical references (p. 93-96). Available online via OhioLINK's ETD Center
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Давидюк, О. С. "Рефінансування як інструмент монетарної політики НБУ." Thesis, Одеський національний економічний університет, 2021. http://local.lib/diploma/Davydiuk.pdf.
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Доступ до роботи тільки на території бібліотеки ОНЕУ, для переходу натисніть на посилання нижчеУ роботі розглядаються теоретичні аспекти: сутність рефінансування комерційних банків, нормативне забезпечення рефінансування банків, оцінка застосування інструментів тонкого налаштування та специфічних інструментів рефінансування Національного банку України. Проаналізовано: використання Національним банком України інструментів грошово-кредитної політики; сутність, цілі та типи грошово-кредитної політики; вплив грошово-кредитної політики на економіку країни; постійно діючих інструментів рефінансування Національного банку України. Запропоновано: за результатами дослідження сформульовані відповідні висновки та запропоновані пропозиції щодо підвищення ефективності грошово-кредитної політики, застосування яких на практиці дасть можливість створити передумови для розвитку економіки України.
The work deals with the theoretical aspects: the essence of refinancing of commercial banks, regulatory support for refinancing of banks, assessment of the use of fine-tuning tools and specific refinancing tools of the National Bank of Ukraine. Author: use of monetary policy instruments by the National Bank of Ukraine; nature, goals and types of monetary policy; the impact of monetary policy on the country's economy; permanent refinancing instruments of the National Bank of Ukraine. Аnalysis: based on the results of the study, the relevant conclusions are formulated and proposals are proposed to increase the effectiveness of monetary policy, the application of which in practice will create the conditions for the development of Ukraine's economy.
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Bohma, S. "Financial Markets in the Financial Structure of Euro Area." Thesis, National Mining University, 2007. http://essuir.sumdu.edu.ua/handle/123456789/62288.
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The article observes financial markets and their role in the financial system. The classification of financial markets is done. The main categories of financial instruments are described.У статті розглянуто фінансові ринки та їх місце у фінансовій системі. Наведена класифікація фінансових ринків та розглянуті основні види фінансових інструментів.
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Escobar-Izquierdo, Diego-Andrés. "El encaje como instrumento para el control de flujos de capitales: un análisis del caso peruano durante el periodo 2006-2013." Bachelor's thesis, Universidad de Lima, 2016. http://repositorio.ulima.edu.pe/handle/ulima/1728.
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La presente investigación tiene un doble objetivo. En primer lugar, evaluar el impacto del encaje sobre los adeudos con el exterior de la banca peruana. Según la Superintendencia de Banca, Seguros y Administradoras de Fondos de Pensiones (SBS, 1 de Mayo de 2016) los adeudos comprenden las obligaciones de los bancos con instituciones financieras del exterior y organismos internacionales; esta variable será utilizada para representar los flujos de capitales hacia la banca, transformados en saldos. El segundo objetivo pone énfasis en la relación entre dichos adeudos y el crédito. Para ello, se analiza si existe una relación de largo plazo entre estas variables. Adicionalmente, se realizará un análisis comparativo entre la crisis rusa y la crisis financiera internacional con respecto a la evolución del crédito. Se espera que el encaje haya sido un instrumento eficaz para el control de los adeudos, y que exista una relación de largo plazo entre dichos adeudos y el crédito.Trabajo de investigación
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Bryntsev, Maksim. "Monetární politika Ruské federace." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-193334.
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The aim of the thesis is to analyze and to explain monetary policy of Russian central bank and to determine its specific characteristics during 2010 -- 2014 as well as to describe its main instruments, goals, models and methods of regulation. First of all, the author will introduce common problems of monetary policy and there will be described general theoretical aspects of monetary policy functioning as well as impacts of monetary measures in open economy with different regimes of exchange policy and capital mobility. Further, there will be described instruments and transmission mechanism of monetary policy. The author will try to describe conditions of monetary policy realization, which have an impact on the direction of Bank of Russia measures, within the analytical part. The author will describe instruments that are characteristic for Russian central bank and foreign exchange policy, which are important for prediction of impact from monetary actions. At the end of the thesis the author will try to estimate an efficiency of monetary policy with the comparison of reality and the prognoses of Bank of Russia.
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Madrigal-López, Róger. "The instrument problem under inflation targeting in an open economy: the case of Costa Rica." The Ohio State University, 2004. http://rave.ohiolink.edu/etdc/view?acc_num=osu1091041288.
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Сопінська, І. О. "Грошово-кредитна політика: інструменти та їх використання у сучасних умовах." Thesis, Одеський національний економічний університет, 2021. http://local.lib/diploma/Sopinskaya.pdf.
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Доступ до роботи тільки на території бібліотеки ОНЕУ, для переходу натисніть на посилання нижчеУ роботі розглядаються теоретичні аспекти здійснення грошово-кредитної політики: досліджена її економічна сутність, ціллі та завдання; обґрунтовані інструменти грошово-кредитної політики, їх сутність та принципи застосування в сучасних умовах; розглянуті функції Національного банку України в проведенні грошово-кредитної політики. Проаналізовано здійснення операцій з цінними паперами на відкритого ринку; визначена практика використання обов’язкових резервних вимог; зроблений аналіз процентної політики; визначені особливості регулювання валютного ринку. Запропоновано напрямки підвищення ефективності реалізації грошово-кредитної політики в сучасних умовах функціонування банківського сектору.
The work deals with the theoretical aspects of aspects of implementation of monetary and credit policy are considered in the paper: its economic essence, goals and objectives are investigated; justified monetary policy instruments, their essence and principles of application in modern conditions; considered the functions of the National Bank of Ukraine in conducting monetary policy. Тhe аuthor analysis _ transactions with securities in the open market analyzed; defined use of mandatory reserve requirements; An analysis of interest rate policy; certain features of the regulation of the foreign exchange market are determined. Тhe author proposes directions of increasing the efficiency of monetary policy implementation in the current conditions of functioning of the banking sector.
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Савченко, Костянтин Вікторович, Константин Викторович Савченко, and Kostiantyn Viktorovych Savchenko. "Особливості впровадження інструментів монетарної політики для стабілізації циклічних коливань." Thesis, Видавництво "Алерта", 2011. http://essuir.sumdu.edu.ua/handle/123456789/21208.
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У роботі систематизовано теоретичні положення використання інструментів монетарної політики у стабілізаційному регулюванні економічних процесів. Здійснено аналіз використання інструментарію для стабілізації циклічних коливань. Досліджено світовий досвід щодо використання інструментів монетарної політики для впровадження стабілізаційної політики та акумулювання коштів з метою превентивного управління кризовими становищами в майбутньому.
При цитуванні документа, використовуйте посилання http://essuir.sumdu.edu.ua/handle/123456789/21208В работе систематизированы теоретические положения использования инструментов монетарной политики в стабилизационной регуляции экономических процессов. Осуществлен анализ использования инструментария для стабилизации циклических колебаний. Исследован мировой опыт использования инструментов монетарной политики для внедрения стабилизационной политики и аккумулирования средств с целью превентивного управления кризисными состояниями в будущем. При цитировании документа, используйте ссылку http://essuir.sumdu.edu.ua/handle/123456789/21208
A paper systematizes the theoretical principles of monetary policy tools in regulating the stabilization of economic processes. It was analyzed the using of tools for stabilization of cyclic fluctuations. It was investigated the world experience of using the monetary policy tools for implementing of a stabilization policy and accumulation of funds for a purpose of preventive management of crisis conditions in the future. When you are citing the document, use the following link http://essuir.sumdu.edu.ua/handle/123456789/21208
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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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Khodun, T. "Evaluating environmental policy instruments." Thesis, Видавництво СумДУ, 2004. http://essuir.sumdu.edu.ua/handle/123456789/23461.
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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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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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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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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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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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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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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)
MBA
Unrestricted
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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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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.