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Kamati, Reinhold. "Monetary policy transmission mechanism and interest rate spreads." Thesis, University of Glasgow, 2014. http://theses.gla.ac.uk/5883/.
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In contemporary times, monetary policy is evaluated by examining monetary policy shocks represented by changes in nominal interest rates rather than changes in the money supply. In this thesis, we studied three interrelated concepts: the monetary policy transmission mechanism, interest rate spreads and the spread adjusted monetary policy rule. Chapter 1 sets out a theoretical background by reviewing the evolution of monetary policy from money growth targeting to the standard approach of interest rate targeting (pegging) in the new consensus. The new consensus perspective models the economy with a system of three equations: the dynamic forward-looking IS-curve for aggregate demand, an inflation expectation-augmented Phillips curve and the interest rate rule. Monetary policy is defined as fixing the nominal interest rate in order to exert influences on macroeconomic outcomes such as output and expected inflation while allowing the money supply to be determined by interest rate and inflation expectations. Having set out this background, Chapter 2 empirically investigates long-standing questions: how does monetary policy (interest rate policy) affect the economy and how effective is it? This chapter seeks to answer these questions by modelling a monetary policy framework using macroeconomics data from Namibia. Using the new consensus macroeconomic view, this empirical analysis starts from the assumption that money is endogenous, and thus it identifies the bank rate (i.e. Namibia’s repo rate) as the policy instrument which starts the monetary transmission mechanism. We estimated a SVAR and derived structural impulse response functions and cumulative impulse response functions, which showed how output, inflation and bank credit responded to structural shocks, specifically the monetary policy and credit shocks in the short run and the long run. We found that in the short run quarterly real GDP, inflation and private credit declined significantly in response to monetary policy shocks in Namibia. Monetary policy shocks as captured by an unsystematic component of changes in the repo rate considerably caused a sharp decrease for more than three quarters ahead after the first impact in quarterly real GDP. Furthermore, structural impulse response functions showed that real GDP and inflation increased in response to one standard deviation in the private credit shock. In the long run, the cumulative impulse response functions showed that inflation declined and remained below the initial level while responses in other variables were statistically insignificant. South African monetary policy shock caused significant negative responses in private; however, the impacts on quarterly GDP were barely statistically significant in the short run. In all, this empirical evidence shows that the monetary policy of changing the level of repo rate is effective in stabilising GDP, inflation rate and private credit in the short run; and in the long run domestic monetary policy significantly stabilises inflation too. The structural forecast error variance decompositions show that the variations of output attributed to interest rate shock show that the interest rate channel is relatively strong compared with the credit channel. This is substantiated by the fact that repo rate shocks account for a large variation in output compared with the variation attributed to private credit shock. We conclude in this chapter that domestic monetary policy through the repo rate is effective, while the effects from the South African policy rate are not emphatically convincing in Namibia. Therefore, the Central Bank should keep independent monetary policy actions in order to achieve the goals of price stability. In Chapter 3 we investigate the subject of ‘interest rate spreads’, which are seen as the transmitting belts of monetary policy effects in the economy. While it is widely acknowledged that the monetary policy transmission mechanism is very important, it is also clear that the successes of monetary policy stabilisation are influenced by the size of spreads in the economy. Interest spreads are double-edged swords, as they amplify and also dampen monetary effects in the economy. Hence, we investigate the unit root process with structural breaks in interest rate spreads, and the macroeconomic and financial fundamentals that seem to explain large changes in spreads in Namibia. Firstly, descriptive statistics show that spreads always exist and gravitate around the mean above zero and that their paths are significantly amplified during crisis periods. Secondly, the Lanne, Saikkonen and Lutkepohl (2002) unit root test for processes with structural breaks shows that spreads have unit root with structural breaks. Most significant endogenous structural breaks identified coincide with the 1998 East Asia financial crisis period, while the global financial crisis only caused a significant structural break in quarterly GDP. Thirdly, using the definitions of the changes in base spread and retail spread, we find that inflation, unconditional inflation, economic growth rate and interest rate volatilities, and changes in the bank rate and risk premium and South Africa’s spread are some of the significant macroeconomic factors that explain changes in interest rate spread in Namibia. Whether we define interest spread as the retail spread, that is, the difference between average lending rate and average deposit rate, or the base spread, which is the difference between prime lending rate and the bank rate, our empirical results indicate that there macroeconomics and financial fundamentals play a statistically significant role in the determination of interest rate spreads. In the last chapter, we estimate the monetary policy rule augmented with spread - the so called Spread-adjusted Taylor Rule (STR). The simple Spread-adjusted Taylor rule is suggested in principle to be used as simple monetary policy strategy that responds to economic or financial shocks, e.g. rising spreads. In an environment of stable prices or weak demand, rising spreads have challenged current new consensus monetary policy strategy. As a result, the monetary policy framework that attaches weight to inflation and output to achieve price stability has been deemed unable to respond sufficiently to financial stress in the face of financial instability. In response to this challenge, the STR explicitly takes into account the spread to address the weakness of the standard monetary policy reaction in the face of financial instability. We apply the Bayesian method to estimate the posterior distributions of parameters in the simple STR. We use theory-based informed priors and empirical Bayesian priors to estimate the posterior means of the STR model. Our results from this empirical estimation show that monetary policy reaction function can be adjusted with credit spread to caution against tight credit conditions and therefore realise the goal of financial stability and price stability simultaneously. The estimated coefficients obtained from the spread-adjusted monetary policy are consistent with the calibrated parameters suggested by (McCulley & Toloui, 2008) and (Curdia & Woodford, 2009). We find that, on average, a higher credit spread is associated with the probability that the policy target will be adjusted downwards by 55 basis points in response to a marginal increase of one per cent in equilibrium spread. This posterior mean is likely to vary between -30 and -79 basis points with 95% credible intervals. Altogether in this chapter we found that a marginal increase in the rate of inflation above the target by one per cent is associated with probability that the repo rate target will be raised by an amount within the range of 42 to 75 basis points, while little can be said about central banks’ reaction to a marginal increase in output.
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Sagir, Serhat. "Effects Of Monetary Policy On Banking Interest Rates: Interest Rate Pass-through In Turkey." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613717/index.pdf.
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In this study, the effects of CBRT monetary policy decisions on the consumer, automobile, housing and commercial loans of the banks during the period from the early of 2004 to the middle of 2011 are examined. In order to perform this study, it is benefited from weekly weighted average loan interest rate data of the banks, which is the data having the highest frequency that could be obtained from the electronic data distribution system of CBRT.
Monetary policy instruments of Central Bank may change in the course of time or monetary policy could be executed by more than one instrument. Therefore, as the political interest rate would be insufficient in the calculation of the effect of monetary policy on loan interest rates of the banks, Government Dept Securities&rsquo<br>premiums are used instead of the political interest rates in this study to make it reflect the policies of central bank more clearly as a whole. Among the Government Dept Securities that have different maturity structure, benchmark bonds that are adapted to the expected political interest rate changes and that react to the unexpected interest rate changes at the high rate (reaction coefficient 0.983) are used.
In order to weight the cointegration relation between interest rates, unrestricted error correction model is established and it is determined by Bound Test that there is a long-term relation between each interest rate and interest rate of benchmark bond. After a cointegration relation is determined among the serials, autoregressive distributed lag model is used to determine the level of transitivity and it is determined that monetary policy decisions affect the banking interest rate at 77% level and by 13 weeks delay on average.
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Skallsjö, Sven. "Essays on term structure and monetary policy." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-548.
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This dissertation treats two different themes. The first, addressed in Chapter 1, regards the pricing of interest rate swaps. The second, studied in the remaining two chapters, regards the implications of monetary policy for the term structure of interest rates.The pricing of interest rate swaps An interest rate swap is an agreement between two parties to exchange fix for floating interest rate payments for a certain period of time. Floating rate payments are made at a floating-rate index, e.g. the three-month interbank rate, while the fixed rate payment, the swap rate, is determined on the market. The swap rate may include a compensation for credit risk depending on the counterparty's credit quality, but in the standard agreement there is no exchange of principal, only interest is transacted, and this effectively reduces concerns about credit risk. The swap spread for a given maturity is the difference between the swap rate and the risk-free rate, measured as the yield on a government bond with similar cash flows. If the standard swap agreement entails negligible credit risk one might expect swap spreads to be low and stable, but market swap spreads vary over time. There are periods when swap spreads are low in accordance with the general theory, but there are also periods when swap spreads reach levels that seem high.The first chapter of this dissertation examines a setting where a positive swap spread arises as part of an equilibrium in a perfectly competitive capital market. The model is one of insurance under adverse selection. A firm that seeks debt financing can insure itself against interest rate risk either by borrowing long-term or by borrowing short-term and entering a pay fix - receive float interest rate swap. The latter alternative allows for a partial hedge as the firm can choose to swap only a fraction of the nominal amount. In this setting, if firms' credit quality and interest rate risk tolerance are correlated creditors can use the pricing of interest rate swaps as a screening device. A low-risk firm, being a firm with favorable private information, selects short-term borrowing and partial insurance. A high-risk firm, being a firm with less favorable prospects, is by assumption also less risk tolerant. It therefore has a higher demand for insurance and the equilibrium swap spread is set such that the high-risk firm finds it more beneficial to borrow long-term at a cost that exceeds the expected cost from short-term financing, but that provides a full insurance to interest rate risk. Monetary policy and the term structure of interest rates Taken separately monetary policy and term structure modeling are two well-established research areas each comprising a substantial amount of research. But relatively few attempts have been made to integrate the two. The last two chapters of this dissertation take the view that the conduct of monetary policy is an essential element in the determination of the term structure of interest rates, and that explicitly considering the role of amonetary authority in the analysis has a potential of enhancing our understanding of term structure dynamics, and its relation to macro-economic fundamentals in particular. This approach to the term structure is supported by the fact that the analytical framework developed in the literature on optimal monetary policy translates conveniently into a setting well suited for term structure analysis. Chapter 2 makes the point in the simplest setting. A standard model of optimal monetary policy is reformulated in continuous time. Combined with a parameterized form for the market price of risk this produces a standard term structure model with well-known characteristics. This model is estimated on US data for the period 1987 - 2002, treating state variables as latent factors of the term structure. The parameters that are estimated comprise parameters describing the monetary transmission mechanism, parameters describing the monetary authority's preferences and parameters describing the market price of risk. Our estimation technique differs from comparable estimations in the monetary policy literature as these typically take state variables to be directly observable measures of macro-economic aggregates. The results using term structure data are both similar and different to previous findings. The main difference when using term structure data is that the central bank's estimated policy is more aggressive, i.e. more responsive to changes in the underlying state variables.Chapter 3 is devoted to the zero bound on nominal interest rates. While the zero bound is well recognized in the literature on term structure modeling, not much has been said about term structure dynamics under the special circumstance that the short rate is close to zero. I find the optimal monetary policy approach to be particularly well suited for this analysis. The chapter studies a continuous time reduced form version of the monetary transmission mechanism. The monetary authority's optimization problem is formed according to two specifications, interest rate stabilization and interest rate smoothing. For the former the optimization problem is solved analytically, while numerical procedures are adopted forthe latter. The chapter then turns to study implications for the term structure under risk-neutrality. Term structure equations are solved numerically and implications for the term structure are discussed. Data for a low-interest rate country like Japan for 1996 - 2003 exhibits s-shaped yield curves and yield volatility curves. This shape is found to be consistent with a smoothing objective for the short rate.<br><p>Diss. Stockholm : Handelshögskolan, 2004</p>
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Tse, Ching-biu Alan. "The Hong Kong Government's interest rate policy : a political and economic perspective /." [Hong Kong : University of Hong Kong], 1986. http://sunzi.lib.hku.hk/hkuto/record.jsp?B12323378.
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Kulish, Mariano. "Money, interest rates, and monetary policy." Thesis, Boston College, 2005. http://hdl.handle.net/2345/49.
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Thesis advisor: Peter N. Ireland<br>This dissertation contains two independent and self contained essays in monetary economics. Chapter 1: "The New Keynesian Model and The Term Structure of Interest Rates" The first essay studies the ability of a standard New Keynesian model to reproduce the behavior of the term structure of interest rates for the U.S. economy. The model is consistent with important features of the data. The version of the expectations hypothesis embodied in the model does a good job in explaining the patterns of correlations between nominal interest rates of various maturities. Other aspects, such as the volatility of, both nominal and real, long-term interest rates as well as the correlations between nominal interest rates and output, are not appropriately captured by the model. Chapter 2: "Should Monetary Policy Use Long-Term Rates?" The second essay studies two roles that long-term nominal interest rates can play in the conduct of monetary policy in a New Keynesian model. The first role allows long-term rates to enter the reaction function of the monetary authority. The second role considers the possibility of using long-term rates as instruments of policy. It is shown that in both cases a unique rational expectations equilibrium exists. Reacting to movements in long yields does not improve macroeconomic performance as measured by the loss function. However, long-term rates turn out to be better instruments when the relative concern of the monetary authority for inflation volatility is high<br>Thesis (PhD) — Boston College, 2005<br>Submitted to: Boston College. Graduate School of Arts and Sciences<br>Discipline: Economics
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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.<br><p>Diss. Stockholm : Handelshögskolan, 1999</p>
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Rowland, Nils Peter. "Fixed exchange rate systems : monetary characteristics and policy analysis." Thesis, London Business School (University of London), 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.267040.
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Fendel, Ralf. "Monetary policy, interest rate rules, and the term structure of interest rates : theoretical considerations and empirical implications /." Frankfurt am Main [u.a.] : Lang, 2007. http://www.loc.gov/catdir/toc/fy0709/2007416149.html.
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Hörngren, Lars. "On monetary policy and interest rate determination in an open economy." Doctoral thesis, Handelshögskolan i Stockholm, Samhällsekonomi (S), 1986. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-770.
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Swedish financial markets, in particular the money market, have developed very rapidly during the 1980s. Concurrently, there has been an equally drastic change in the conduct of monetary policy and a shift away from the previous reliance on regulatory policy instruments. This deregulation of markets and policy is the starting point for this dissertation, which discusses various aspects of the behavior of the money market and how interest rates and other financial variables are affected by monetary policy. A major topic in the dissertation is the question of international interest rate dependence, i.e., the extent to which independent control of domestic monetary variables is possible. This problem, which is important both for monetary policy and for the understanding of the money market in general, is analyzed theoretically using models of international asset pricing. The discussion emphasizes the role of the foreign exchange risk premium in the relation between domestic and foreign interest rates. A detailed study is also made of a currency basket system and its implications for the risk premium and the interest rate dependence. Another important topic is the relation between interest rates on assets with different times to maturity, i.e., the term structure of interest rates. The behavior of the term structure in the Swedish money market is studied with special emphasis on the role of interest rate expectations. Among the problems addressed is also the role of discount window policies, i.e., the conditions under which banks are allowed to borrow reserves from the central bank. The analysis focuses on what these rules imply for the behavior of interest rates and the effects of various policy instruments, and on how discount window policies should be designed to improve monetary control.<br>Diss. Stockholm : Handelshögsk.
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Davis, Caleb M. "U.S. Monetary Policy and Emerging Market Interest Rate Spreads: Explaining the Risk." Scholarship @ Claremont, 2011. http://scholarship.claremont.edu/cmc_theses/294.
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This paper will attempt to explain fluctuations in emerging market interest rate spreads by examining the implied federal funds effective rates that are derived from federal funds interest rate futures contracts. It will focus on comparing the individual relationships between four widely-used measures of U.S. monetary policy and emerging market interest rate spreads to determine which is the most powerful. The four measures of U.S. monetary policy are as follows: the yield on the U.S. 10-year Treasury, federal funds effective rate, federal funds target rate, and the implied rate from one-month federal funds futures contracts. It will expand upon previous studies that have been conducted on this topic, namely that of which done by Vivek Arora and Martin Cerisola in 2000 that attempted to explain the relationship between U.S. monetary policy, measured by the federal funds effective rate, and emerging market interest rates spreads. I find that the yield on the U.S. 10-year Treasury to be the most powerful driver of changes in emerging market interest rate spreads. However, I also find that the implied rate from federal funds interest rate futures is still highly indicative of spreads, especially when compared to the target and effective federal funds rates.
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Ballim, Goolam Hoosen. "Interest rate behaviour in a more transparent South African monetary policy environment." Thesis, Rhodes University, 2005. http://hdl.handle.net/10962/d1004462.
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South Africa introduced inflation targeting as a monetary policy framework in 2000. This marked a sizable shift in monetary policy management from the previous "eclectic" approach and the explicit focus on M3 money supply before that. The study appraises the effectiveness of monetary policy under this new dispensation. However, the analysis does not centre on inflation outcomes, which can be a measure of effectiveness because they are the overriding objective of the South African Reserve Bank in effect, it is possible to have a target-friendly inflation rate for a length of time despite monetary policy that is ambiguous and encourages unpredictability in market interest rates. However, persistent policy opaqueness can, over time, damage a favourable inflation scenario. For instance, if the public is unsure about the Reserve Bank's desired inflation target, price setting in the wage and goods markets may eventually produce an inflation outcome that is higher than the Bank may have intended. Rather, this study adjudicates the effectiveness of monetary policy within the context of policy transparency, which is an intrinsic part of the inflation targeting framework. The study looks at the extent to which monetary policy transparency has enhanced both the anticipatory nature of the market's response to policy actions and the force that policy has on all interest rates in the financial system, particularly long-term rates. These concepts are important because through the transmission mechanism of monetary policy, the more deft market participants are at anticipating future Reserve Bank policy the greater the Bank's ability to steady the economy before the actual policy event. With the aid of regression models to estimate the response of market rates to policy changes, the results show that there is significant movement in market rates in anticipation of policy action, rather than on the day of the event or the day after. Indeed, the estimates for market rates movement on the day of and even the day after the policy action are generally minute. For instance, the R157 long-term government bond yield changes by a significant 41 basis points in response to a one percentage point change in the Reserve Bank's benchmark repo rate in the period between the last policy action and the day preceding the current action. In contrast, the R157 bond yield changes by an insignificant 2 basis points on the day of the current repo rate change and about 1 basis point the day after the current change. The results point to a robust relationship between policy transparency and the market's ability to foresee rate action. If this were not the case, it is likely that there would be persistent market surprise and, hence, noticeable movement in interest rates on the day of the rate action and perhaps even the day after. Another important observation is that monetary policy impacts significantly on both short- and long-term market rates. Again, certifying the robustness of monetary policy under the inflation targeting regime
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Stubblebine, Michael A. "An Empirical Test of the Real Interest Rate in Germany, 1970-2000." Thesis, Virginia Tech, 2002. http://hdl.handle.net/10919/34866.
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This thesis is a empirical test of the constancy of the real rate of interest in Germany over the period of 1970 to 2000. The methodology, based on Mishkin (1981), employs Ordinary Least Squares regressions to search for correlation in movements of real rates with lagged inflation, time trends, and ten other variables that commonly appear in the literature. Overall results reject the hypothesis of the constancy of the real rate. The Fisher Effect (Fisher, 1930), that movements in nominal interest rates reflect changes in expected inflation, is found to be only moderate for Germany. The monetary policy implication is that nominal interest rates contain little information about real interest rates and therefore on the tightness of monetary policy. Overall lack of significance in the test results may (as Mishkin found) be because there is so little variation in real rate movements.<br>Master of Arts
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Tse, Ching-biu Alan, and 謝淸標. "The Hong Kong Government's interest rate policy: a political and economic perspective." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1986. http://hub.hku.hk/bib/B31974934.
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Kalwey, Nadine. "Monetary policy transmission and bank interest rate pass-through in emerging market countries." Hamburg Kovač, 2009. http://d-nb.info/99556678X/04.
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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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<p>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.</p><p>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.</p><p>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.</p><p>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.</p>
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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. <br/>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.<br/> 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.<br/> 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.<br>This dissertation analyzes monetary and fiscal policy issues in macroeconomies with financial frictions. <br/>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.<br/>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.<br/>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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Cermeño, Rodolfo, Oscar Dancourt, Gustavo Ganiko, and Waldo Mendoza. "Active Interest Rates and Monetary Policy: An Analysis with Individual Banks Data." Economía, 2017. http://repositorio.pucp.edu.pe/index/handle/123456789/117519.
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This paper investigates empirically the interest rate channel of the transmission mechanism of the monetary policy in Peru. Using monthly data for the six largest banks for the period June 2003 – June 2010 we study the two main policy instruments used under the inflation-target regime: the rate of monetary policy and the required bank reserves rate. We fit a dynamic panel data model obtaining two fundamental results. First, increases in the rate of monetary policy affectpositively and significantly the interest rates on commercial loans charged by the six largest banks of the country. Second, no evidence is found that the required bank reserves rate on deposits in Peruvian currency<br>Este trabajo evalúa empíricamente el canal de tasas de interés en el mecanismo de transmisión de la política monetaria en el Perú, durante el periodo junio 2003-junio 2010, empleando datos mensuales de bancos individuales. Se estudian los dos principales instrumentos de política utilizados bajo el régimen de metas de inflación: la tasa de política monetaria y la tasa de encaje.Utilizando un modelo de datos de panel dinámico, nuestro trabajo tiene dos resultados básicos. En primer lugar, un alza de la tasa de interés de referencia tiene un impacto positivo y significativo sobre las tasas de interés de los préstamos comerciales fijadas por los seis bancos más grandes del país. En segundo lugar, no encontramos evidencia que sugiera que la tasa de encaje a los depósitos en moneda nacional influye sobre estas mismas tasas de interés fijadas por estos seisbancos durante el periodo analizado.
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Hörmann, Markus [Verfasser]. "Liquidity, interest rates and optimal monetary policy / Markus Hörmann." Dortmund : Universitätsbibliothek Technische Universität Dortmund, 2011. http://d-nb.info/1011568276/34.
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Skallsjö, Sven. "Essays on term structure and monetary policy /." Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 2004. http://www.hhs.se/efi/summary/638.htm.
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Winistörfer, Patrick. "Monetary policy and the banking sector /." Bern : Studienzentrum Gerzensee, 2007. http://www.gbv.de/dms/zbw/568291794.pdf.
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Sack, Brian. "Monetary policy, gradualism, and the term structure of interest rates." Thesis, Massachusetts Institute of Technology, 1997. http://hdl.handle.net/1721.1/10375.
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Moon, Hongsung. "Alternative monetary policy rules in an open economy : effects on inflation, output, the interest rate and the exchange rate /." free to MU campus, to others for purchase, 1997. http://wwwlib.umi.com/cr/mo/fullcit?p9841323.
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Adolfson, Malin. "Monetary policy and exchange rates : breakthrough of pass-through." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 2001. http://www.hhs.se/efi/summary/586.htm.
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Olsson, Sanna, and Gustaf Jungnelius. "The impact of Sweden ́s Negative Repo Rate on FDI : A quantitative analysis of how Sweden’s monetary policy has affected foreign direct investments." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-46242.
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Sweden’s central bank implemented a negative interest rate policy (NIRP) in 2015, one year after adopting a zero-interest rate policy. Due to the monetary policy’s untested framework,experts are divided on the effectiveness of such a policy as well as its fortitude when faced with an economic recession. The lack of research on how the interest rate affects various economic metrics has left ample room for analysis and discussion on the subject. The aim ofthis thesis is to analyze how Sweden’s monetary policy has affected the flow of foreign directinvestments (FDI). Specifically, the paper will be focused on discovering the effect of theRiksbank’s negative repo rate policy on net FDI inflows between 2006 and 2017. Our quantitative analysis found no significant relationship between Sweden’s repo rate and itsFDI inflows. However, significance was found in the variables exchange rate, research and development expenditures, corporate taxes, and wages.
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Berglund, Pontus, and Daniel Kamangar. "An Empirical Study on the Reversal Interest Rate." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273549.
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Previous research suggests that a policy interest rate cut below the reversal interest rate reverses the intended effect of monetary policy and becomes contractionary for lending. This paper is an empirical investigation into whether the reversal interest rate was breached in the Swedish negative interest rate environment between February 2015 and July 2016. We find that banks with a greater reliance on deposit funding were adversely affected by the negative interest rate environment, relative to other banks. This is because deposit rates are constrained by a zero lower bound, since banks are reluctant to introduce negative deposit rates for fear of deposit withdrawals. We show with a difference-in-differences approach that the most affected banks reduced loans to households and raised 5 year mortgage lending rates, as compared to the less affected banks, in the negative interest rate environment. These banks also experienced a drop in profitability, suggesting that the zero lower bound on deposits caused the lending spread of banks to be squeezed. However, we do not find evidence that the reversal rate has been breached.<br>Tidigare forskning menar att en sänkning av styrräntan under brytpunktsräntan gör att penningpolitiken får motsatt effekt och blir åtstramande för utlåning. Denna rapport är en empirisk studie av huruvida brytpunktsräntan passerades i det negativa ränteläget mellan februari 2015 och juli 2016 i Sverige. Våra resultat pekar på att banker vars finansiering till större del bestod av inlåning påverkades negativt av den negativa styrräntan, relativt till andra banker. Detta beror på att inlåningsräntor är begränsade av en lägre nedre gräns på noll procent. Banker är ovilliga att introducera negativa inlåningsräntor för att undvika att kunder tar ut sina insättningar och håller kontanter istället. Vi visar med en "difference-in-differences"-analys att de mest påverkade bankerna minskade lån till hushåll och höjde bolåneräntor med 5-åriga löptider, relativt till mindre påverkade banker, som konsekvens av den negativa styrräntan. Dessa banker upplevde även en minskning av lönsamhet, vilket indikerar att noll som en nedre gräns på inlåningsräntor bidrog till att bankernas räntemarginaler minskade. Vi hittar dock inga bevis på att brytpunktsräntan har passerats.
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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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Holmberg, Andreas, and Christoffer Bengtsson. "Portugal and the European Monetary Union. : Investigating an alternative interest rate development using the Taylor Rule." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-17173.
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The objective of this study is to investigate how the development regarding the short-term nominal interest rate in Portugal would have differed from that set by the ECB 1999-2011 in a situation where they did not enter the European Monetary Union. To do this, we use the Taylor rule, which incorporates economic activities such as inflation and output and how these deviates from their target. Constructing the Taylor rule, we estimate its reaction functions using an Ordinary Least Square Regression on annual data from the period 1988-1998. The reaction functions serve as weights on the deviations for inflation and output. The result reached is that the interest rate set by the ECB since 1999 is far below that interest rate required by the Portuguese economic situation. Further, we discuss how the influence in the setting of the ECB interest rate differs considering the member countries size.
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Barth, Marvin Jenkins. "Essays on the transmission of monetary policy /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9901435.
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Sebuharara, Ruzima C. "Financial liberalization and transmission of monetary policy in developing countries the cases of Ghana and Kenya /." Diss., Online access via UMI:, 2005.
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Akcay, Mustafa. "THREE ESSAYS ON THE IMPACT OF MONETARY POLICY TARGET INTEREST RATES ON BANK DISTRESS AND SYSTEMIC RISK." Diss., Temple University Libraries, 2018. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/518632.
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Economics<br>Ph.D.<br>My dissertation topic is on the impact of changes in the monetary policy interest rate target on bank distress and systemic risk in the U.S. banking system. The financial crisis of 2007-2009 had devastating effects on the banking system worldwide. The feeble performance of financial institutions during the crisis heightened the necessity of understanding systemic risk exhibited the critical role of monitoring the banking system, and strongly necessitated quantification of the risks to which banks are exposed, for incorporation in policy formulation. In the aftermath of the crisis, US bank regulators focused on overhauling the then existing regulatory framework in order to provide comprehensive capital buffers against bank losses. In this context, the Basel Committee proposed in 2011, the Basel III framework in order to strengthen the regulatory capital structure as a buffer against bank losses. The reform under Basel III framework aimed at raising the quality and the quantity of regulatory capital base and enhancing the risk coverage of the capital structure. Separately, US bank regulators adopted the Dodd-Frank Wall Street Reform and Consumer Protection Act (2010) to implement stress tests on systemically important bank holding companies (SIBs). Concerns about system-wide distress have broadened the debate on banking regulation towards a macro prudential approach. In this context, limiting bank risk and systemic risk has become a prolific research field at the crossroads of banking, macroeconomics, econometrics, and network theory over the last decade (Kuritzkes et al., 2005; Goodhart and Sergoviano, 2008; Geluk et al., 2009; Acharya et al., 2010, 2017; Tarashev et al., 2010; Huang et al., 2012; Browless and Engle, 2012, 2017 and Cummins, 2014). The European Central Bank (ECB) (2010) defines systemic risk as a risk of financial instability “so widespread that it impairs the functioning of a financial system to the point where economic growth and welfare suffer materially.” While US bank regulators and policy-makers have moved to strengthen the regulatory framework in the post-crisis period in order to prevent another financial crisis, a growing recent line of research has suggested that there is a significant link between monetary policy and bank distress (Bernanke, Gertler and Gilchrist, 1999; Borio and Zhu, 2008; Gertler and Kiyotaki, 2010; Delis and Kouretas, 2010; Gertler and Karadi, 2011; Delis et al., 2017). In my research, I examine the link between the monetary policy and bank distress. In the first chapter, I investigate the impact of the federal funds rate (FFR) changes on the banking system distress between 2001 and 2013 within an unrestricted vector auto-regression model. The Fed used FFR as a primary policy tool before the financial crisis of 2007-2009, but focused on quantitative easing (QE) during the crisis and post-crisis periods when the FFR hit the zero bound. I use the Taylor rule rate (TRR, 1993) as an “implied policy rate”, instead of the FFR, to account for the impact of QE on the economy. The base model of distress includes three macroeconomic indicators—real GDP growth, inflation, and TRR—and a systemic risk indicator (Expected capital shortfall (ES)). I consider two model extensions; (i) I include a measure of bank lending standards to account for the changes in the systemic risk due to credit tightening, (ii) I replace inflation with house price growth rate to see if the results remain robust. Three main results can be drawn. First, the impulse response functions (IRFs) show that raising the monetary policy rate contributed to insolvency problems for the U.S. banks, with a one percentage point increase in the rate raising the banking systemic stress by 1.6 and 0.8 percentage points, respectively, in the base and extend models. Second, variance decomposition (VDs) analysis shows that up to ten percent of error variation in systemic risk indicator can be attributed to innovations in the policy rate in the extended model. Third, my results supplement the view that policy rate hikes led to housing bubble burst and contributed to the financial crisis of 2007-2009. This is an example for how monetary policy-making gets more complex and must be conducted with utmost caution if there is a bubble in the economy. In the second chapter, I examine the prevalence and asymmetry of the effects on bank distress from positive and negative shocks to the target fed fund rate (FFR) in the period leading to the financial crisis (2001-2008). A panel model with three blocks of control variables is used. The blocks include: positive/negative FFR shocks, macroeconomic drivers, and bank balance sheet indicators. A distress indicator similar to Texas Ratio is used to proxy distress. Shocks to FFR are defined along the lines suggested by Morgan (1993). Three main results are obtained. First, FFR shocks, either positive or negative, raise bank distress over the following year. Second, the magnitudes of the effects from positive and negative shocks are unequal (asymmetric); a 100 bps positive (negative) shock raises the bank distress indicator (scaled from 0 to 1) by 9 bps (3 bps) over the next year. Put differently, after a 100 bps positive (negative) shock, the probability of bankruptcy rises from 10% to 19% (13%). Third, expanding operations into non-banking activities by FHCs does not benefit them in terms of distress due to unanticipated changes in the FFR as FFR shocks (positive or negative) create similar levels of distress for BHCs and FHCs. In the third chapter, I explore the systemic risk contributions of U.S. bank holding companies (BHCs) from 2001 to 2015 by using the expected shortfall approach. Developed by analogy with the component expected shortfall concept, I decompose the aggregate systemic risk, as measured by expected shortfall, into several subgroups of banks by using publicly available balance sheet data to define the probability of bank default. The risk measure, thus, encompasses the entire universe of banks. I find that concentration of assets in a smaller number of larger banks raises systemic risk. The systemic risk contribution of banks designated as SIFIs increased sharply during the financial crisis and reached 74% at the end of 2015. Two-thirds of this risk contribution is attributed to the four largest banks in the U.S.: Bank of America, JP Morgan Chase, Citigroup and Wells Fargo. I also find that diversifying business operations by expanding into nontraditional operations does not reduce the systemic risk contribution of financial holding companies (FHCs). In general, FHCs are individually riskier than BHCs despite their more diversified basket of products; FHCs contribute a disproportionate amount to systemic risk given their size, all else being equal. I believe monetary policy-making in the last decade carries many lessons for policy makers. Particularly, the link between the monetary policy target rate and bank distress and systemic risk is an interesting topic by all accounts due to its implications and challenges (explained in more detail in first and second chapters). The literature studying the relation between bank distress and monetary policy is fairly small but developing fast. The models I investigate in my work are simple in many ways but they may serve as a basis for more sophisticated models.<br>Temple University--Theses
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Lukmanova, Elizaveta, and Katrin Rabitsch. "New VAR evidence on monetary transmission channels: temporary interest rate versus inflation target shocks." WU Vienna University of Economics and Business, 2018. http://epub.wu.ac.at/6681/1/wp274.pdf.
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We augment a standard monetary VAR on output growth, inflation and the nominal interest rate with the central bank's inflation target, which we estimate from a New Keynesian DSGE model. Inflation target shocks give rise to a simultaneous increase in inflation and the nominal interest rate in the short run, at no output expense, which stands at the center of an active current debate on the Neo-Fisher effect. In addition, accounting for persistent monetary policy changes reflected in inflation target changes improves identification of a standard temporary nominal interest rate shock in that it strongly alleviates the price puzzle.<br>Series: Department of Economics Working Paper Series
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Mirzoev, Tokhir. "Essays in monetary and international economics." Connect to this title online, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1116422106.
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Thesis (Ph. D.)--Ohio State University, 2005.<br>Title from first page of PDF file. Document formatted into pages; contains xi, 113 p.; also includes graphics (some col.) Includes bibliographical references (p. 108-113). Available online via OhioLINK's ETD Center
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Nannyonjo, Justine. "Financial sector reforms in Uganda (1990-2000) : interest rate spreads, market structure, bank performance and monetary policy /." Göteborg : Nationalekonomiska institutionen, Handelshögsk, 2002. http://www.handels.gu.se/epc/data/html/html/2055.html.
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Mangwengwende, Tadiwanashe Mukudzeyi. "The relationship between bank concentration and the interest rate pass through in selected African countries." Thesis, Rhodes University, 2010. http://hdl.handle.net/10962/d1002675.
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Given the importance of monetary policy in the operation of a successful modern economy and the use of official interest rates as tools in its implementation, this study investigates the implications of changing bank concentration on the operation of the Interest Rate Pass Through (IRPT) of official rates to bank lending and deposit rates. This is an issue made more poignant by growing mergers, acquisitions and bank consolidation exercises around the world that have brought interest to their implications for economic performance. However, with contention high in the industrial organisation theory on the likely relationship between bank concentration and the IRPT, and the outcomes of empirical investigations producing conflicting evidence, the desire to investigate the issue in the African context necessitated a thorough empirical investigation of four African countries (South Africa, Botswana, Nigeria and Zambia). This study not only extended the investigation of the issue to the African context, but it merged different IRPT measurement techniques that had not been jointly applied to this particular issue, namely; Symmetric and Asymmetric Error Correction Models, Mean Adjustment Lags, Ordinary Least Squares estimations and Autoregressive Distributed Lag models. These measures of the IRPT were compared with three firm concentration ratios on two different levels of analysis, one, over the entire period and, another, through eight year rolling windows. The results reveal that bank concentration can sometimes be related to the speed and magnitude of the IRPT but that these relationships are not consistent amongst the countries, over the entire sample period or across the two levels of analysis, suggesting reasons why empirical results have arrived at contrasting conclusions. The results revealed more evidence of a relationship between bank concentration and the magnitude of the IRPT than between bank concentration and the speed of the IRPT. Furthermore, where relationships were identified there was evidence supporting both the structure conduct performance hypothesis and the competing efficient market hypothesis as the true representation of the relationship between bank concentration and the IRPT. The key implication of the result for African countries is that increased bank concentration through bank consolidation programmes should not be automatically regarded as detrimental to the effective implementation of monetary policy through the IRPT. Consequently,banking sector regulation need not stifle bank consolidation and growth to preserve monetary policy effectiveness. Rather, since the relationship cannot be neatly represented by a single theory or hypothesis each country must determine its own interaction between bank concentration and its IRPT before policies regarding the banking sector concentration and effective monetary policy, through the use of official interest rates, are determined.
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Smithin, John. "The rate of interest, economic growth, and inflation. An alternative theoretical perspective." Inst. für Volkswirtschaftstheorie und -politik, WU Vienna University of Economics and Business, 2002. http://epub.wu.ac.at/1458/1/document.pdf.
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The premise of this paper is that in a monetary production economy, policy decisions of the central bank, or more generally the 'monetary authority', set the tone not only for nominal interest rates but also for 'real' interest rates defined in the usual way. This is a different question than that of which institution(s) acquire the status of monetary authority at any particular stage of socioeconomic or technological development. Rather the suggestion is that the existence of some such social structure is a prerequisite if anything resembling capitalist monetary production is to be viable. The paper demonstrates that a coherent macroeconomic theory can be elaborated on this basis, including an explanation of economic growth, the business cycle, inflation, the functional distribution of income, the 'Keynesian' problem of the impact of demand growth on economic growth, endogenous money, cumulative causation, and endogenous technical change. (author's abstract)<br>Series: Working Papers Series "Growth and Employment in Europe: Sustainability and Competitiveness"
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Sutter, Barbara C. "Monetary Policy Based on Inflation Forecasts Using Fixed and Varying Interest Rates." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01654706002/$FILE/01654706002.pdf.
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Nikolic, Marko, and Miriam Homsi. "Negative Interest Rates Effect Economic Stability." Thesis, Mälardalens högskola, Akademin för ekonomi, samhälle och teknik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-40911.
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Today's monetary policy is a historic one, where the introduction of negative interest rates has started a new "age" of unconventional monetary policy and some argue that there is a need for further unconventional monetary tools. The purpose of this thesis is to analyze negative interest rates, how they came to be, what long-term eect they have on economic stability and if its possible to get out. We do this by analyzing existing theoretical and empirical research, including a theoretical model based on household consumption, a cost of money function and an illustration of the liquidity trap. Thereby the thesis concludes that the short term positive eects of negative interest rate policy get exhausted in the long-term as the negative eects increase over time, thus creating an environment of excessive borrowing both by consumers and governments that might lead to instability and economic downturn in the long-term. Furthermore, the negative interest rate policy is creating a diculty of getting out of the negative interest rate environment because the consumers and the rms have gotten used to the "cheap money" and might have hard time nancing day to day operations in normal interest rate world.
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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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Bunnag, Katkate. "The Taylor rule and its implications." Diss., Connect to online resource - MSU authorized users, 2006.
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Frutuoso, Telma Alexandra Alves. "Negative interest rate policy and bank risktaking : evidence from the portuguese banking sector." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/21112.
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Mestrado em Economia Monetária e Financeira<br>Esta dissertação tem como objetivo avaliar o impacto da Política de Taxa de Juros Negativa (NIRP), seguida pelo BCE, na assunção de risco dos bancos portugueses, através de uma abordagem de dados em painel. Realizamos a análise através de uma abordagem de dados em painel desequilibrado, para os bancos Portugueses no período entre 2010 e 2018, através de um modelo dinâmico. Para realizar a análise, foi usado como proxy da assunção de risco bancário, a variável Z-score e non-performing loans (NPLs). Reportamos uma redução na assunção de riscos relacionada com a diminuição do nível de taxas de juro, i.e. 1% de diminuição no nível de taxas de juro, provoca uma descida no nível do Z-score e de NPLs de 2.34% e 11.4%, respetivamente.<br>This dissertation aims to assess the impact of the Negative Interest Rate Policy (NIRP), followed by the ECB, on the Portuguese banks' risk-taking, using a panel data approach. We studied an unbalanced panel data set Portuguese banks over the period spanning from 2010 to 2018 by using a dynamic model. To perform the analysis, we use as a proxy of bank risk-taking the Z-score and non-performing loans (NPLs). We found a reduction in the risk-taking, related to a decrease in the level of interest rates, i.e., a 1% decrease in the level of interest rates causes a decrease in the level of Z-score and NPLs, of 2.34% and 11.4%, respectively.<br>info:eu-repo/semantics/publishedVersion
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Richter, Christian. "Learning and the term structure of interest rates in Britain and Germany." Thesis, University of Strathclyde, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.366905.
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Huber, Florian, and Maria Teresa Punzi. "International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound." WU Vienna University of Economics and Business, 2016. http://epub.wu.ac.at/4824/1/wp216.pdf.
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In this paper we propose a time-varying parameter VAR model for the housing market in the United States, the United Kingdom, Japan and the Euro Area. For these four economies, we answer the following research questions: (i) How can we evaluate the stance of monetary policy when the policy rate hits the zero lower bound? (ii) Can developments in the housing market still be explained by policy measures adopted by central banks? (iii) Did central banks succeed in mitigating the detrimental impact of the financial crisis on selected housing variables? We analyze the relationship between unconventional monetary policy and the housing markets by using the shadow interest rate estimated by Krippner (2013b). Our findings suggest that the monetary policy transmission mechanism to the housing market has not changed with the implementation of quantitative easing or forward guidance, and central banks can affect the composition of an investors portfolio through investment in housing. A counterfactual exercise provides some evidence that unconventional monetary policy has been particularly successful in dampening the consequences of the financial crisis on housing markets in the United States, while the effects are more muted in the other countries considered in this study. (authors' abstract)<br>Series: Department of Economics Working Paper Series
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Kim, Dong Heon. "Essays on the term structure of interest rates, monetary policy, and business cycle /." 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?p9975875.
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Ichiue, Hibiki. "Essays on the yield curve, its predictive power and monetary policy /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2005. http://wwwlib.umi.com/cr/ucsd/fullcit?p3191988.
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Balabay, Oksana. "Is the Taylor Rule a Good Approximation of the Norwegian Monetary Policy?" Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-158352.
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The aim of this research is to check whether the Taylor rule in its simple linear form can be viewed as an appropriate description of the monetary policy pursued by Norway’s central bank – Norges Bank, and whether this rule can be used for forecasting purposes. Not only does this research focus on the original Taylor rule, but it also deals with its extended version designed for small open economies such as Norway. A conclusion about whether regressions can produce reliable coefficient estimates is drawn on the basis of time series’ properties tests and cointegration tests. The performance of the simple-form Taylor equation is compared to its alternative forms through forecasting exercises. The study has shown that the extended version of the Taylor rule with interest rate smoothing and augmented with the real exchange rate, the policy rate of the EU and oil prices can be viewed as a close approximation of Norges Bank’s monetary policy and can be used for forecasting purposes.
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Schlaepfer, Alain. "Essays on uncertainty, monetary policy and financial stability." Doctoral thesis, Universitat Pompeu Fabra, 2016. http://hdl.handle.net/10803/393734.
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In the first chapter, I examine both theoretically and empirically how income uncertainty affects the effectiveness of monetary policy. I consider income risk from potential unemployment, and find that monetary policy has a smaller influence on aggregate demand when unemployment risk is high. I build on the fact that saving arising from a precautionary motive has a smaller interest elasticity. As a consequence, aggregate demand reacts less to the interest rate when uncertainty is high. The second chapter links the build-up of financial risk that led to the recent financial crisis to the preceding period of exceptionally low macroeconomic volatility. The degree of stability that a country has enjoyed before 2007 predicts robustly how much it suffered from the crisis, a result that also holds for individual firms. In the final chapter, I connect this period of low volatility to the conduct of monetary policy. Building on a stylized model, I show empirically that monetary policy may have been `too successful' in stabilizing inflation, as this has contributed to excessive financial risk taking.<br>En el primer capítol, aquesta Tesi Doctoral estudia com la incertesa en els ingressos afecta l'eficàcia de les polítiques monetàries. Considerant el risc en els ingressos de la desocupació potencial, la investigació conclou que les polítiques monetàries tenen una influència menor en la demanda agregada quan el risc de desocupació és elevat. Parteixo del fet que l’estalvi sorgit de motius preventius té una menor elasticitat respecte el tipus d'interès. Com a conseqüència, la demanda agregada reacciona menys als tipus d’interès quan la incertesa és alta. En el segon capítol s’enllaça el risc financer que va precedir la crisi financera recent amb el període precedent caracteritzat per una volatilitat macroeconòmica baixa. El grau d’estabilitat que un país va gaudir abans del 2007 prediu de forma robusta el grau en què va patir durant la crisi econòmica, un resultat que també es manté quan s’analitzen les empreses. En l’últim capítol de la Tesi, connecto aquest període de volatilitat baixa amb la manera en què s’han desenvolupat les polítiques monetàries. A través d’un model, mostro com les polítiques monetàries han estat massa “exitoses” en estabilitzar la inflació, la qual cosa ha contribuït en una excessiva aversió al risc financer.
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Herrmann, Fabian [Verfasser], Roland [Akademischer Betreuer] Winkler, and Ludger [Gutachter] Linnemann. "Essays in macroeconomics: monetary policy, interest rate spreads, and financial markets / Fabian Herrmann ; Gutachter: Ludger Linnemann ; Betreuer: Roland Winkler." Dortmund : Universitätsbibliothek Dortmund, 2017. http://d-nb.info/1143949692/34.
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Doig, Gregory Graham. "The interest rate elasticity of credit demand and the balance sheet channel of monetary policy transmission in South Africa." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1006482.
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It has long been accepted that changes in monetary policy have real economic effects; however, the mechanism by which these policy changes are transmitted to the real economy has been the subject of much debate. Traditionally the transmission mechanism of monetary policy has consisted of various channels which include the money channel, the asset price channel and the exchange rate channel. Recent developments in economic theory have led to a relatively new channel of policy transmission, termed the credit channel. The credit channel consists of the bank lending channel as well as the balance sheet channel, and focuses on the demand for credit as the variable of interest. The credit channel is based on the notion that demanders and suppliers of credit face asymmetric information problems which create a gap between the cost of external funds and the cost of internally generated funds, referred to as the wedge. The aim here is to determine the size and lag length effects of changes in credit demand, by both firms as well as households, as a result of changes in interest rates. A secondary, but subordinate, aim is to test for a balance sheet channel of monetary policy transmission. A vector autoregressive (VAR) model is used in conjunction with causality tests, impulse response functions and variance decompositions to achieve the stated objectives. Results indicate that the interest rate elasticity of credit demand, for both firms and households, is interest inelastic and therefore the monetary policy authorities have a limited ability to influence credit demand in the short as well as medium term. In light of the second aim, only weak evidence of a balance sheet channel of policy transmission is found.
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Nam, Min-Ho. "Essays on housing and monetary policy." Thesis, University of St Andrews, 2013. http://hdl.handle.net/10023/3681.
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This thesis, motivated by my reflections about the failings of monetary policy implementation as a cause of the sub-prime crisis, attempts to answer the following inquiries: (i) whether interest rates have played a major role in generating the house price fluctuations in the U.S., (ii) what are the effects of accommodative monetary policy on the economy given banks' excessive risk-taking, and (iii) whether an optimal monetary policy rule can be found for curbing credit-driven economic volatilities in the model economy with unconventional transmission channels operating. By using a decomposition technique and regression analysis, it can be shown that short-term interest rates exert the most potent influence on the evolution of the volatile components of housing prices. One possible explanation for this is that low policy rates for a prolonged period tend to encourage bankers to take on more risk in lending. This transmission channel, labelled as the risk-taking channel, accounts for the gap to some extent between the forecast and the actual impact of monetary policy on the housing market and the overall economy. A looser monetary policy stance can also shift the preference of economic agents toward housing as theoretically and empirically corroborated in the context of choice between durable and nondurable goods. This transmission route is termed the preference channel. If these two channels are operative in the economy, policy makers need to react aggressively to rapid credit growth in order to stabilize the paths of housing prices and output. These findings provide meaningful implications for monetary policy implementation. First of all, central bankers should strive to identify in a timely fashion newly emerging and state-dependent transmission channels of monetary policy, and accurately assess the impact of policy decisions transmitted through these channels. Secondly, the intervention of central banks in the credit or housing market by adjusting policy rates can be optimal, relative to inaction, in circumstances where banks' risk-taking and the preference for housing are overly exuberant.
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Ghosh, Sugata. "Aspects of macroeconomic policy in closed and open economies." Thesis, University of Cambridge, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.321337.
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