Essays In Monetary Policy And Financial Markets
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Essays On Monetary Policy And Financial Markets
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Author :
language : en
Publisher:
Release Date : 2004
Essays On Monetary Policy And Financial Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Essays On Monetary Policy And Financial Markets
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Author : Dong Quang Vu
language : en
Publisher:
Release Date : 2010
Essays On Monetary Policy And Financial Markets written by Dong Quang Vu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Banks and banking categories.
How should a central bank conduct monetary policy in the presence of financial shocks? How is a financial shock identified? Using different economic models, my dissertation addresses these questions.
Essays On Monetary Policy Interactions With Fiscal Policy And Financial Markets
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Author : Stefan Niemann
language : en
Publisher:
Release Date : 2008
Essays On Monetary Policy Interactions With Fiscal Policy And Financial Markets written by Stefan Niemann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Banking Monetary Policy And The Political Economy Of Financial Regulation
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Author : Gerald A. Epstein
language : en
Publisher: Edward Elgar Publishing
Release Date : 2014-07-31
Banking Monetary Policy And The Political Economy Of Financial Regulation written by Gerald A. Epstein and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-31 with Business & Economics categories.
The many forces that led to the economic crisis of 2008 were in fact identified, analyzed and warned against for many years before the crisis by economist Jane D�Arista, among others. Now, writing in the tradition of D�Arista's extensive work, the
Essays On Monetary Policy And Financial Markets
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Author : Ermira Farka
language : en
Publisher:
Release Date : 2004
Essays On Monetary Policy And Financial Markets written by Ermira Farka and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Essays On The Interaction Between Monetary Policy And Financial Markets
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Author : Alain Durré
language : fr
Publisher: Presses univ. de Louvain
Release Date : 2003
Essays On The Interaction Between Monetary Policy And Financial Markets written by Alain Durré and has been published by Presses univ. de Louvain this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
Despite the consequences of financial bubbles on economic activity, it is still an open question to what extent the monetary policy should react to sharp fluctuations of equity prices. This dissertation attempts to contribute to the debate with some theoretical and empirical analyses of the relationship between monetary policy and financial markets. Chapter 1 incorporates the effect of real equity prices on aggregate demand in a forward-looking expectations neo-Keynesian model. This effect arises either from a wealth effect or from a change in consumers' confidence. The objective function of monetary authorities depends on the output gap and the deviation of expected inflation from the target. A numerical simulation, based on US data, illustrates the quantitative importance of the financial market channel for various exogenous shocks. In Chapter 2, the variation of equity prices enters explicitly in the loss function of the monetary authorities while, at the same time, it affects aggregate demand. This modifies the optimal monetary policy by increasing the volatility of the nominal interest rate. Chapter 3 examines how the launch of the European single currency has affected expectations on future monetary policy by comparing the econometric results of a co-integrated VAR model on pre- and post- January 1999 data. Chapter 4 deals with diverse methodological issues related to the estimation of the Taylor rule, which represents Central Bank decisions by a single and stable function. Several interesting results emerge from the modelling of the Fed funds rate over the period 1987-2002. In particular, assuming a discontinuous and asymmetric response of the Federal Reserve to fluctuations of equity prices, corrects the apparent instability of the rule.
Essays In Monetary Policy And Financial Markets
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Author : Mykyta Bilyi
language : en
Publisher:
Release Date : 2017
Essays In Monetary Policy And Financial Markets written by Mykyta Bilyi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Three Essays On Monetary Policy And Financial Markets
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Author : Jiri Woschitz
language : en
Publisher:
Release Date : 2017
Three Essays On Monetary Policy And Financial Markets written by Jiri Woschitz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Essays On Monetary Policy And Financial Markets
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Author : Matteo Leombroni
language : en
Publisher:
Release Date : 2023
Essays On Monetary Policy And Financial Markets written by Matteo Leombroni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.
This thesis studies the interaction of monetary policy and financial markets. The thesis examines the impact of monetary policy shocks on the cross-section of bond prices (e.g., government and corporate bonds). It also analyzes how monetary policy interacts with the portfolios of financial intermediaries and households. In the first chapter, Heterogeneous Intermediaries and Bond Characteristics in the Transmission of Monetary Policy, together Federic Holm-Hadulla, we study the transmission of monetary policy to the corporate bond market. We show that corporate bond purchases by the central bank give rise to credit spread shocks, whereas government bond purchases mainly cause term spread shocks. The yields of bonds held by different intermediaries respond heterogeneously to the two shocks because intermediaries systematically select different types of bonds. We explain these findings through the lens of a model of the fixed-income market with multiple risk factors. Insurance companies and pension funds select into assets with high interest-rate risk exposure to match their long-duration liabilities. The mutual fund sector instead absorbs securities that carry credit risk. Different policy tools affect the market prices of risk factors differentially, thereby redistributing risks across intermediary sectors and ultimately across the households investing in them. In the second chapter, Central Bank Communication and the Yield Curve, with Andrea Vedolin, Gyuri Venter, and Paul Whelan, we study the interaction between monetary policy and sovereign bonds in the Euro area. We argue that monetary policy in the form of central bank communication can shape long-term interest rates by changing risk premia. Using high-frequency movements of default-free rates and equity, we show that monetary policy communications by the ECB on regular announcement days led to a significant yield spread between peripheral and core countries during the European sovereign debt crisis by increasing credit risk premia. We also show that central bank communication has a powerful impact on the yield curve outside of regular monetary policy days. In the third chapter, Household Portfolios, Monetary Policy, and Asset Prices, together with Ciaran Rogers, we examine the role of the household portfolio rebalancing channel for the aggregate and redistributive effects of monetary policy. The transmission of monetary policy works not only through regular income and substitution motives but also through an endogenous portfolio rebalancing effect that generates changes in equilibrium asset prices and a subsequent wealth effect on consumption.
Essays In Monetary Policy And Financial Markets
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Author : Fatma S. Tepe
language : en
Publisher:
Release Date : 2014
Essays In Monetary Policy And Financial Markets written by Fatma S. Tepe and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Economics categories.
This dissertation examines the interaction between macroeconomic aggregates and financial markets in two different essays. The expansion of derivatives markets has prompted interest in estimating options-implied measures to analyze market participants’ beliefs about future movements in the prices of these derivatives’ underlying assets and the probability these participants assign to unlikely events (see Datta et al., 2014). In this spirit, analyzing oil market is important for two main reasons. First, among all commodities, crude oil futures and derivatives are the most traded and liquid asset in the whole commodity market. Second, the informational content of oil derivatives can be indicative of shifts in global economic expectations which may be of interests to producers, investors and policy makers. Because the risk neutral density (RND, hereafter) consists of information from various option series that have a wide range of strike prices and maturities, we can conjecture more detailed effects of news announcements on market sentiment by investigating the changes in the RND. Chapter 1 links the crude oil market to macroeconomic risk by studying the RND around the U.S. macroeconomic news announcements. I use a non-parametric method to recover the RND and conduct regression analysis using daily data. The analysis provides several noteworthy results. First, I find that the RND is systematically affected by certain macroeconomic news announcements. Second, after controlling for the content of the news, my results indicate that good news tend to make the distribution less negatively skewed, whereas bad news have an opposite effect. However, I do not find any systematic pattern between the content (bad/good) of the news and the implied volatility or kurtosis. Hence, my results show that better/worse-than-expected news in macroeconomic announcements may both increase and decrease implied volatility and kurtosis of the option implied distribution. Finally my estimates obtained from nonlinear regressions display that the magnitude of the surprise may play into this effect; for example worse-than-expected news in Housing Starts announcement decrease the implied volatility and increase the implied kurtosis only when the size of surprise is not too large. How should a central bank conduct monetary policy in the presence of financial shocks? In Chapter 2, I use different nonlinear policy rules and address this question. Most empirical work on monetary policy relies on simple linear policy rules, however it is not clear whether such a rule can be an adequate representation of a process as complex as that of monetary policy. I first estimate Markov Switching Taylor rules with constant transition probabilities to allow for state-contingent policy making during 1987.3-2008.4. As a proxy for financial stress, I use the Adjusted National Financial Conditions Index constructed by the Chicago Fed. Then, I allow transition probabilities driving the monetary policy stance to vary over time and be a function of economic and financial indicators. The paper provides clear-cut evidence that, during the Greenspan-Bernanke tenure, the U.S. monetary policy can be characterized falling into two distinct regimes; a conventional regime where the Fed puts a greater emphasis on targeting inflation while stabilizing the economic outlook and a distressed regime where the Fed responds aggressively to output gaps and is less concerned with inflation. The distressed regime is closely correlated with times of financial imbalances. The empirical results show that nonlinear models outperform the simple linear specification in terms of model fit and the ability to track the actual interest rate. Also, the economic and financial indicators are found to be informative in dating the evolution of the state of the monetary policy stance. The results have implications for nonlinear rules to be a useful guideline for forecasting and policy analysis.