Three Essays In Monetary And Financial Economics
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Three Essays In Monetary And Financial Economics
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Author : Liang Ma
language : en
Publisher:
Release Date : 2022
Three Essays In Monetary And Financial Economics written by Liang Ma and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with Economics categories.
This dissertation consists of three essays in the field of monetary and financial economics. Specifically, we use high-frequency financial data to study monetary policies with a focus on the information effect, namely, that some of the interest rate movements around central bank announcements are not policy-driven, but are results of the market becoming aware of the central bank's view about future economic prospects. Understanding the role played by the information effect will help us apprehend monetary policy implications in both normal times and extraordinary situations. Chapter 1 evaluates the impact of unconventional monetary policy in the newly developed instrumental variable structural Vector Autoregression (VAR) framework. In the current low interest rate environment, central banks must resort to using unconventional monetary policies, such as forward guidance and quantitative easing, to flight recessions. To empirically evaluate the effectiveness of these unconventional policies, we need to rely on the clean policy shock. A prominent concern is that the often used high-frequency interest rate surprises not only reflect unexpected policy changes, but also contain the information effect. We contribute to the literature by using a heteroskedasticity identification approach, taking advantage of changes in the relative dominance of economic shocks around different macroeconomic announcements. Analysis based on clean policy shocks suggests that the unconventional policies successfully aided the recovery in the U.S. More importantly, we show that the information effect, while it may introduce bias, is rather modest when it comes to estimating the real impact of unconventional monetary policies. Chapter 2 studies the stock return pattern after the U.S. Federal Open Market Committee (FOMC) announcement. This research is motivated by recent literature that documents stock returns drifts, both before and after FOMC announcements, according to policy rate surprises. Indeed, research has shown that the information contained in the central bank announcement is multifaceted: its current monetary policy stances (monetary policy news) and news about future economic prospects (non-monetary policy news). Our contribution is to combine these two strands of literature. To the best of our knowledge, no study has looked at stock market reactions to the non-monetary news stemming from policy announcements. We identify both good and bad news events using a combination of sign restriction with high-frequency financial prices. The novel finding is that following bad FOMC announcements, that is the market interpreted the Fed announcements as revealing negative information about the economy, we observe significant positive stock returns in a 20-day period. We call this the ``post-FOMC drift.'' Further analysis suggests that the drift is likely caused by relatively heightened risks associated with bad announcements, although the drift is consistent with market overreactions as well. Moreover, the post FOMC drift is a market-wide phenomenon and can be exploited in an easy-to-implement trading strategy with a historical record of earning 40\% of the annual equity premium. In Chapter 3, we explore the channels through which the FOMC announcements affect the financial market. While much of the existing literature measures the surprise components with only changes in policy rates (surrounding the announcement), we contribute to the existing literature by taking a broader view through examining unexpected changes in longer-term yields, corporate credit spreads, and inflation expectations (a proxy for growth prospects), using high-frequency financial data. Through a regression analysis, our findings show that these additional surprises provide orthogonal information and sharply increase the goodness of fit in explaining stock returns around FOMC announcements, with the inclusion of inflation expectations having the biggest contribution. The important role of inflation expectation suggests that the current literature, which uses stock prices together with nominal rates to disentangle the information contents of central bank announcements, may be too limited in the scope of information it uses.
Three Essays On Monetary And Financial Economics
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Author : Xun Xu
language : en
Publisher:
Release Date : 2013
Three Essays On Monetary And Financial Economics written by Xun Xu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Banks and banking categories.
Three Essays In Monetary And Financial Economics
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Author : Sandra Daudignon
language : en
Publisher:
Release Date : 2020
Three Essays In Monetary And Financial Economics written by Sandra Daudignon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
The first chapter analyses the impact of the central clearing requirement for swaps, which entered into force in 2013, on the derivatives activity of US banks. Part of treated banks, ie banks that are not eligible to the "end-user exception", reallocate their portfolio by substituting OTC interest rate swaps (regulated products) for OTC interest rate options (unregulated products). This suggests that these banks might engage in regulatory arbitrage. The second chapter allows for an integrated natural rate of interest in a new Keynesian mode! and studies its implications for optimal monetary policy under commitment. It shows that systematic increases in the optimal rate of inflation become warranted in response to downward shocks to the long-run natural rate, once this drifts below 1%. Nevertheless a constant price level targeting rule of the form put forward in Eggertsson and Woodford (2003) continues providing a good approximation to optimal commitment, as long as the long-run natural rate remains in positive territory. The third chapter investigates the link between micro-uncertainty, defined as the cross sectional dispersion of firms' idiosyncratic productivity, and the allocation of credit across firms. It analyses the equilibrium of a collateralized debt market where banks and financial investors internet in presence of adverse selection and signaling. The mode) predicts that a jump in micro uncertainty may generate a change of the information regime which may translate into a credit crunch. In this case, a high micro uncertainty restores the efficient allocation of credit as banks finance only high quality projects.
Three Essays On Monetary And Financial Economics
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Author : Xueli Cao (Ph.D. in Economics)
language : en
Publisher:
Release Date : 2018
Three Essays On Monetary And Financial Economics written by Xueli Cao (Ph.D. in Economics) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This three-chapter dissertation focuses on the research topics in Monetary and Financial Economics. The first paper examines the time-varying impact of U.S. monetary policy shocks on asset prices. The monetary policy shock is identified using robust sign restrictions in a time-varying factor-augmented VAR (TVP-FAVAR). Time variations are found in both the variance of policy shocks and transmission to asset prices. The relative importance of monetary policy shocks rise significantly over time although the shock size of monetary policy shocks has declined in the sample. In terms of transmission mechanism, asset prices are more responsive in the latter part of the sample (post-1984Q1) when normalizing the shock size. We also document the effects of monetary policy on asset prices are significantly larger for recessionary periods. Finally, the paper also identifies the role of demand and supply shocks in determining the movements of asset prices. In the second paper, I investigate the spillover effects between the Growth Enterprises Market (GEM) and the Main Board stock market in China. Specifically, a multivariate GARCH model and a multivariate GARCH-in-mean model are estimated using daily data for the GEM Board and the Main Board over period June 1, 2010 - December 31, 2016. The results indicate that the Main Board leads the GEM Board in the first order and there is no mean overflow from the GEM Board to the Main Board. However, the quantile dependence, measured by cross-quantilogram, shows that there are asymmetry distributional spillover effects from the GEM Board to the Main Board. From the point of view of volatility, the GEM Board has effects on the Main Board, and it lasts a period of time in the future. The volatility of the GEM also affects the return of the Main Board negatively. Lastly, the GEM has a one-way effect on the Main Board in illiquidity. In the third paper, we document the effects of institutional investors on the qualitative information disclosure of earnings conference calls. Utilizing conference call and institutional ownership data between 2005 and 2016, we find that aggregate institutional ownership dampens conference call tone. The effects of institutional investors on tone are causal based on results from indexed firms. Consistent with hypotheses regarding investors horizon, short-term institutional investors are associated with greater conference call tone, as well as potentially opportunistic trading, while long-term investors decrease tone. Market participants can generally disentangle the impact of institutional investors on tone based on investor type.
Three Essays In Monetary Theory
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Author : Ludwig Van den Hauwe
language : en
Publisher: BoD – Books on Demand
Release Date : 2009
Three Essays In Monetary Theory written by Ludwig Van den Hauwe and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Monetary policy categories.
Recent events in international financial markets have revived the scientific interest in conceivable institutional alternatives to prevailing monetary arrangements. In the essays reprinted in this book, the author critically examines some of the more influential arguments which have been made in favour of decentralization in banking.
Intervention Interest Rates And Charts
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Author : Mr.Mark P. Taylor
language : en
Publisher: International Monetary Fund
Release Date : 1991-11-01
Intervention Interest Rates And Charts written by Mr.Mark P. Taylor and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-11-01 with Business & Economics categories.
This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.
Three Essays On Monetary Policy And Financial Development
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Author : Xiaodai Xin
language : en
Publisher:
Release Date : 2004
Three Essays On Monetary Policy And Financial Development written by Xiaodai Xin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Debts, External categories.
Abstract: Both economic growth and stabilization require a well-functioning financial system, which includes the central bank and private financial institutions. This dissertation is comprised of three essays on monetary policy and financial development which are related to the roles of the central bank and private financial institutions. To better stabilize the economy, a central bank needs to formulate an optimal strategy for monetary policy and pursues an appropriate objective (targeting regime). In a forward-looking New Keynesian model with persistent output and inflation, the first essay (chapter 2) evaluates a broad hybrid targeting regime when the central bank operates under discretionary monetary policy. By employing the numerical analysis and comparing the performance of different targeting regimes, I find that the hybrid targeting regime yields a social loss closest to that under the optimal committed policy, generating a better outcome than other policy regimes. The second essay (chapter 3) provides new micro-level evidence for the positive relationship between financial development and economic growth based on a large sample of cross-country firm-level data. By examining an important micro channel through which financial development reduces the costs of external finance to firms, I find that firms that are more externally dependent grow faster in countries with more developed financial systems. The third essay (chapter 4) investigates the impact of external debt on long-term investment and its interaction with domestic financial intermediation in emerging markets. Extending the Ramsey-Cass-Koopmans model to a small open economy with the role of financial intermediation, I find that the overall effect of a high level of external debt on investment depends heavily on the degree of domestic financial intermediation. Using a large sample of panel data on 76 developing countries over the last three decades, the empirical results indicate that when a country's domestic banking sector develops to a certain degree, the high level of external debt facilitates investment.
Three Essays In Financial Economics
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Author :
language : en
Publisher:
Release Date : 2007
Three Essays In Financial Economics written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Three Essays In Financial Economics
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Author : Thomas H. Noe
language : en
Publisher:
Release Date : 1987
Three Essays In Financial Economics written by Thomas H. Noe and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Finance categories.
Three Essays In Financial Economics
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Author : Rajiv Sobti
language : en
Publisher:
Release Date : 1984
Three Essays In Financial Economics written by Rajiv Sobti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with categories.