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Essays On Monetary Policy Transmission
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Book Synopsis Empirical Essays on Monetary Policy and Transmission by : Tuan Anh Phan
Download or read book Empirical Essays on Monetary Policy and Transmission written by Tuan Anh Phan and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis presents four self-contained empirical research papers on monetary policy and monetary transmission using vector autoregression (VAR), structural VAR (SVAR), and Bayesian time-varying parameter VAR (TVP-VAR) models. The first two papers compare aspects of monetary policy and transmission in selected developed countries: Australia, the US, and the Euro area (Chapter 3); and Australia, the US, UK, and Canada (Chapter 4). The last two papers (Chapters 5 and 6) explore monetary policy and effects of monetary policy on inflation in Vietnam - a transition developing country. The empirical results indicate that the investment channel of monetary policy transmission plays a more important role than the consumption channel in Australia. Meanwhile the investment channel and the consumption channel make similar contributions to the overall transmission of monetary policy in the Euro area and the US. The difference between Australia and the Euro area appears to come from differences in housing investment responses, whereas Australia differs from the US mainly because it has a lower share of household consumption in total demand. Results from TVP-VAR models suggest that there were comovements in the monetary policy reactions to unemployment across countries before the recent Global Financial Crisis (GFC). The policy rate seems to react more strongly to unemployment changes in more recent years, especially in the US and UK. Monetary policy responses to inflation/deflation are observed to be divided into two groups, with the responses in the US and UK showing a different pattern to the responses in Canada and Australia. Monetary policy seems to react most aggressively against inflation/deflation in the US. The effects of monetary policy shocks on unemployment and inflation are similar across countries, and seem to have weakened over time. Results also suggest that monetary policy transmission to inflation in a transition country like Vietnam appears to work in a similar way to as in developed countries. The impulse response functions of inflation to shocks in monetary policy are plausible and robust across the VAR and SVAR models. The policy interest rate plays an important role in affecting inflation. For the case of Vietnam as a small, open economy, shocks to output and prices in trading partners also appear to have strong effects on domestic inflation. Allowing for the time-varying nature of the parameters and variance/covariance matrices, the results suggest that the State Bank of Vietnam (SBV) appears to have been steadily using monetary policy tools to contain inflation. TVP-VAR results also confirm that monetary policy in Vietnam appears to lead to reasonable inflation responses. The evidence therefore supports the argument that Vietnam's monetary policy might be more effective than expected.
Book Synopsis The Preparation of Monetary Policy by : J.M. Berk
Download or read book The Preparation of Monetary Policy written by J.M. Berk and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard macroeconomic monographs often discuss the mechanism of monetary transmission, usually ending by highlighting the complexities and uncertainties involved in this mechanism. Conversely, The Preparation of Monetary Policy takes these uncertainties as a starting point, analytically investigating their nature and spelling out their consequences for the monetary policy maker. The second innovative aspect of this book is its focus on policy preparation instead of well-covered topics such as monetary policy strategy, tactics, and implementation. Thirdly, a general, multi-model framework for preparing monetary policy is proposed, which is illustrated by case studies stressing the role of international economic linkages and of expectations. Written in a self-contained fashion, these case studies are of interest by themselves. The book is written for an audience that is interested in the art and science of monetary policy making, which includes central bankers, academics, and (graduate) students in the field of monetary economics, macroeconomics, international economics and finance.
Book Synopsis Essays on Monetary Policy Transmission by : Henrike Michaelis
Download or read book Essays on Monetary Policy Transmission written by Henrike Michaelis and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Monetary Policy Transmission by : Mario R. Gonzalez
Download or read book Essays on Monetary Policy Transmission written by Mario R. Gonzalez and published by . This book was released on 2017 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I contribute to the study of how monetary policy shocks are transmitted through the economy. I contribute to this literature by analyzing how different economic structures can alter the transmission of monetary policy shocks, both at an international level, by considering its regional impact, and at a domestic level, by discussing the implications of different levels of financial constraints and by studying how local financial markets react to monetary policy announcements.
Book Synopsis Essays on the Transmission of Monetary Policy by : Marvin Jenkins Barth
Download or read book Essays on the Transmission of Monetary Policy written by Marvin Jenkins Barth and published by . This book was released on 1998 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on the Transmission of Monetary Policy in the Euro Area by : Matthieu Picault
Download or read book Three Essays on the Transmission of Monetary Policy in the Euro Area written by Matthieu Picault and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: After September 2008, due to a frozen interbank market, shortage of liquidity, loss of confidence, and collapsing financial institutions, the monetary policy transmission in the euro area was severely impaired. Under thus exceptional circumstances, the European Central Bank (ECB) had to turn to non-standard monetary policy measures. Considering, in the euro area, the constrained range of actions and fragmented financial markets, the objective of this empirical thesis is to assess the transmission channels of ECB standard and non-standard monetary policies and their effects on both financial markets and the economy.As banks' lending behaviors are related to their financing costs, the first essay focuses on bank lending channel. It studies the evolution of lending activities of European financial institutions on the syndicated loan market and its reaction to the ECB standard and non-standard policies. The communication of the central bank is of utmost importance in a monetary union with heterogeneous, in terms of economic situations and cultures, countries. The second and third essays study the signaling channel of monetary policy. The second essay focuses on the communication during monthly press conferences and their effects on the predictability of monetary policy decisions and on financial markets returns and volatility. The last essay concentrates exclusively on the use of \textit{forward guidance} on interest rate, a non-standard central bank communication providing information on future short-term interest rates. It discusses its effectiveness and ability to lower market participants expected interest rates.
Book Synopsis Three Essays on Monetary Policy, the Financial Market, and Economic Growth in the U.S. and China by : Juan Yang
Download or read book Three Essays on Monetary Policy, the Financial Market, and Economic Growth in the U.S. and China written by Juan Yang and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Does monetary policy affect the real economy? If so, what is the transmission mechanism or channel through which these effects occur? These two questions are among the most important and controversial in macroeconomics. This dissertation presents some new empirical evidence that addresses each question for the U.S. and Chinese economies. Literature on monetary transmission suggests that the monetary policy can take effect on the real economy through several ways. The most noteworthy one is credit channels, including the bank lending channel and the interest channel. First, I use a new method to test for structural breaks in the U.S. monetary policy history and present some new empirical evidence to support an operative bank lending channel in the transmission mechanism of monetary policy. Results show that an operative bank lending channel existed in 1955 to 1968, and its impact on the economy has become much smaller since 1981, but it still has a significant buffering effect on output by attenuating the effect of the interest channel. Second, I adopt the recently developed time series technique to explore the puzzling negative correlation between output and stock returns in China currently, and posit that it is due to a negative link between monetary policy and stock returns when monetary policy increases output. The monetary policy has not been transmitted well in the public sector which is the principal part of Chinese stock market, and increased investment capital from monetary expansion goes to real estate sector instead of the stock market. Last, I demonstrate how monetary policy has been transmitted into the public and private sectors of China through the credit channel. The fundamental identification problem inherent in using aggregated data that leads to failure in isolating demand shock from supply shock is explicitly solved by introducing control factors. I find that the monetary policy has great impact on private sector rather than public sector through credit channel in China. These findings have important practical implications for U.S. and China's economic development by improving the efficiency of the monetary policy because a comprehensive understanding of monetary transmission will lead to better policy design.
Book Synopsis Essays on Monetary Policy by : Zhengyang Chen
Download or read book Essays on Monetary Policy written by Zhengyang Chen and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The federal funds rate became uninformative about the stance of monetary policy from December 2008 to November 2015. During the same period, unconventional monetary policy actions, like forward guidance and large-scale asset purchases, show the Federal Reserve’s intention to depress longer-term interest rates. My research question is whether, after the 2007-2009 financial crisis, monetary policy still effectively influences or adjusts the real economy. The critical challenges are to indicate the impacts of increasingly diversified monetary policy actions and empirically identify monetary policy shocks more comprehensively than exclusively focusing on variation in the policy rate. Chapter 2 considers a long-term real interest rate as an alternative monetary policy indicator in a structural VAR framework. Based on an event study of FOMC announcements, I advance a novel measure of long-term interest rate volatility with important implications for monetary policy identification. I find that monetary policy shocks identified with this volatility measure drive significant swings in credit market sentiments and real output. In contrast, monetary policy shocks identified by otherwise standard unexpected policy rate changes lead to muted responses of financial frictions and production. These finding supports the validity of the risk-taking channel and suggests an indispensable role of financial markets in monetary policy transmission. Chapter 3 documents the pass-through of the short-term interest rate onto the components of Divisia monetary aggregates. The information factors extracted from real balances of monetary assets alleviate the price puzzle, which is commonly seen in conventional monetary VAR analysis of the transmission mechanism. We also show that financial and monetary markets reacted strongly to the Federal Reserve policy after 2007. The strong monetary response varies not only quantitatively over time, but qualitatively across asset classes. Although far from a one-to-one relationship, balances of assets more closely associated with household demand, such as currency and savings, tend to move in the opposite direction of short-term rates—indicative of a liquidity effect. Whereas balances more closely associated with firms returns are mixed, where institutional money markets also show a liquidity effect, large time deposits or commercial paper exhibit a strong Fisher effect post 2007. In summary, this dissertation sets the foundation for future research in the measurement of monetary policy and the investigation of monetary policy transmission to the real economy post the financial crisis.
Book Synopsis Essays on the Role that Banks Play in the Monetary Policy Transmission Mechanism in the United States by : Rosen Azad Chowdhury
Download or read book Essays on the Role that Banks Play in the Monetary Policy Transmission Mechanism in the United States written by Rosen Azad Chowdhury and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Monetary Policy, Monetary Transmission and Inflation of Indonesia Using General Equilibrium Model by : Akhis Reynold Hutabarat
Download or read book Essays on Monetary Policy, Monetary Transmission and Inflation of Indonesia Using General Equilibrium Model written by Akhis Reynold Hutabarat and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay attempts to explain how the economy responds to transient exogenous exchange rate and cost-push shocks using a small open economy New Keynesian dynamic general equilibrium model that incorporates prices and wage stickiness and cost channel of interest rate to inflation. The model shows that a low degree of prices and wage rigidity, high reliance on imports and inflation-biased monetary policy, increases exchange rate pass-through to domestic and consumer prices. The model demonstrates that the transient nature of cost-push shock, combined with rational expectation behaviour of price setter and full policy credibility, does not require the monetary authority in developing economy to respond to the shock by tightening monetary policy. The second essay investigates the relative importance of monetary transmission channel to inflation of passing persistent shock to the risk premium. The findings show that nominal exchange rate depreciation, triggered by a more persistent shock to interest risk premium, worsens the state of the economy in the short- and long-run. Such distinctive shocks effect is transmitted through the economy that typifies lack of response of consumer price disinflation to interest rate tightening caused by high real rigidity, strong cost channel of interest rate, strong cost channel of exchange rate pass-through and weak demand-side channel of exchange rate pass-through. The final essay analyses Indonesia?s inflation determinant using a model that links banking to real sector, central bank and government. It explores interest rate cost-push channel in terms of cost of equity and cost of borrowing, enhances the previous findings about the lack of response of disinflation to interest rate policy tightening and discusses the nexus between monetary and banking policy. The strong interest rate cost channel has some implications for the behaviour of and policy for banking related to the achievement of the inflation target.
Book Synopsis Essays on Inflation Dynamics and Monetary Policy in a Globalized World by : Muhammad Naveed Tahir
Download or read book Essays on Inflation Dynamics and Monetary Policy in a Globalized World written by Muhammad Naveed Tahir and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this thesis is to analyze the impact of globalization on the dynamics of inflation and monetary policy in a globalized world. It consists of three essays.In the first essay we investigate the impact of financial globalization on the behaviour of inflation targeting emerging market economies with respect to exchange rate - Do central banks respond to exchange rate movements or not? We use quarterly data for six emerging market inflation targeting economies from the date of their inflation targeting adoption to 2009 Q4. The chapter uses small open economy new Keynesian model à la Gali and Monacelli (2005), and employs multi-equation GMM technique to investigate the relationship. We find that the response of central bank to the exchange rate in case of Brazil, Chile, Mexico and Thailand is statistically significant while insignificant for Korea and Czech Republic. Theoretically, it should not be so as even under flexible inflation targeting central bank responds to inflation deviation and output gap; we think that the peculiar characteristics of emerging markets, like fear of floating, weak financial system and low level of central bank credibility make exchange rate important for these economies. In the second essay we investigate empirically the relative importance of monetary transmission channels for Brazil, Chile and Korea. This chapter uses monthly data from the inception of inflation targeting regime to 2009 M12. We use a SVAR model incorporating the main monetary transmission channels combined together instead of individual channels in isolation. The empirical results indicate that the exchange rate channel and the share price channel have higher relative importance than the traditional interest rate and credit channel for industrial production. The results are not much different in case of inflation, except for Korea. The high ranking of exchange rate and share price channel is in line with the results by Gudmundsson (2007), which finds that exchange rate channel might have overburdened in the wake of financial globalization.In the third chapter we investigate empirically the role of openness - real and financial - on the inflation dynamics of Brazil, Chile and Korea. The chapter uses monthly data from the inception of inflation targeting regime to the end month of 2009. In this chapter we employ the Generalized Method of Moments (GMM) technique. We use imports to GDP ratio as an indicator for real openness whereas Chinn and Ito index (KAOPEN) and total assets plus total liabilities to GDP ratio form the data set of Lane and Milesi-Ferretti are two proxies for financial openness. The chapter concludes that there exists, generally, a positive relationship between real openness and inflation. However, in case of financial globalization the results are inconclusive as they are sensitive to measurement method of financial globalization.
Book Synopsis Essays on Monetary and Fiscal Policy Transmission by : Tobias Cwik
Download or read book Essays on Monetary and Fiscal Policy Transmission written by Tobias Cwik and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Money Demand and Monetary Policy Transmission in Europe by : Ulrike Rondorf
Download or read book Essays on Money Demand and Monetary Policy Transmission in Europe written by Ulrike Rondorf and published by . This book was released on 2011 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Transmission Mechanisms of Monetary Policy by : Shabbir Dastgir
Download or read book Essays on the Transmission Mechanisms of Monetary Policy written by Shabbir Dastgir and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study presents coverage of the transmission mechanism of monetary policy in the UK. It shows that historically, monetary policy has evolved through several distinct phases and frameworks over the last quarter of a century. A "new consensus" has emerged as a key theoretical construct of this process, with implications for the nature and role of money in an endogenous framework. It is argued that this is the essential basis for the current mode of economic analysis at the Bank of England. A further series of implications of this are the outcomes of Inflation Targeting as an objective of monetary policy. The stance can be shown to underpin thinking on monetary policy rules and these are used to perform an initial econometric analysis of a monetary policy reaction function. It is argued that the essential time series properties of such rules are generally overlooked in the empirical literature. Tentative analysis suggests that Taylor-type monetary policy reaction functions may not necessarily fit with an Inflation Targeting policy. In addition, the extent of pass through from official to retail bank interest rates is considered and shown to be incomplete.
Book Synopsis Essays on the Monetary Transmission Mechanism by : Jerry-Jeff Suk
Download or read book Essays on the Monetary Transmission Mechanism written by Jerry-Jeff Suk and published by . This book was released on 2008 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Transmission Mechanism of Monetary Policy by : Massimo Giuliodori
Download or read book Essays on the Transmission Mechanism of Monetary Policy written by Massimo Giuliodori and published by . This book was released on 2003 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Transmission Mechanism of Monetary Policy[ by : Julius Moschitz
Download or read book Essays on the Transmission Mechanism of Monetary Policy[ written by Julius Moschitz and published by . This book was released on 2004 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
