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Three Essays On The Transmission Of Monetary Policy In The Euro Area
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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 Monetary Policy Transmission in the Euro Area by : Ignazio Angeloni
Download or read book Monetary Policy Transmission in the Euro Area written by Ignazio Angeloni and published by Cambridge University Press. This book was released on 2003-12-04 with total page 515 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2003 book offers the most systematic analysis available of the impact of European Central Bank monetary policy on the national economies of the Eurozone. Analysing macro and micro-economic evidence, with chapters by central bank economists, including a discussion chapter by eminent macroeconomists, it is an essential contribution to research on the subject.
Book Synopsis Essays on the Risk-Taking Channel of Monetary Policy Transmission in the Euro Area by : Bruno De Menna
Download or read book Essays on the Risk-Taking Channel of Monetary Policy Transmission in the Euro Area written by Bruno De Menna and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis contributes to recurrent debates in the macroeconomics of banking regarding the risk-taking channel of monetary policy. As the unifying theme of the present essays, I tackle this issue from three different angles with a special focus on the euro area. I rely on available data and different identification strategies to deliver up-to-date empirical evidence contributing to a deeper understanding of the monetary policy impacts on credit risk. In the first chapter of the thesis, I investigate how the risk-taking channel of monetary policy interacts with the degree of leverage in banks' balance sheets after the Global Financial Crisis of 2008 (GFC). Using dynamic panel techniques, I first find significant statistical evidence that credit risk is negatively associated with variations in interest rates, while competition in national banking industries tends to enhance this effect. I also suggest that this negative relationship is most pronounced for banks with relatively high levels of leverage, which is consistent with a ''search for yield'' effect. These results for the euro area are strikingly different from the U.S. banking industry, confirming that time, geographical circumstances, and local banking market conditions are key in understanding the impact of monetary policy on credit risk. The second chapter investigates the joint impact of bank capital and funding liquidity on the monetary policy's risk-taking channel. Using data on the euro area from 1999 to 2018 and triple interactions between monetary policy, bank equity, and funding liquidity, I shed light on a ''crowding-out of deposits'' effect prior to the GFC, which supports the need for simultaneous capital and funding liquidity ratios to mitigate the monetary transmission to bank credit risk. Interestingly, the analysis also highlights a missing crowding-out of deposits effect among low-efficiency banks in the aftermath of the GFC. Consequently, a trade-off arises between financial stability and increased funding liquidity, requiring a special treatment for inefficient banks operating in a low interest rate environment. These results challenge the implementation of uniform funding liquidity requirements across the euro area as by the Basel III framework suggests. The third and last chapter extends the analysis to the special case of cooperative banks and relationship lending in the euro area. These financial intermediaries tell a different story between countries and therefore imply different responses to a common monetary policy. Accordingly, I find no evidence of the presence of a risk-taking channel of monetary policy for consolidated (i.e., less committed to relationship lending) cooperative banks, whereas the results indicate extensive evidence of a risk-taking channel in the euro area for non-cooperative banks (see also the previous chapters of the thesis). Therefore, consolidated cooperative banks seem not to raise their credit risk significantly when monetary policy is eased. Further, I highlight that the profitability of cooperative banks preserving their relationship lending model is more severely hit by a low interest rate environment compared to cooperative banks opting for consolidation. This finding raises issues on the mid-term durability of relationship lending as interest rates have been low for an extended period in the European banking industry. I ultimately find that both non-cooperative banks and relationship-based cooperative banks are concerned about the risk-taking channel of monetary policy transmission, which results in an increase in their credit risk under accommodating monetary conditions. Nevertheless, I suggest that such similarities do not exist for the same reasons, as relationship lending is associated with a fundamentally different lending process than transactions-based lending technologies, which devote significantly lower proportions of their assets to lending to small businesses.
Book Synopsis Three Essays on Monetary Policy by : Lea Steininger
Download or read book Three Essays on Monetary Policy written by Lea Steininger and published by . This book was released on 2023* with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Englische Version: This thesis includes three chapters that inform the debate about central bank policies, especially with respect to trans-national dimensions. Thereby, the project aims at complementing the existing literature by fostering a better understanding of international monetary policy under the use of micro-economic data. The first chapter investigates how monetary policy conducted by the European Central Bank (ECB) affects the labor share at the firm-level, and suggests that the effectiveness of monetary policy may depend on the labor intensity of production. The results inform the policy debate on transmission and redistribution effects of monetary policy. The second chapter provides empirical evidence that euro-area wide monetary policy affects industrial competition in local markets. The findings suggest that tightening the policy stance is associated with a decline in competition (and vice versa), and this effect is sizeable and significant. This chapter highlights that low interest rates may support market competition and anti-monopolistic tendencies in an environment of bank-based lending. The third chapter sheds light on central bank cooperation in the shape of swap lines opened between the six major centrals banks (These are: The US Federal Reserve, ECB, Bank of England, Swiss National Bank, Bank of Canada, and the Bank of Japan.) during the Global Financial Crisis 2007/08. This facility ultimately developed into a permanent international lender of last resort facility, and acts a public liquidity backstop to Eurodollar markets. Building an interpretative framework of political economic analysis, we contrast rationalist approaches by showing that central bankers eventually institutionalize their crisis inventions. We answer the question of how the public backstop for the largest financial market - the eurodollar market - emerged in 2013.[...].
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 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 in Monetary Policy and Household Finance by : Ciaran James Rogers
Download or read book Essays in Monetary Policy and Household Finance written by Ciaran James Rogers and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays that examine the effects of different monetary policy tools on the the real economy and asset prices. In Chapter 1, I study the transmission of central bank asset purchases into the real economy of the Euro Area, while Chapter 2 instead focuses on the effect of more conventional interest rate policy on asset prices and risk premia. Chapter 3 demonstrates how the pass-through of more conventional policy rate changes depends on the monetary policy framework of the central bank. In the first chapter, I study the role of local banking systems in the propagation of ECB Quantitative Easing (QE) programs. I firstly document that local deposit markets are fragmented across country lines, but the assets held by banks backing the deposits are in more integrated markets. I then consider a multi-country New Keynesian model with heterogeneous banking sectors but common monetary policy. All banks can access collateral from the same union-wide asset market, using them to back liquid deposit liabilities that are issued locally. QE has real effects if it increases the quantity or quality of collateral available to the banking sector. I find that QE has a powerful effect across the currency union, raising output and inflation by 62bps and 60bps, respectively. The pass-through is very similar across countries, despite fragmented deposit markets, as all banks face the same reduction in the cost of collateral from the union-wide asset market. The overall impact increases significantly if the beginning of QE coincides with adjusting the policy rate rule to be a weaker counteracting force by making it less responsive to inflation. In the second chapter, co-authored with Matteo Leombroni, we study 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 the usual income and substitution motives, but also through an endogenous portfolio rebalancing effect that generates changes in equilibrium asset prices and a consequent wealth effect on consumption. We introduce a heterogeneous household life-cycle model with multiple assets and combine it with an incomplete markets asset pricing framework. We model monetary policy shocks as a reduction in the expected return on safe assets. In equilibrium, the reduction in bonds investment prompts a portfolio rebalancing toward riskier assets, inducing an increase in asset prices and wealth. We find that, absent wealth effects, older cohorts reduce consumption as they face lower expected asset returns, while younger cohorts raise consumption as they can borrow more cheaply. This heterogeneity remains with wealth effects, but responses turn positive for all cohorts. Asset risk premia rise because the risk compensation effect (need for more returns to hold more risk) dominates the risk tolerance effect (positive wealth effect on risky asset holdings). Shutting down household heterogeneity flips the risk premia responses negative. In the third chapter, co-authored with Monika Piazzesi and Martin Schneider, we study a New Keynesian model with a banking system. The central bank targets the interest rate on short safe bonds that are held by banks to back inside money and hence earn convenience yield for their safety or liquidity. Central bank operating procedures matter. In a floor system, the reserve rate and the quantity of reserves are independent policy tools that affect banks' cost of safety. In a corridor system, increasing the interbank rate by making reserves scarce increases banks' cost of liquidity and generates strong pass-through to other rates of return, output and inflation. In either system, policy rules that do not respond aggressively to inflation -- such as an interest rate peg -- need not lead to self-fulfilling fluctuations. The stabilizing effect from an endogenous convenience yield is stronger when there are more nominal rigidities in bank balance sheets.
Book Synopsis Essays on Monetary Policy in the Euro Area by : Tilman Bletzinger
Download or read book Essays on Monetary Policy in the Euro Area written by Tilman Bletzinger and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Monetary and Fiscal Policy in the Euro Area by : Cindy Moons
Download or read book Essays on Monetary and Fiscal Policy in the Euro Area written by Cindy Moons and published by . This book was released on 2010 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thesis: Universiteit Antwerpen. Faculteit Toegepaste Economische Wetenschappen, 2009.
Book Synopsis Monetary Policy Transmission in the Euro Area by : Carlo A. Favero
Download or read book Monetary Policy Transmission in the Euro Area written by Carlo A. Favero and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Honour of Fabio Canova by : Juan J. Dolado
Download or read book Essays in Honour of Fabio Canova written by Juan J. Dolado and published by Emerald Group Publishing. This book was released on 2022-09-21 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.
Book Synopsis Essays on Monetary and Fiscal Policy in the Euro Zone by : Andreas Thams
Download or read book Essays on Monetary and Fiscal Policy in the Euro Zone written by Andreas Thams and published by . This book was released on 2008 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis One Monetary Policy, Heterogeneous Markets by : Patrick Hirsch
Download or read book One Monetary Policy, Heterogeneous Markets written by Patrick Hirsch and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Monetary Transmission in the Euro Area by : Ignazio Angeloni
Download or read book Monetary Transmission in the Euro Area written by Ignazio Angeloni and published by . This book was released on 2005 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing on recent Eurosystem research that uses a range of econometric techniques and a number of new data sets, we propose a comprehensive description of how monetary policy affects the euro area economy. We focus mainly on three questions: (1) what are the stylised facts concerning the transmission of monetary policy for the area as a whole and for individual countries? (2) can the quot;classicquot; interest rate channel (IRC) alone, without capital market imperfections, explain these facts? (3) if not, is the bank lending channel a likely candidate to complete the story? We find plausible euro-area wide monetary policy responses for prices and output that are similar to those generally reported for the US. However, investment (relative to consumption) seems to play a larger role in euro area monetary policy transmission than in the US. We cannot reject the hypothesis that the IRC completely characterises transmission in a few countries, and estimate it to be substantial in almost all. Where the IRC is not dominant, there is normally some direct evidence supporting the presence of a bank lending channel (or other financial transmission channel). The cases where financial effects appear important can be further split according to whether they primarily relate to consumption or investment.
Book Synopsis Three Essays on the Monetary Policy of Indonesia by : Fahlino Fauzi Sjuib
Download or read book Three Essays on the Monetary Policy of Indonesia written by Fahlino Fauzi Sjuib and published by . This book was released on 2003 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Central Bank Communication by : Frederico Carneiro Mira Godinho
Download or read book Essays on Central Bank Communication written by Frederico Carneiro Mira Godinho and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists in three chapters addressing the relationship between central bank communication and the transmission of monetary policy to a range of different audiences. In the first chapter, I show that once one incorporates country-specific yields into the identification of monetary factors for the European Central Bank, a new factor arises which plays a quantitatively important role in explaining the end of the sovereign debt crisis and the resulting convergence in economic outcomes across the Euro block. Specifications that exclude this novel factor instead imply that the central bank played little role in ending the crisis. I argue that this new factor reflects ECB communications that respond to certain countries’ conditions beyond their share of Euro area activity, mostly during the crisis period. In the second and third chapters, I address how the complexity in the language used in policy statements affects economic outcomes. More specifically, in the second chapter I look at the textual information in monetary policy announcements to show that complex language reduces the effects of monetary policy shocks on asset prices. Finally, in the third chapter I look at how the general public, a non-specialized audience, reacts to distinct policy statements that only differ in the complexity of the words used, by making use of a novel Randomized Control Trial experiment with new survey data. For this audience, a simpler message is more effective in shaping households’ expectations and enhancing understanding, but it reduces the credibility of the Federal Reserve relative to more complex, and less easily understood, communication
Book Synopsis The Transmission of Euro Area Monetary Policy to Financially Euroised Countries by :
Download or read book The Transmission of Euro Area Monetary Policy to Financially Euroised Countries written by and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a comprehensive analysis of the interest rate pass-through of euro area monetary policy to retail rates outside the euro area, contributing to the literature on the consequences of unofficial financial euroisation and on the transmission channels of monetary policy spillovers. The results suggest that in the long run, more than one third of all euro retail rates in euroised countries of central, eastern and south-eastern Europe (CESEE) are linked to the euro area shadow rate. Compared to euro area monetary policy, the share of cointegration of the domestic monetary policy rate is lower, suggesting that domestic central banks in euroised countries with independent monetary policy can only partially control the `euro part' of the interest rate channel. Furthermore, euro area monetary policy shocks are fast and persistently transmitted into euro retail rates outside the euro area, which constitutes an additional channel of international shock transmission.
