Author: Irene ChanPublisher:
ISBN:
Category : Liquidity (Economics)
Languages : en
Pages : 0
Book Description
Three Essays on the Transmission Mechanism of Monetary Policy
Author: Irene ChanPublisher:
ISBN:
Category : Liquidity (Economics)
Languages : en
Pages : 0
Book Description
Three Essays on the Transmission of Monetary Policy to Non-bank Credit Activity
Author: Karl David BoulwarePublisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 177
Book Description
This dissertation is composed of three essays that measure the impact of monetary policy on non-bank credit activity by issuer, composition, and duration. The first essay measures the dynamic impact of monetary policy on gross repurchase agreement activity of primary government dealers of the Federal Reserve System. The second essay measures the dynamic impact of monetary policy on commercial paper activity. The third essay measures the impact of monetary policy on issuers of asset-backed securities. In the first essay, we find a positive shock to the federal funds rate significantly affects the level of credit activity. In particular, repo arrangements longer than a day display persistent declines. By comparison, overnight financing increases after a delay. This implies that contractionary monetary policy shocks lead to maturity substitution in the repo market. Our findings show that credit activity in the repo market is more sensitive to monetary policy than previously reported in the literature. In the second essay, our measure of contractionary monetary policy shocks corresponds to a sharp decline in money market mutual fund assets. Though there is an increase in aggregate commercial paper volumes, the impact of monetary policy is stronger for issuers with less liquid balance sheets. Specifically, issuers of asset-backed paper and issuers with second tier credit ratings. Furthermore, there is evidence of a broad substitution towards shorter maturities, in particular for asset backed and nonfinancial paper. In the final essay, we find that an anticipated increase in the target for the federal funds rate impacts the behavior of ABS issuers. In particular, we find commercial paper issuance rises while bond issuance falls. Consequently, our results support the existence of a liquidity risk channel for monetary policy operating through the total supply of non-bank credit activity. In this manner, our findings indicate the monetary transmission mechanism contributes to systemic risk in the shadow banking system through rollover risk. As a result, non-bank credit activity is an important component of the relationship between monetary policy and financial stability.
Three Essays on Monetary Business Cycle
Author: Won-Kyu KimThree Essays on Incomplete Exchange Rate Pass-through, Monetary Policy and Province Border Effects
Author: Wei ChenThree Essays on the Transmission of Monetary Policy, Non-linearities, and Interbank Markets
Author: Marc HinterschweigerPublisher:
ISBN:
Category :
Languages : en
Pages : 103
Book Description
Three Essays on the Monetary Policy of Indonesia
Author: Fahlino Fauzi SjuibPublisher:
ISBN:
Category : Indonesia
Languages : en
Pages : 150
Book Description
Three Essays on Monetary Policy, the Financial Market, and Economic Growth in the U.S. and China
Author: Juan YangPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
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.
Three Essays on Monetary Policy
Author: David B. GordonPublisher:
ISBN:
Category : Monetary policy
Languages : en
Pages : 182
Book Description
Author: Julius Moschitz
Author: