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dc.contributor.authorKOLB, Benedikt Mario
dc.date.accessioned2018-01-11T10:36:36Z
dc.date.available2018-01-11T10:36:36Z
dc.date.issued2017
dc.identifier.citationFlorence : European University Institute, 2017en
dc.identifier.urihttp://hdl.handle.net/1814/49989
dc.descriptionDefence date: 19 December 2017en
dc.descriptionExamining board: Professor Fabio Canova, European University Institute (Supervisor); Professor Juan Dolado, European University Institute; Professor Wouder den Haan, London School of Economics; Professor Zeno Enders, University of Heidelbergen
dc.description.abstractThis thesis focuses on recent monetary and macroprudential policies addressing the Financial Crisis. Chapter 1 stresses the role of central-bank communication. In particular, shocks derived from movements in federal funds futures prices during monetary policy announcement days have become popular for analysing U.S. monetary policy. While the literature often considers only surprise changes in the policy rate (“action shocks”), we distinguish between action and “communication shocks” (surprise announcements about future rates), using a novel decomposition of futures price movements. Our results indicate that communication shocks are the main driver of U.S. monetary policy shocks and that they explain a substantial share of variation in production. Chapter 2 turns to a macroprudential topic: How will a tightening in aggregate bank capital requirements affect the real economy? In this paper, we investigate this using a narrative index of regulatory US bank capital requirement changes for the period 1980M1 to 2016M8. Our results robustly suggest that a tightening in capital requirements leads to a temporary drop in lending and economic activity. The aggregate capital ratio and the level of bank capital increase permanently. Our results suggest that permanently higher capital requirements have no lasting negative effect on the real economy. Finally, Chapter 3 looks at asset purchases by the ECB. Their declared goal is to revive inflation, but purchases of which asset will be best suited for this? I address this question in a DSGE model with a role for three different asset classes: Government bonds, securitised financial assets and corporate sector bonds, which affect the economy via different channels. I investigate the impact of asset purchases in an environment of low inflation and a policy rate at the zero lower bound. Purchases of government bonds appear most effective in countering disinflationary episodes, while those of securitised assets have less impact.en
dc.description.tableofcontents-- 1 Monetary Policy Communication Shocks and the Macroeconomy -- 2 The Macroeconomic Effects of Bank Capital Requirement Changes: Evidence from a Narrative Approach -- 3 Spoilt for Choice on QE? Which Assets to Purchase to Combat Disinflation -- A Appendix to “Monetary Policy Communication Shocks and the Macroeconomy” -- B Appendix to “The Macroeconomic Effects of Bank Capital Requirement Changes: Evidence from a Narrative Approach ” -- C Appendix to “Spoilt for Choice on QE? Which Assets to Purchase When Combatting Disinflation” -- D Log-linearised equations
dc.format.mimetypeapplication/pdfen
dc.language.isoenen
dc.relation.ispartofseriesEUI PhD thesesen
dc.relation.ispartofseriesDepartment of Economicsen
dc.rightsinfo:eu-repo/semantics/openAccessen
dc.subject.lcshInternational finance -- Government policyen
dc.subject.lcshGlobal Financial Crisis, 2008-2009
dc.subject.lcshMonetary policy
dc.titleThree essays in monetary and macroprudential policiesen
dc.typeThesisen
dc.identifier.doi10.2870/91854
dc.twittertrue


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