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Essays on monetary policy and financ...

Georgetown University.

Essays on monetary policy and financial markets.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
書名/作者:	Essays on monetary policy and financial markets.
作者:	Vu, Dong Quang.
面頁冊數:	134 p.
附註:	Source: Dissertation Abstracts International, Volume: 71-08, Section: A, page: 2985.
Contained By:	Dissertation Abstracts International71-08A.
標題:	Economics, Finance.
ISBN:	9781124079943
摘要、提要註:	How should a central bank conduct monetary policy in the presence of financial shocks? How is a financial shock identified? Using different economic models, my dissertation addresses these questions.
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3411800

Essays on monetary policy and financial markets.
Vu, Dong Quang.

Essays on monetary policy and financial markets. - 134 p.

Source: Dissertation Abstracts International, Volume: 71-08, Section: A, page: 2985.

Thesis (Ph.D.)--Georgetown University, 2010.

How should a central bank conduct monetary policy in the presence of financial shocks? How is a financial shock identified? Using different economic models, my dissertation addresses these questions.

ISBN: 9781124079943Subjects--Topical Terms:

423545
Economics, Finance.

Essays on monetary policy and financial markets.
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008 110817s2010 ||||||||||||||||| ||eng d
020 $a 9781124079943
035 $a (UMI)AAI3411800
035 $a AAI3411800
040 $a UMI $c UMI
100 1 $a Vu, Dong Quang. $3 423550
245 1 0 $a Essays on monetary policy and financial markets.
300 $a 134 p.
500 $a Source: Dissertation Abstracts International, Volume: 71-08, Section: A, page: 2985.
500 $a Adviser: Behzad Diba.
502 $a Thesis (Ph.D.)--Georgetown University, 2010.
520 $a How should a central bank conduct monetary policy in the presence of financial shocks? How is a financial shock identified? Using different economic models, my dissertation addresses these questions.
520 $a In Chapter 1, I construct a model with Iacoviello's (2005) heterogeneous agent structure, financial intermediaries, a risk-rating mechanism, and the Calvo-style sticky price formulation. I find that monetary policy should respond to the bank spread, which is the difference between the lending rate and the deposit rate. Additionally, I show that coordination of monetary and fiscal policy is necessary and that fiscal policy becomes more active when a financial shock is more volatile.
520 $a Motivated by an empirical VAR model (a la Christiano et al., 1999), Chapter 2 models an economy with financial intermediaries and a financial shock. There is a risk-rating mechanism based on firms' external finance dependence as firms need heterogeneous funds for a new investment. I propose a set of economic indicators to identify this financial shock. I again show that the conduct of monetary policy should pay attention to the financial market by negatively responding to the bank spread, which is also the difference between the lending rate and the deposit rate. As a result, the cost of price rigidity is lower and the social aggregate welfare is higher.
520 $a The last chapter empirically examines a disturbance to the bank spread, the difference between the three-month prime rate and the three-month deposit rate. This spread is augmented into a standard VAR model as well as an ARIMAX model. I find that this disturbance has an estimated standard error of about 0.15 percent, which is relatively significant in comparison with a monetary shock's standard error of about 0.3 percent in the literature. In addition, a bank spread disturbance and a monetary shock have similar contributions to the fluctuations in economic activity. This shows that such a disturbance should be carefully observed.
590 $a School code: 0076.
650 4 $a Economics, Finance. $3 423545
690 $a 0508
710 2 $a Georgetown University. $b Economics. $3 423551
773 0 $t Dissertation Abstracts International $g 71-08A.
790 1 0 $a Diba, Behzad, $e advisor
790 1 0 $a Canzoneri, Matthew $e committee member
790 1 0 $a Cumby, Robert $e committee member
790 $a 0076
791 $a Ph.D.
792 $a 2010
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3411800

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