رسالة جامعية
Essays on Monetary Policy
| العنوان: | Essays on Monetary Policy |
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| المؤلفون: | Nsafoah, Dennis |
| المساهمون: | Serletis, Apostolos, Hashmi, Aamir Rafique, Tanaka, Atsuko |
| بيانات النشر: | Arts University of Calgary |
| سنة النشر: | 2021 |
| المجموعة: | PRISM - University of Calgary Digital Repository |
| مصطلحات موضوعية: | Monetary Policy, International Spillovers, Central Bank, Zero Lower Bound, Economics |
| الوصف: | This dissertation consists of three essays in monetary economics. The first chapter studies the spillover effects of traditional US monetary policy to a number of advanced countries namely Canada, Denmark, the Eurozone, Japan, Switzerland and the United Kingdom. Using monthly data from January 1997 to December 2017, and a bivariate structural GARCH-in-Mean VAR, it finds that positive (negative) US monetary policy shocks increase (reduce) the policy rate in each of the other countries. It also finds that monetary policy uncertainty in the US has a negative and statistically significant effect on the monetary policy rate of each of the other countries. The second chapter investigates the effects of monetary policy shocks and uncertainty about monetary policy on key macroeconomic variables and interest rate spreads --- the term spread and credit spread. It uses monthly data for the US and a multivariate structural GARCH-in-Mean VAR model to estimate the effects on the growth rate of real output, the inflation rate, term spread, credit spread, and the policy rate. It finds statistically significant effects on all economic and financial variables. The final chapter studies international spillovers of conventional and new monetary policies of a large economy to a small open economy (SOE). It employs a medium-scale New Keynesian model that features all the major types of new monetary policies and the conventional monetary policy in a unified framework. In the quantitative application of the model, Canada is the SOE and the US is the large economy. The results show that there is little difference in the spillover effects of conventional and new monetary policies on the GDP of the SOE. However, the effects on various components of GDP (consumption, investment and net exports) differ by policy. Furthermore, it simulates counterfactual monetary policy scenarios for the US and Canada around the Great Recession of 2008. Three main conclusions emerge from these simulations: (1) If the Fed had not engaged in quantitative ... |
| نوع الوثيقة: | doctoral or postdoctoral thesis |
| وصف الملف: | application/pdf |
| اللغة: | English |
| العلاقة: | Nsafoah, D. (2021). Essays on Monetary Policy (Unpublished doctoral thesis). University of Calgary, Calgary, AB.; http://dx.doi.org/10.11575/PRISM/38798Test; http://hdl.handle.net/1880/113329Test |
| DOI: | 10.11575/PRISM/38798 |
| الإتاحة: | https://doi.org/10.11575/PRISM/38798Test http://hdl.handle.net/1880/113329Test |
| حقوق: | University of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission. |
| رقم الانضمام: | edsbas.49D4D813 |
| قاعدة البيانات: | BASE |
| DOI: | 10.11575/PRISM/38798 |
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