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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Essays in Monetary Economics

Mineyama, Tomohide January 2018 (has links)
Thesis advisor: Susanto Basu / This dissertation consists of three essays that study macroeconomic modeling and its application with a particular focus on monetary economics. In Chapter 1, I develop a New Keynesian model with heterogeneous workers whose wage settings are subject to downward nominal wage rigidity (DNWR) to address two puzzles of inflation dynamics: the missing deflation during the Great Recession and the excessive disinflation afterward. I demonstrate that DNWR introduces a time-varying wedge between the output gap and the marginal cost of producing one unit of output, which makes the observed Phillips curve flatter during recessions. Endogenous evolution of cross-sectional wage distribution generates various dimensions of non-linearities, while the presence of the zero lower bound (ZLB) of the nominal interest rate further reinforces the mechanism. Consequently, the model can quantitatively account for the inflation dynamics during and after the Great Recession under plausible parameter values that are consistent with micro evidence. In Chapter 2, I study welfare-maximizing monetary policy rule in the heterogeneous agent New Keynesian model with DNWR that is developed in Chapter 1. The optimal monetary policy rule responds strongly to output to address the inefficiency generated by DNWR, while responsiveness to inflation plays a minor role in welfare. Moreover, monetary policy can improve social welfare by responding more aggressively to a contractionary shock than to an expansionary one to offset the asymmetry stemming from DNWR. In the presence of the ZLB, on the other hand, alternative policy rules such as forward guidance and price-level targeting can partly offset the adverse effects of it by committing to a future low interest rate policy. I also investigate the optimal steady-state inflation rate. In Chapter 3, which is coauthored with Dongho Song and Jenny Tang, we propose a method of introducing theory-driven priors into the estimation of the vector autoregression (VAR). Our methodology is more flexible than existing methods in that it allows a researcher to incorporate prior beliefs on a subset of variables in theoretical models that are of key interest while remaining agnostic about other variables in the VAR. We apply to the problem of exchange rate forecasting for the British pound versus the US dollar. By imposing different combinations of priors informed by uncovered interest rate or purchasing power parity, we find that substantial gains are realized at longer forecast horizons. / Thesis (PhD) — Boston College, 2018. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

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