In the literature, a considerable theoretical and empirical works have investigated the credit channel of monetary transmission mechanism. This dissertation extends the Bernanke and Blinder (1988) model to an open-economy setting with flexible exchange rate and perfect capital mobility. By means of the framework, we examine the exchange rate dynamics and the adjustment of real output. It turns out that, with a significant credit channel effect, the exchange rate puzzle may occur in the short run and in long run. Moreover, in contrast to Dornbusch (1976), this dissertation shows that, depending upon the strength of the credit channel effect, overshooting, undershooting and counter-shooting impact effect may occur when international capital mobility is perfect. / In the literature, a considerable theoretical and empirical works have investigated the credit channel of monetary transmission mechanism. This dissertation extends the Bernanke and Blinder (1988) model to an open-economy setting with flexible exchange rate and perfect capital mobility. By means of the framework, we examine the exchange rate dynamics and the adjustment of real output. It turns out that, with a significant credit channel effect, the exchange rate puzzle may occur in the short run and in long run. Moreover, in contrast to Dornbusch (1976), this dissertation shows that, depending upon the strength of the credit channel effect, overshooting, undershooting and counter-shooting impact effect may occur when international capital mobility is perfect.

The study is intended to identify relevant channels and possibly biasing factors with respect to fiscal multipliers, and thus to contribute to improving the precision of multiplier forecasts. This is done by, first, defining the concept of the multiplier used in the present study, presenting the main theoretical channels of influence as discussed in the literature and the problems of empirical identification. Second, by conducting a meta-regression analysis on the reported multipliers from a unique data set of 1069 multiplier observations and the respective study characteristics in order to derive quantitative stylzed facts. Third, by developing a simple multiplier model that explicitly takes into account the time elapse of the multiplier process as an explanatory factor that has been largely overlooked by the relevant theoretical literature. Fourth, by identifying, for US macroeconomic time series data, the extent to which fiscal multiplier estimates could be biased in the presence of financial cycles that have not been taken into account by the relevant empirical literature.

Submitted by Raimundo Câmara Filho (raimundo.camara@enel.com) on 2015-11-02T20:57:35Z No. of bitstreams: 1 Dissertação Versão aprovada, com ficha catalográfica e assinaturas da banca.pdf: 1997770 bytes, checksum: aa296c2e80c524f65734265773e7072e (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-04-19T19:06:48Z (GMT) No. of bitstreams: 1 Dissertação Versão aprovada, com ficha catalográfica e assinaturas da banca.pdf: 1997770 bytes, checksum: aa296c2e80c524f65734265773e7072e (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2017-05-05T17:02:42Z (GMT) No. of bitstreams: 1 Dissertação Versão aprovada, com ficha catalográfica e assinaturas da banca.pdf: 1997770 bytes, checksum: aa296c2e80c524f65734265773e7072e (MD5) / Made available in DSpace on 2017-05-05T17:03:45Z (GMT). No. of bitstreams: 1 Dissertação Versão aprovada, com ficha catalográfica e assinaturas da banca.pdf: 1997770 bytes, checksum: aa296c2e80c524f65734265773e7072e (MD5) Previous issue date: 2007-05-31 / Monetary policy actions are believed to be transmitted to the economy through their effects on market interest rates. However, it is observed that the relationship between monetary policy and market interest rates seems quite complex. Although casual observation suggests a close connection between monetary policy actions and short-term interest rates, the relationship between policy actions and long-term interest rates is not so evident. This study estimates the response of the Brazilian term structure of interest rates, from the implementation of the Inflation Targeting Regime until March 2007. Using a model that captures the tendency of market rates to anticipate policy actions, this study finds evidence of a stronger response of long-term rates to innovations in the Selic rate than found in previous research. / A política monetária é transmitida à economia através de seus efeitos sobre o mercado de taxas de juros. Na prática, entretanto, observa-se que o relacionamento entre a taxa de juros básica e as demais taxas de juros de mercado aparenta ser bastante complexo. Ainda que exista farta evidência de que a política monetária produza efeitos previsíveis sobre as taxas de juros de curto prazo, a relação entre as ações de política monetária e as taxas de juros de prazos mais longos não é tão evidente. Nesse estudo, estima-se a resposta da estrutura a termo de taxas de juros brasileira às medidas de política monetária anunciadas, desde a implantação do regime de metas de inflação até março de 2007. Utilizando um modelo simples, mas que captura a tendência do mercado de antecipar as futuras ações de política monetária, encontramos uma resposta muito maior do que as reportadas em estudos anteriores.

This paper investigates empirically the interest rate channel of the transmission mechanism of the monetary policy in Peru. Using monthly data for the six largest banks for the period June 2003 – June 2010 we study the two main policy instruments used under the inflation-target regime: the rate of monetary policy and the required bank reserves rate. We fit a dynamic panel data model obtaining two fundamental results. First, increases in the rate of monetary policy affectpositively and significantly the interest rates on commercial loans charged by the six largest banks of the country. Second, no evidence is found that the required bank reserves rate on deposits in Peruvian currency / Este trabajo evalúa empíricamente el canal de tasas de interés en el mecanismo de transmisión de la política monetaria en el Perú, durante el periodo junio 2003-junio 2010, empleando datos mensuales de bancos individuales. Se estudian los dos principales instrumentos de política utilizados bajo el régimen de metas de inflación: la tasa de política monetaria y la tasa de encaje.Utilizando un modelo de datos de panel dinámico, nuestro trabajo tiene dos resultados básicos. En primer lugar, un alza de la tasa de interés de referencia tiene un impacto positivo y significativo sobre las tasas de interés de los préstamos comerciales fijadas por los seis bancos más grandes del país. En segundo lugar, no encontramos evidencia que sugiera que la tasa de encaje a los depósitos en moneda nacional influye sobre estas mismas tasas de interés fijadas por estos seisbancos durante el periodo analizado.

The diploma thesis deals with the analysis of the most significant phases of the monetary policy of the Czech National Bank, including the analysis and evaluation of its effectiveness from its origin to the present. The thesis is divided into three individual parts. Each part corresponds to a specific transmission mechanism applied by the Czech National Bank while implementing the monetary policy. Each chapter includes the assessment of the effectiveness of individual approaches and the analysis of the impact of the monetary policy as well as the decision of the Czech National Bank on the Czech economy. The very first chapter is focused on the application of the monetary transmission mechanism in conditions of the fixed exchange rate during which an increasing internal as well as external disequilibrium led to the monetary crisis. The second chapter is dedicated to the transition to the inflation targeting, expert discussion concerning its implementation and the evaluation of the achieved results. The last chapter presents the use of the CNB's additional instrument of the monetary policy in the form of the exchange rate including the reasons that led to this step. The closing part of this chapter focuses on the evaluation of the effectiveness of this policy.

Diese Dissertation besteht aus drei Essays, welche den monetären Transmissionsmechanismus via das Kreditangebot von Banken in einem Umfeld mit Überschussreserven analysieren. Im ersten Aufsatz wird die Effekten der 2008 Handlungsrahmens Änderungen der Fed auf den Transmissionsmechanismus untersucht. Ich schätze die Reaktionen in der Periode vor 2008 und zeige, dass den Bankkreditkanal aktiv ist. In der Periode nach 2008 steigen Bankkredite nach eine Geldpolitikkontraktion. Ich habe ein Regimewechsel-TANK Modell entwickelt, um den Transmissionsmechanismus über beide Systeme zu vergleichen. Das Modell zeigt, dass nach einem kontraktiven Schock unter dem alten System die Produktion sinkt, und, dass unter einem neuartigen System das Kreditangebot stimuliert. Dies ist aufgrund einer Friktion der Fall, die durch die Liquiditätsmanagementkosten der Banken verursacht wird. Im zweiten Aufsatz analysiere ich ob der Bankkreditkanal in den USA nach der Finanzkrise vorhanden ist. Dieser Kanal stützt sich auf die Annahme verbindlicher Reserveanforderungen. Ich finde Belege für den Kreditvergabekanal vor der Finanzkrise. Seit der Krise ist der Bankkreditkanal nicht mehr vorhanden. Stattdessen ist eine kontraktive Geldpolitik jetzt mit lockereren Liquiditätsbeschränkungen verbunden, und somit mit einem Anstieg der Bankkredite. Im dritten Aufsatz, D. Zander und ich identifizieren heterogene Bankenreaktionen auf geldpolitische Schocks in den USA. Unter Verwendung von einem informationsrobusten Instrument, zeigen wir, dass der Grad der Bargeld-Liquidität systematisch beeinflusst, wie Banken infolge eines geldpolitischen Schocks ihr Kreditvergabeverhalten ändern. Wir finden, dass nach einem kontraktiven Schock hochliquide Banken mit einer Ausweitung der Kreditvergabe reagieren, während weniger liquide Banken eine gedämpfte Antwort zeigen. Wir zeigen, dass das Vernachlässigen von Informationseffekten zu qualitativ unterschiedlichen Ergebnissen für liquide Banken führt. / This dissertation consists of three essays that analyze the monetary transmission mechanism via banks’ credit supply to the real economy under an environment of excess reserves. The first essay, examines the effects of the Fed’s 2008 operational system switch on the transmission mechanism of monetary policy. In the pre-switch sample the bank-lending channel is shown to be active, while in the latter sample, bank loans increase after a monetary contraction. Additionally, a regime-switching TANK model is used to compare the transmission mechanism across both systems. Under the old-style system real activity declines after a monetary contraction, while under a new-style system, monetary tightening stimulates credit supply, due to the presence of a friction introduced by banks’ liquidity management costs. The second essay analyzes whether the bank-lending channel is still present in post financial crisis U.S. data. This channel relies on the key assumption of binding reserve requirements, which is at odds with post-crisis data. Using a two-step regression approach, I find evidence supporting the lending channel in the subsample prior to the crisis. Moreover, since the crisis the lending channel is no longer active. Instead, monetary tightening is associated with looser liquidity constraints, and thus, with bank lending growth. The third essay is joint work with D. Zander. We identify heterogeneous bank reactions to monetary policy shocks in the U.S. using macro-econometric techniques and micro-level data. Using an informationally-robust instrument we show that the degree of cash-liquidity systematically influences banks’ lending behavior. Concretely, after a contractionary shock, liquid banks (those with excess reserves above 1% of assets) react by expanding lending, whereas less liquid banks have a muted response. We show that neglecting to control for the information effects of monetary policy, yield qualitatively different results that are at odds with economic theory.

Après trois décennies des conflits armés, le Cambodge a enfin la capacité d’accélérer sa croissance et l’intégration de son économie dans la région et le monde. Pour cela, le pays doit reconstruire un système financier solide et mettre en place une politique monétaire. Nous proposons une étude de l’efficacité de la politique monétaire de la BNC (Banque Nationale du Cambodge) en tenant compte du fait que le sous-développement du secteur financier amoindrit les effets des canaux de transmission de la politique monétaire.Après avoir abordé les aspects théoriques en mettant en lumière le consensus de la politique monétaire et les différents canaux de transmission, nous passons en revue les travaux empiriques menés sur ce thème tant dans les pays développés, les pays en développement que les pays en transition. Il en ressort que les spécificités des systèmes financiers des différents pays, conditionnent la complexité et les effets des canaux de transmission et que le développement du système financier favorise la conduite de la politique monétaire, ne serait-ce que parce qu’elle étaye la confiance du public. Nous mettons ainsi en évidence l’importance d’une réforme du secteur financier préalable à toute politique monétaire. Par ailleurs, l’évolution du secteur financier est liée au développement économique mais celle-ci est aussi susceptible de créer de l’instabilité financière si le pays ne met pas en place des institutions suffisamment solides. Sa réussite demande que soient préalablement remplies un certain nombre de conditions comme la stabilité macroéconomique, la qualité de la réglementation financière et le développement du marché monétaire. Ce type de stratégie a été mise en place en 2001 (Blueprint [2001]) pour développer un système financier fondé sur les mécanismes du marché ; elle n’a que partiellement abouti. Elle a été revue en 2006 (le FSDS [06-15]) avec pour objectif d’harmoniser le calendrier de la réforme avec les améliorations en matière économiques, politiques, sociales et institutionnelles.Au stade actuel de développement du Cambodge, les canaux de transmission de la politique monétaire ne sont pas tous efficients à cause d’un système financier sous-développé, de globalisation financière et la dollarisation. Nous avons par conséquent mené une étude empirique sur la base de données Cambodgiennes pour évaluer leurs effets. Il en ressort que le canal du crédit n’a pas d’impact sur la croissance économique mais sur le niveau général des prix alors que le canal monétaire a un impact positif à court-terme sur le niveau général des prix. L’agrégat M1 et le crédit sont positivement reliés à court-terme. Notre étude suggère l’existence d’un canal monétaire et l’absence d’un canal du crédit. A la recherche du cadre le plus adapté de la politique monétaire dans le contexte du pays, nous analysons trois stratégies : le ciblage du taux d’inflation, celui du taux de change et celui des agrégats monétaires. Nous prenons aussi en compte les aspects institutionnels de la politique monétaire (l’indépendance, la responsabilité et la transparence de la conduite de la politique monétaire), la stratégie de communication et des mécanismes de décision de la Banque Centrale. Une stratégie basée sur un ciblage des agrégats monétaires semble l’option la plus adaptée. Un ciblage du taux de change paraît être une option secondaire (second-best) pour modérer la volatilité excessive et ancrer les anticipations des agents économiques. / After three decades of the armed conflicts, Cambodia finally has the capacity to accelerate her economic growth and integration into the region and the world. The country must rebuild a sound financial system and put in place an effective monetary policy. We propose to conduct a study on the efficacy of monetary policy of NBC (Central Bank of Cambodia) while taking into account of the underdevelopment of the financial system which weakens the effects of the transmission channels of the monetary policy.Following the literature reviews which highlight the consensus of an effective monetary policy and different channels of transmission, we undertake an empirical review in developed and developing countries. The specificities of financial system of each county condition the complexity and the effects of transmission channels. Moreover, the development of financial system enhances the implementation of monetary policy as long as it enjoys public confidence. We thus emphasize the importance of the reform of financial system prior to conducting an effective monetary policy. Besides, the development of financial system links closely with that of the economy but it is likely to foster financial instability if the country doesn’t have sufficiently sound institutions. The success of the reform requires a number of preconditions such as macroeconomic stability, acceptable quality of regulations, and development of monetary market. The reform was put in place in 2001 (Blueprint [2001]) to develop a sound and efficient financial system based on market mechanisms; it could only partially achieve its objectives. It was revised in 2006 (FSDS [06-15]) to harmonize its objectives with the pace of reform which experienced economic, political, social and institutional improvements.In the current state of development of Cambodia, transmission channels of monetary policy are not fully efficient. We conducted an empirical studies based on Cambodian data to evaluate its effects. It seems that credit channel doesn’t have the impacts on economic growth but on general level of prices while monetary channel has positive and short-term impacts on general level of prices. Our study suggests the existence of a monetary channel and absence of credit channel. In a quest of the suitable monetary policy framework in the current context of the country, we analyze three forms of framework: inflation targeting, exchange rate targeting and monetary aggregate targeting. We also take into account of institutional aspects (independence, accountability, and transparency of the monetary policy implementation), communication strategy, and decision mechanisms of NBC. A monetary policy strategy based on monetary aggregate targeting appears the most suitable option. Exchange rate targeting framework seems to be a second-best option to absorb the excessive volatility and anchor the public expectations.

The study is intended to identify relevant channels and possibly biasing factors with respect to fiscal multipliers, and thus to contribute to improving the precision of multiplier forecasts. This is done by, first, defining the concept of the multiplier used in the present study, presenting the main theoretical channels of influence as discussed in the literature and the problems of empirical identification. Second, by conducting a meta-regression analysis on the reported multipliers from a unique data set of 1069 multiplier observations and the respective study characteristics in order to derive quantitative stylzed facts. Third, by developing a simple multiplier model that explicitly takes into account the time elapse of the multiplier process as an explanatory factor that has been largely overlooked by the relevant theoretical literature. Fourth, by identifying, for US macroeconomic time series data, the extent to which fiscal multiplier estimates could be biased in the presence of financial cycles that have not been taken into account by the relevant empirical literature.:List of Figures IV List of Tables VI List of Acronyms VII List of Symbols IX 1 General Introduction, Aim and Scope 2 Principles of the Measurement, Theory and Estimation of Fiscal Multipliers 2.1 Introduction 7 2.2 Definition and Measurement of the Fiscal Multiplier 7 2.3 Determinants of the Fiscal Multiplier 14 2.4 Principles of Estimating Fiscal Multipliers 29 2.5 Conclusions 38 3 A Meta-Regression Analysis of Fiscal Multipliers 43 3.1 Introduction 43 3.2 Literature Review 45 3.3 Data Set and Descriptive Statistics 49 3.4 Meta Regression—Method 54 3.5 Meta Regression—Moderator Variables 56 3.6 Meta Regression—Results 60 3.7 Conclusions 74 4 The Multiplier Principle, Credit-Money and Time 82 4.1 Introduction 82 4.2 Literature Review 85 4.3 Developing an Augmented Multiplier Model 89 4.4 Dynamic Stability of the Multiplier Process 106 4.5 Identifying the Lag-length 109 4.6 Conclusions 111 5 Financial Cycles and Fiscal Multiplier Estimations 114 5.1 Introduction 114 5.2 Literature Review 116 5.3 Asset and Credit Markets and Fiscal Multiplier Estimations 118 5.4 A Formal Framework 120 5.5 Empirical Strategy 124 5.6 Data 125 5.7 Structure and Identification 126 5.8 Effects of Fiscal Policy Changes—Baseline vs. Augmented Models 132 5.9 Robustness 140 5.10 Conclusions 142 6 General Conclusions and Research Prospects 148 Bibliography 153