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Thesis (Ph.D.)--Boston University / PLEASE NOTE: Boston University Libraries did not receive an Authorization To Manage form for this thesis or dissertation. It is therefore not openly accessible, though it may be available by request. If you are the author or principal advisor of this work and would like to request open access for it, please contact us at open-help@bu.edu. Thank you. / One of the lessons from the recent global financial crisis is the importance of macro-financial linkage in the economy. Based on this background, this dissertation analyzes the effects of financial frictions on the aggregate activities of the economy, wealth distribution and business cycles. The first chapter investigates the effects of financial development on aggregate capital accumulation and wealth distribution by constructing a heterogeneous-agent general equilibrium model with two idiosyncratic risks, endogenous occupational choice and Holmstrom and Tirole (1999) type financial contracts to prevent moral hazard issue. The benchmark model is calibrated to match the empirical data, where the wealth distribution has a right-hand fat tail and a small number of entrepreneurs hold a large amount of wealth. We find that financial development measured by decrease of monitoring cost contributes to the economy's higher capital accumulation and lower wealth Gini coefficient. The second chapter develops a dynamic stochastic general equilibrium (DSGE) model with financial frictions arising from the moral hazard problem as in Holmstrom and Tirole (1997) together with regulatory capital requirements on the banks. In contrast with the standard BGG (1999) financial accelerator model, we consider the agency problem from hidden action and regulatory capital requirements on the banks in order to examine whether changes of regulatory capital requirements result in credit crunches in the transmissions of aggregate technology and monetary policy shocks. The third chapter explores quantitative experiments using the above DSGE model. We examine whether there exists a "financial accelerator" effect from these kinds of financial frictions and a "credit crunch" from shocks. We find that there exists a "financial accelerator" effect and that financial deepening measured by decrease of financial intermediary's monitoring costs could contribute to mitigating business cycle fluctuations. In particular, no financial frictions with zero monitoring cost could decrease the variance of aggregate investment to around 18.5%. We also find that imposing and increasing capital requirements on the banks could cause decrease of bank's lending ("credit crunch"), thereby amplifying business cycles. / 2031-01-02

Thesis advisor: Rosen Valchev / I study how economic conditions and strategic incentives affect belief formation of rational agents with a limited information processing capacity. I study the impact of cognitive and information frictions on individual risk taking, investment and portfolio choice, and their implications on aggregate macroeconomic fluctuations. In my first chapter "Rational Overoptimism and Moral hazard in Credit Booms" I develop a framework in which over optimism in credit booms originates from rational decisions of managers. Because of moral hazard, managers pay too little attention to the aggregate conditions that generate risk, leading them to over borrow and over invest during booms. Periods of low risk premia predict higher default rates, higher probability of crises and systematic negative banks excess returns, in line with existing evidence. I document a negative relation between the convexity of CEO's compensation and their information on a larger sample of firms, which is consistent with my theory. My model implies that compensation regulation can play an important role in macro prudential policy. In my second chapter "Biased Surveys" Rosen Valchev and I improve on the standard tests for the FIRE hypothesis by allowing for both public and private information, and find new interesting results. First, we propose a new empirical strategy that can accommodate this richer information structure, and find that the true degree of information rigidity is about a third higher than previously estimated. Second, we find that individual forecasts over-react to private information but under-react to public information. We show that this is consistent with a theory of strategic diversification incentives in forecast reporting, where forecasters are rational but report a biased measure of their true expectations. This has two effects. First, it generates what looks like behavioral “over-reaction” in expectations, and second biases the information rigidity estimate further downward. Overall, our results caution against the use of survey of forecasts as a direct measure of expectations, and suggest that the true underlying beliefs are rational, but suffer from a much larger degree of imperfect information than previously thought. This has particularly profound implications for monetary policy, where inflation expectations play a key role. I explore further how economic incentives shape beliefs in my third chapter "International Trade and Portfolio Diversification". I show that information choice can explain the puzzling positive relation between bilateral investment and trade across countries. I present a model of endogenous information with both investment in assets and income from trade. While standard model of risk-hedging would require agents to invest in non-trading countries to diversify income risk, I show that limited information capacity and preferences for early resolution of uncertainty reverse this result. The intuition is that investors collect more information on trading partners to reduce income uncertainty, and therefore perceive their equity as less risky. I find that allowing for information choice reduces the role of risk hedging on portfolio decisions. I test my model’s implied relation between trade and attention in the data and find robust empirical support. / Thesis (PhD) — Boston College, 2022. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

Thesis advisor: Susanto Basu / Thesis advisor: Peter Ireland / This dissertation consists of three independent chapters analyzing the role that information and credit frictions play in goods and financial markets. Within these chapters, I develop dynamic stochastic general equilibrium (DSGE) models to study the implications of these frictions on the macroeconomy, both at the national and international level. In the first chapter, I provide a novel explanation for the observed large and persistent fluctuations in real exchange rates using a model with noisy, dispersed information among price-setting firms. Chapter two studies how entrepreneurs' attitudes towards risk affect business cycles in a framework with agency frictions between borrowers and lenders. Finally, chapter three introduces a liquidity channel in a business cycle model with agency frictions to rationalize the highly volatile behavior of default recovery rates observed in the data. Real exchange rates have been extremely volatile and persistent since the end of the Bretton Woods system. For many developed economies, real exchange rates are as volatile as nominal exchange rates, and their fluctuations exhibit a half-life in the range of three to five years. Traditional sticky-price models struggle to jointly account for these features under plausible nominal rigidities (Chari, Kehoe, and McGrattan, 2002). Is it possible to reconcile, in a single framework, the enormous short-term volatility of the real exchange rate with its extremely long half-life? The first chapter of this dissertation addresses this question within a framework in which information is noisy and heterogeneous among price-setting firms. In this context, the continuing uncertainty that firms face about the state of the economy and about the beliefs of their competitors, slows down the price adjustment in response to nominal shocks, generating large and long-lived real exchange rate movements. I estimate the model using real output and output deflator data from the US and the Euro Area and show, as an out-of-sample test, that the model successfully explains the observed volatility and persistence of the Euro/Dollar real exchange rate. In a Bayesian model comparison, I show that the data strongly favor the dispersed information model relative to a sticky-price model à la Calvo. The model also accounts for the persistent effects of monetary shocks on the real exchange rate that I document using a structural vector autoregression. The second chapter, joint with Mikhail Dmitriev, studies how entrepreneurs' attitudes towards risk affect business cycles in a model with agency frictions. Entrepreneurs are inevitably exposed to non-diversified risk, which likely affects their willingness to borrow and to invest in risky projects. Nevertheless, the financial friction literature has paid little attention to how entrepreneurs' desire to take on this risk affects their investment choices in a general-equilibrium setting. Indeed, business cycle models with credit market frictions that feature idiosyncratic risk assume, for tractability, that entrepreneurs are risk neutral (Bernanke, Gertler, and Gilchrist, 1999, BGG). In this chapter, we generalize the BGG framework to the case of entrepreneurs with constant-relative-risk-aversion preferences. In doing so, we overcome the aggregation challenges of this setup and maintain an analytically tractable, log-linear framework. Our main result is that higher risk aversion stabilizes business cycle fluctuations in response to financial shocks, such as wealth redistribution or risk shocks, without significantly affecting the dynamic responses to technology and monetary shocks. Our findings suggest that, within this class of models, the ability of financial shocks to account for a large portion of short-run output fluctuations found in previous work (e.g., Christiano, Motto, and Rostagno (2014)) crucially hinges on borrowers' risk neutrality. The third chapter, joint with Mikhail Dmitriev, examines the implications of the cyclical properties of default recovery rates for aggregate fluctuations. We document that recovery rates after default in the United States are highly volatile and strongly pro-cyclical. These facts are hard to reconcile with the existing financial friction literature. Indeed, models with limited enforceability à la Kiyotaki and Moore (1997) do not feature defaults and recovery rates in equilibrium, while agency costs models following Bernanke, Gertler, and Gilchrist (1999) underestimate the volatility of recovery rates by one order of magnitude. In this chapter, we extend the standard agency costs model allowing liquidation costs for creditors to depend on the tightness of the market for physical capital. Creditors do not have expertise in selling entrepreneurial assets, but when buyers are plentiful, this disadvantage is minimal. Instead when sellers are abundant, the disadvantage of being an outsider is higher. Following a negative shock, entrepreneurs sell capital and liquidation costs for creditors increase, driving down recovery rates. With higher liquidation costs, creditors cut lending and cause entrepreneurs to sell even more capital. This liquidity channel works independently from standard balance sheet effects, and amplifies the impact of financial shocks on output by up to 50 percent. / Thesis (PhD) — Boston College, 2016. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

Thesis advisor: Peter Ireland / Thesis advisor: Matteo Iacoviello / The dissertation is composed by two chapters. In the first one, I study the role of credit constraints and incomplete markets in the short run transmission of monetary shocks, using the superneutrality result that would obtain from preference separability in the Sidrauski model under complete markets as a benchmark. I find that money demand heterogeneity stemming from binding credit constraints invalidates the superneutrality result. I show this result under two alternative settings. In a simple two agents model, with heterogeneity in the rates of time preference, whether positive shocks to the growth rate of money are expansionary or contractionary crucially depends on the transfer scheme adopted by the monetary authority to rebate seigniorage transfers: redistributional effects implied by symmetric lump-sum transfers are contractionary, while wealth-neutral transfers are expansionary. In a model with uninsurable idiosyncratic risk, the approximate aggregation property fails to hold due to the high degree of heterogeneity of money demand and to the properties of the cross-sectional distribution of money holdings, suggesting the inadequacy of the representative agent assumption and the need for a more elaborate approximation of the wealth distribution to predict prices. In the second chapter, we propose a real business cycle model with labor and credit market frictions in which borrowing is conditional on employment status. Relative to a conventional set up, and as long as credit is valued positively, our model generates a non-standard labor/leisure trade off that induces job applicants to accept lower wages and firms to post more vacancies, ultimately increasing employment. A shock to the demand of durable goods, by increasing the collateral value, reduce the opportunity cost of working, and generates an increase in employment and output. The transmission of a financial shock that increases the loan to value ratio, is dampened by the costs, in terms of leisure, incurred by the borrowers. We show that this mechanism is able to generate the positive comovement between outstanding household debt and employment observed in the data, whereas a conventional model, in which employment status is irrelevant for obtaining credit, predicts a counterfactual negative comovement. / Thesis (PhD) — Boston College, 2012. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

Cette thèse aborde différents sujets ayant trait aux liens entre l’économie réelle et l’économie financière au sein de l’économie internationale. Trois essais abordent ces liens selon différentes perspectives aussi bien micro que macro-économiques. Le premier chapitre, co-écrit avec Jean-Charles Bricongne et Sebastian Franco-Bedoya, évalue l’arbitrage proximité-concentration avec des entreprises multi-produits afin d’identifier le type de lien (complémentarité ou substituabilité) entre les exportations et les IDE. Tandis que les modèles d’IDE horizontal prédisent qu’IDE et exportations se substituent du fait de l’arbitrage proximité-concentration, une majorité d’études empiriques met en évidence leur complémentarité. [...]Le deuxième chapitre examine empiriquement le rôle du développement financier dans l’évolution du produit marginal du capital (MPK) dans 50 pays et sa relation avec leurs besoins de finance externe, en lien avec leur production manufacturière durant la période 1995-2008. En se fondant sur des données sectorielles au niveau des pays, les résultats de ce chapitre montrent que la spécialisation dans des secteurs intensifs en finance externe contribue de manière positive au MPK des pays développés et de manière négative dans les pays en développement. Cette relation devient légèrement positive uniquement lorsque le système financier est suffisamment développé dans ces derniers ; ces pays étant généralement caractérisés par des systèmes financiers largement moins efficaces en comparaison avec des pays développés. [...] Le troisième chapitre, co-écrit avec Jean-Charles Bricongne et Fabrizio Coricelli étudie la transmission des chocs mondiaux pendant la Grande Récession et son impact sur l’emploi français. En particulier, nous examinons le rôle du crédit commercial (ou inter-entreprises) dans la propagation des chocs transfrontaliers. En se fondant sur un sous-échantillon des entreprises importatrices économiquement actives sur la période 2004-2009, nos résultats suggèrent que des entreprises ayant de forts liens commerciaux avant la crise avec les pays qui ont le mieux résisté aux chocs économiques, ont eu une meilleure performance au niveau de la croissance de l’emploi entre 2008 et 2009. Cet effet varie considérablement en fonction de l’intensité du crédit commercial. Une forte dépendance au crédit commercial avant la crise s’est traduite par une vulnérabilité plus forte aux chocs imprévus pour les entreprises, pour lesquelles l’impact négatif de la crise a été exacerbé. Cet effet a été intensifié pour les entreprises ayant des liens commerciaux importants avec les pays les plus affectés par des chocs. A l’inverse, l’effet négatif de la crise a été atténué lorsque les relations commerciales étaient plus fortes avec des pays où les chocs ont été les moins sévères. Suggérant par conséquent, que le crédit commercial a été une source alternative de financement pour les entreprises françaises importatrices lors de la crise, du moment où leurs fournisseurs internationaux leur ont permis de surmonter les contraintes financières liées aux chocs imprévus en leur accordant un délai de paiement plus important. Les résultats de cette analyse contribuent au débat dans la littérature sur le rôle du financement du commerce international dans le ralentissement de l’activité économique réelle à travers les frontières. / Two particular concerns in international economics motivate this research: I. How are real and financial activities related to each other in a globalized economy? II. What role do financial frictions play in this relationship ? Three essays look at these questions from different perspectives. The first chapter, in collaboration with Jean-Charles Bricongne and SebastianFranco-Bedoya, revises the old question on the relation between FDI and exports on French firms, where theory seems to be at odds with empirical findings. Most FDI and most trade take place between rich markets, where the horizontal investment type is expected to happen. In this sense, empirical studies have almost invariably found a complementarity relation while standard Horizontal FDI models predict substitutability between FDI and exports given the proximity-concentration trade-off. [...]The second chapter empirically examines how external financial needs measured at the sector level- and financial development at the country level interact to shape the aggregate marginal product of capital of a country (MPK) and its foreign direct investment inflows (FDI). First, using new available data we construct annual aggregate MPK for 50 developing and developed countries during 1995-2008; we use industry-level data to construct an annual country-level measure of external financial dependence and assess its effects on MPK conditional on the level of financial development. Our findings imply that financial development seems to be a necessary condition -and certainly not a sufficient one- in order for production in financially dependent sectors to positively affect aggregate MPK in developing countries. Second, using bilateral FDI inflows in developing countries between 2001 and 2010, we analyze how external financial dependence and financial development determine FDI in flows in developing countries. [...]The third chapter, joint research with Jean-Charles Bricongne and Fabrizio Coricelli, studies the transmission of global shocks during the Great Recession and its impact on French employment. Particularly, we explore the role of trade credit in the propagation of cross-border shocks. Using a sub-sample of importing enterprises that were active over 2004-2009,our findings imply that strong pre-crisis sourcing ties with countries that were more resilient to the global crisis, translated into better performance in terms of employment growth over 2008-2009. This effect dramatically varies with trade credit intensity. Strongly relying on trade credit made firms more vulnerable to unanticipated shocks, for which the adverse impact of the crisis was exacerbated. This effect intensified among firms with important sourcing ties with severely shocked countries. While the negative effect of the crisis was mitigated when sourcing relations with countries subject to milder shocks were stronger. Supporting, therefore, the hypothesis that trade credit was an alternative source of financing for enterprises during the crisis, where implicitly borrowing from suppliers helped importers overcoming financial constraints. Our contribution to the literature adds to the debate on the role of trade finance in explaining the real economic downturn across borders.

L’interaction sphère financière/sphère réelle a longtemps été délaissée dans les modèles macroéconomiques, postulant généralement la neutralité de la première. La récente crise financière dite des subprime démontre qu’il en est autrement. Cette thèse propose trois essais sur le rôle du secteur financier et plus particulièrement bancaire à l’aune de la dernière crise.Le premier consiste à donner un cadre formel à la nature exceptionnelle de la crise en abandonnant l’hypothèse de normalité des ‘événements résiduels’. Nos résultats réfutent le caractère ‘normal’ de la crise mais, aussi et surtout, soulignent les biais en termes de diagnostics économiques à la considérer comme telle.Par ailleurs, un des effets exceptionnels de cette crise a été le recours à des politiques monétaires non conventionnelles. La deuxième partie de la thèse suggère à ce titre l’incertitude sur les marchés interbancaires comme une raison probable de l’inefficacité des politiques monétaires conventionnelles. Une politique monétaire équilibrée entre lutte contre l'inflation et soutien à l'économie réelle serait néanmoins plus à même de réduire les effets de cette incertitude sur le cycle économique.Enfin, le troisième volet de la thèse propose une étude d’impact de la nouvelle réglementation Bâle III sur le secteur réel. L’absence d’externalités positives entre la mise en œuvre de la contrainte de capitalisation et celle du LCR accentue davantage l’écart de production entre PME et grandes entreprises, induisant un impact récessif global encore plus sensible. Une mise en œuvre plus lente et parfaitement annoncée des nouvelles normes réglementaires pourrait néanmoins nuancer ces effets. / Until recently, most macroeconomic models have ignored the interaction between financial and real sectors, postulating the neutrality of the former. However, the last financial crisis, also known as subprime crisis, rejected this assumption. In this thesis we propose three essays where we try to shed light on the role of the financial and more particularly the banking sector during the last crisis.The first essay provides a formal assessment of the exceptional nature of the crisis by challenging the usual ‘normality’ assumption of the innovations. Our results refute the ‘normality’ assumption for the crisis, but also and more importantly, they put forward possible biases from using this assumption in macroeconometric models.The exceptional features of the crisis can also be seen in the use of unconventional monetary policy. The second chapter of the thesis shows how higher volatility in the interbank market impedes the standard monetary policy effects. However, a central bank with a more balanced monetary policy, reacting both to inflation pressures and to GDP variations, would be in a better situation to dampen the effects of interbank volatility shocks on the economic cycle.The last chapter deals with the impact on the real sector of the new Basel III regulatory requirements. The fulfillment of the new capital ratio has no positive spill-over effects on the Liquidity Coverage Ratio which magnifies the output discrepancy between SMEs and corporate firms. This, in turn, generates a greater recessionary impact on the overall economy. A more progressive implementation of the new regulation combined with perfect expectations should however decrease such adverse effects.

J’utilise des modèle de search comme point de départ de mon analyse, en examinant l'impact des frictions d'un point de vue soit théorique soit empirique. Dans le Chapitre 1 j’analyse les effets de l’incertitude sur la macroéconomie. Les estimes empiriques montrent que l’incertitude a un impact négatif sur l’économie et que le marché du travail est un important canal de transmission. Un modèle d’équilibre général avec frictions DMP est capable de reproduire les faits observés. Dans le Chapitre 2 j’utilise un Time Varying Parameter SVAR avec volatilité stochastique pour investiguer les propriétés de la création d’emploi aux Etats Unis et leur variation dans le temps. Les estimes indiquent que la volatilité dépend largement des chocs de demande et de prix. Les postes de travail réagissaient négativement aux chocs technologiques jusqu’au début des années 90. Le Chapitre 3 intègre la dimension spatiale dans un modèle de search. Cela permet d'expliquer quelques régularités observées dans des données Autrichiens: i) l’existence d’une frontière de réserve entre salaire est distance; ii) le changement de stratégie de recherche d’emploi; iii) l'effet décourageant des d’allocations chômage. Dans le Chapitre 4 je présente un modèle qui explique la sélection des nouvelles embauches entre contrats à court et à long terme. En exploitant une base de données italienne, on trouve que la probabilité d’obtenir un contrat permanent dépend négativement du degré de mismatch entre l'éducation du travailleur et l'occupation. En outre, les réformes qui libéralisent le contrats à durée déterminée encouragent leur utilisation mais ils ont effets non-linéaires sur le taux de chômage. / In this thesis I take the search and matching framework as the starting point of my analysis to investigate several aspects of the labor market. In Chapter 1, I explore the consequences of uncertainty on the macroeconomy . The empirical analysis shows that uncertainty has a detrimental effect on the aggregate economy and that job creation is an important channel of transmission. The empirical findings are then rationalized through a DSGE model incorporating the DMP setup and featuring stochastic volatility. In Chapter 2, I study the time-varying characteristics of job creation in the US. The econometric setup is a Time-Varying Parameter SVAR (TVP-SVAR) with stochastic volatility. The identification strategy is based on a DSGE model with a frictional labor marketIn Chapter 3, I extend the standard framework to take into account the spatial dimension of job search. Austrian data show the existence of a trade- off between wage and commute time. They also uncover complex patterns in the dynamics of exits from unemployment. Cox-regressions further show that the level of unemployment benefits has a strong discouraging effect on job search. In Chapter 4, I use a random search model to study the sorting of new hires into open-ended and fixed-term contracts. The co-existence of these two types of contracts is explained by match heterogeneity. The match productivity is interpreted as the fit of worker's skills to task requirements. This hypothesis is supported by matched employer-employee data from a large Italian region.

Cette thèse aborde différentes thématiques dans le champ de l’économie internationale et de la macroéconomie. Les travaux de recherche développés dans cette thèse étudient l’impact des chocs de différentes natures sur les flux de migrations internationales, de commerce international et sur la croissance de la productivité. Le premier chapitre s’intéresse à l’évolution des flux migratoires en réaction à des chocs conjoncturels. L’estimation du modèle à partir des données nous permet de conclure qu’à la fois les chocs structurels et les chocs conjoncturels influent les flux de migration. Une augmentation de 10% du salaire du pays de destination conduirait à une augmentation du flux migratoire vers ce pays de destination de près de 8%, toutes choses égales par ailleurs. Le second chapitre étudie dans quelles mesures les chocs financiers affectent le niveau des exportations des entreprises, avec un focus particulier sur les entreprises qui exportent vers des destinations lointaines. Nous trouvons que les entreprises qui font face à des frictions financières exportent entre 4% et 10% de moins que celles qui ne sont pas soumises à ces frictions. Nos résultats montrent également que parmi les exportateurs en difficulté financière, ceux qui exportent vers des destinations lointaines réduisent encore davantage leurs exportations. Dans le chapitre trois, nous étudions comment les frictions financières peuvent conduire à des distorsions dans l’allocation des ressources. Nos résultats suggèrent que dans les pays développés financièrement, les capitaux ne permettent pas forcément une amélioration de l’allocation efficace du travail entre les firmes. / This thesis covers various issues in international economics and macroeconomics.It studies the role of several types of shocks on international migration, firms’ export strategies and sectoral productivity growth. The three chapters exploit different sources of data and use recent econometrics approaches to deal with these issues.Chapter one contributes to the literature on international migration by looking at the role of short-run fluctuations as determinants of the location choice of the migrants. We find evidence that business cycles and employment rates at destination affect the intensity of gross bilateral flows.Chapter two investigates how financial frictions impact firms’ foreign sales, especially for firms that export to long distance export markets. We find that firmsfacing financial frictions export from 4 to 10% less than the ones without anyfinancial constraints. Our results also suggest that amongst exporters facing financial difficulties, those who export to faraway destinations reduce their exportsales more.Chapter three investigates how financial frictions affect the efficiency with which labor allocates across firms within a sector. Results suggest that an increase intangibility decreases the productivity growth rate of an industry located in highly financially developed country and this lower productivity growth rate is largely explained by the reallocation of labour across firms within the sector.

Dans cette thèse, l'objectif de mes recherches, s'inscrivant dans la lignée de la littérature qui donne un rôle prééminent aux intermédiaires financiers dans les modèles macroéconomiques,consiste à comprendre les mécanismes qui ont permis à l'intermédiation financière imparfaite et parfaite d'affecter la dynamique de l'économie et la transmission de la politique monétaire, et de fournir une nouvelle formulation théorique pour l'évaluation de la politique monétaire non conventionnelle. Pour ce faire, j'ai d'abord considéré l'impact de l'intermédiation financière sur l'analyse des effets de la transparence de la banque centrale (chapitre 2). Dans le chapitre 3, je me suis concentré sur le rôle joué par l'intermédiation financière imparfaite et les frictions financières dans la transmission des chocs : par quels mécanismes, la présence d'intermédiaires financiers contraints par leur bilan affecte l'effet des chocs sur la macroéconomie? Enfin, dans le quatrième chapitre, je construis un modèle théorique pour analyser une question importante : le mécanisme de transmission des effets de l'achat à grande échelle de la banque centrale de titres adossés, qui n'a pas été effectué dans la littérature existante. / In this dissertation, my research aims at dwelling on the questions, at understanding and explaining -- as a follow of current strand of literature on financial frictions -- the mechanisms that allowed the imperfect and perfect credit intermediation to affect the dynamics of economy and the transmission of monetary policy, and providing a new theoretical formulation for evaluating the unconventional monetary policy. To do this, I first considered the impact of financial intermediation on the analysis of central bank transparency issue (Chapter 2). ln Chapter 3, I focused on the role played by the imperfect financial intermediation/financial frictions in the transmission of shocks : through which mechanisms, do the presence of balance-sheet constraint financial intermediaries affect the effect of shocks on the macroeconomy? Finally, in Chapter 4, 1 construct an theoreticalmodel to analyze an important issue which have net been carried out in existing literature: the transmission mechanism of the central bank's large-scale purchase of mortgage-backed securities. ln this chapter, I first simulated a financial crisis to see if the model is able to replicate some of the most important stylized facts of the Great Recession. Then, basing on the simulated crisis, I examine the efficacy and transmission mechanism of large scale purchases of MBS through comparing these purchases to the purchases of corporate bonds. This experiment is conducted in two credit market configurations, i.e., a partially and a totally segmented credit market. The latter case of market condition is considered by many economists as main obstacle that impedes the nominal functioning of the financial markets. ln this work, we have obtained rich and important findings for guiding the use of unconventional monetary policy. The following parts briefly present the findinqs of the thesis.