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Effects of expansionary monetary policy shocks on financial variables

Master of Arts / Department of Economics / Lance J. Bachmeier / This thesis uses a structural VAR approach with a recursiveness assumption to examine the effects of an expansionary monetary policy shock on financial variables. We build this on the established research of the effects of monetary shocks on macro variables by measuring the expansionary shock as an increase in the money supply. We also investigate interest rate policy and test whether financial market variables matter for the determination of interest rate. We analyze four different cases in this paper using the innovations in the money supply, non-borrowed reserves, the interest rate and bond yield (including bonds with remaining maturity period close to 30- years) as a measurement for the expansionary monetary policy shock.

Identiferoai:union.ndltd.org:KSU/oai:krex.k-state.edu:2097/3517
Date January 1900
CreatorsDhankhar, Rashmi
PublisherKansas State University
Source SetsK-State Research Exchange
Languageen_US
Detected LanguageEnglish
TypeThesis

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