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Three empirical essays on asymmetries in the monetary policy transmission mechanism

The objective of this dissertation is to ascertain empirically whether there are non-linearities between interest rates and selected macroeconomic variables in the monetary policy transmission mechanism. This is accomplished by using recently-developed econometric techniques to uncover, and model, the non-linearities. We consider relationships between five variables along the path of the transmission mechanism (commercial interest rates, consumption, investment, output growth and inflation changes) and interest rates over which the central monetary authority has significant control (such as a long-short yield spread or a short-term money market rate). Our findings reveal that there is evidence in favor of non-linearities, with expansionary policy having a smaller impact on the key variables than a contractionary policy in the United States. In some instances we are successfully able to capture these non-linearities using either threshold or neural network models.
Date January 1999
CreatorsTkacz, Gregoire, 1971-
ContributorsGalbraith, John W. (advisor)
PublisherMcGill University
Source SetsLibrary and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada
Detected LanguageEnglish
TypeElectronic Thesis or Dissertation
CoverageDoctor of Philosophy (Department of Economics.)
RightsAll items in eScholarship@McGill are protected by copyright with all rights reserved unless otherwise indicated.
Relationalephsysno: 001656060, proquestno: NQ50271, Theses scanned by UMI/ProQuest.

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