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Essays on Monetary Policy in Small O...

So, Inhwan.

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Essays on Monetary Policy in Small Open Economies.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Monetary Policy in Small Open Economies./
作者:	So, Inhwan.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2016,
面頁冊數:	130 p.
附註:	Source: Dissertation Abstracts International, Volume: 78-01(E), Section: A.
Contained By:	Dissertation Abstracts International78-01A(E).
標題:	Economic theory. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10138463
ISBN:	9781339940205

Essays on Monetary Policy in Small Open Economies.
So, Inhwan.

Essays on Monetary Policy in Small Open Economies. - Ann Arbor : ProQuest Dissertations & Theses, 2016 - 130 p.

Source: Dissertation Abstracts International, Volume: 78-01(E), Section: A.

Thesis (Ph.D.)--University of Washington, 2016.

This dissertation studies the effects of monetary policy in small open economies. In Chapter 1, I investigate how the openness of banking sector influences the transmission channels of home and international monetary policy shocks in small open economies. For the analysis, I construct a small open economy DSGE model enriched with a globalized banking sector. I consider two forms of bank globalization: international bank capital finance and foreign loan account import. By comparing the effect of each type of bank globalization on monetary policy transmission, the analysis delivers the following results. First, bank globalization leads to a significant attenuation of domestic monetary policy transmission. This is because, in response to home monetary shocks, banks' global activities allow them to maintain bank rates and demands on deposit to some extent compared to those in financial autarky. On the other hand, opening of the banking sector intensifies the impact of foreign interest rate shocks on the local bank activities. In addition to the conventional channel of international monetary transmission through interest-parity condition, global bank operation opens a new channel which makes bank rates more responsive to foreign monetary shock.

ISBN: 9781339940205Subjects--Topical Terms:

1556984
Economic theory.

Essays on Monetary Policy in Small Open Economies.
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245 1 0 $a Essays on Monetary Policy in Small Open Economies.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2016
300 $a 130 p.
500 $a Source: Dissertation Abstracts International, Volume: 78-01(E), Section: A.
500 $a Adviser: Yu-chin Chen.
502 $a Thesis (Ph.D.)--University of Washington, 2016.
520 $a This dissertation studies the effects of monetary policy in small open economies. In Chapter 1, I investigate how the openness of banking sector influences the transmission channels of home and international monetary policy shocks in small open economies. For the analysis, I construct a small open economy DSGE model enriched with a globalized banking sector. I consider two forms of bank globalization: international bank capital finance and foreign loan account import. By comparing the effect of each type of bank globalization on monetary policy transmission, the analysis delivers the following results. First, bank globalization leads to a significant attenuation of domestic monetary policy transmission. This is because, in response to home monetary shocks, banks' global activities allow them to maintain bank rates and demands on deposit to some extent compared to those in financial autarky. On the other hand, opening of the banking sector intensifies the impact of foreign interest rate shocks on the local bank activities. In addition to the conventional channel of international monetary transmission through interest-parity condition, global bank operation opens a new channel which makes bank rates more responsive to foreign monetary shock.
520 $a Chapter 2 investigates the nature of monetary policy transmission in four small open economies --- Australia, Canada, South Korea, and the U.K. --- and the U.S. (the benchmark) by estimating structural vector autoregressive models using the external instrument identification method. Differing from related studies on U.S. monetary policy, which mostly employ high-frequency futures data on monetary policy operating instruments (federal fund futures rates) to identify monetary policy shocks, we propose and test alternative sets of external instruments for the four focal open economies that do not yet have well-established futures markets in monetary policy instruments. The empirical results obtained by applying this data-oriented method yield important messages from both the econometric and macroeconomic perspectives. First, U.S. monetary policy plays an important role in monetary transmission in SOEs, presumably hampering the effectiveness of domestic monetary policy. In particular, the effect of domestic monetary policy shocks on medium- and long-term interest rates is quite weak and short-lived, while U.S. monetary innovation significantly and persistently influences domestic financial variables. Second, the paper provides some evidence that foreign exchange rates in this process respond to monetary shocks as Dornbusch (1976)'s overshooting hypothesis.
520 $a Chapter 3 studies the wedge between the interest rate implied by Euler equation and money market rate in five small open economies -- Australia, Canada, Finland, Korea, and the U.K. Standard Euler equation predicts strongly positive relationship between the two interest rates. However, data shows significantly large wedge between them, which causes negative correlation. We explore the systemic link between the wedge and two possible influencing factors -- monetary policy and net foreign asset position. The empirical results from our analysis deliver the important message that the wedge is closely related to net foreign asset position in open economies, while its relationship to the stance of monetary policy has mixed results.
590 $a School code: 0250.
650 4 $a Economic theory. $3 1556984
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710 2 $a University of Washington. $b Economics. $3 2094823
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793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10138463