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Essays on the effect of information ...

Jalil, Munir Andres.

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Essays on the effect of information on monetary policy.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on the effect of information on monetary policy./
Author:	Jalil, Munir Andres.
Description:	111 p.
Notes:	Source: Dissertation Abstracts International, Volume: 65-08, Section: A, page: 3099.
Contained By:	Dissertation Abstracts International65-08A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3144340
ISBN:	0496027085

Essays on the effect of information on monetary policy.
Jalil, Munir Andres.

Essays on the effect of information on monetary policy. - 111 p.

Source: Dissertation Abstracts International, Volume: 65-08, Section: A, page: 3099.

Thesis (Ph.D.)--University of California, San Diego, 2004.

The work presented in this dissertation is the result of studying the decision making process of the Federal Open Market Committee (FOMC) and the banks. These two are key actors in the process that determines the level of the federal funds target and, consequently, the decisions that make the federal funds rate gravitate around this new target.

ISBN: 0496027085Subjects--Topical Terms:

626650
Economics, Finance.

Essays on the effect of information on monetary policy.
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245 1 0 $a Essays on the effect of information on monetary policy.
300 $a 111 p.
500 $a Source: Dissertation Abstracts International, Volume: 65-08, Section: A, page: 3099.
500 $a Chair: James D. Hamilton.
502 $a Thesis (Ph.D.)--University of California, San Diego, 2004.
520 $a The work presented in this dissertation is the result of studying the decision making process of the Federal Open Market Committee (FOMC) and the banks. These two are key actors in the process that determines the level of the federal funds target and, consequently, the decisions that make the federal funds rate gravitate around this new target.
520 $a Chapter One presents a literature review of the liquidity effect putting specific emphasis on the several attempts to prove its existence and quantify its magnitude. Chapter Two studies the existence of the liquidity effect in the context of the fed funds market and uses an institutionally motivated time-varying parameter model to predict a series of monetary aggregates relevant for the market in which the liquidity effect takes place. Using three different measures of monetary policy, two of an unanticipated change in the funds target and the change in the target itself, a negative correlation between the target change and what happens to three of the five corresponding reserve aggregates is found. The sign and magnitude of the finding for the target is consistent with the standard results from the literature regarding the liquidity effect. Nevertheless, these results are not replicated when using the proxies for unanticipated changes. Chapter Three studies how the FOMC uses the information it has to determine the monetary policy stance. In particular, it looks at how they assign weights to key pieces of information (such as inflation and GDP growth) and if those weights change over time. The findings show that during the 1970s a first attempt was made to respond to inflation but later policymakers seemed to have stopped trying. The change to a higher response to inflation was a gradual one and it reached its peak in 1982. After that, the response was consistent and although a little bit different depending on the type of data used, the variation was clearly along the lines of the Taylor principle. Also, estimation of an alternative specification in which the chairman and election years effects are explicitly included provides evidence in favor of time variation in the inflation coefficient regardless of the type of data used. The latter indicates that instability in the monetary policy reaction function is originated by reasons that go beyond the type of data used, who the Chairman of the FOMC is, and election years.
590 $a School code: 0033.
650 4 $a Economics, Finance. $3 626650
650 4 $a Economics, General. $3 1017424
650 4 $a Business Administration, Banking. $3 1018458
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710 2 0 $a University of California, San Diego. $3 1018093
773 0 $t Dissertation Abstracts International $g 65-08A.
790 1 0 $a Hamilton, James D., $e advisor
790 $a 0033
791 $a Ph.D.
792 $a 2004
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3144340