Macroeconomic effects of monetary policy shocks: Credit and in ation expectation transmission channels.
Abstract
After the introduction, this thesis comprises three chapters that examine the monetary policy transmission channels in the European Union. The chapters focus on two channels of monetary policy transmission: credit supply and expectation channels including periods of unconventional monetary policy. Chapter 2 analyses the effects of a monetary policy shock on the euro area with a focus on disaggregated indication expectations. The key finding is that the responses of indication expectations in the euro area have become weaker in magnitude and less dispersed over time. There is evidence of convergence among consumer expectations after 2012 during the zero lower bound period. The responses of in inflation expectations after 2012 take more time to react (more than six quarters compared with the four quarters before 2008) and are weaker, on average, in the long run than the responses before 2008. The heterogeneity in the responses of EA countries and various demographic groups is substantially reduced after 2012 following the implementation of unconventional monetary policy. The determinants of the heterogeneity among countries are partly explained by the share of manufacturing and degree of unemployment protection. Chapter 3 finds a positive effect of the PSPP, a leading component of the ECB's monetary policy, on the volume of small loans received by SMEs, especially the smallest category of below 0.25 million euros, and small changes in the costs of borrowing. There is a corresponding change in SMEs' cost of borrowing perception estimated from the survey data. Using the fixed effects model and a panel of EU countries, I fi nd that an increase in the PSPP's monthly net purchases of 1% of GDP is associated with the volume of loans rising by 47 million for loans below 0.25 million euros, with the cost of borrowing falling by 174 basis points. Chapter 4 forecasts MFVAR, which has a lower root mean squared forecast error than a random walk forecast. This study extends the mixed frequency methodology into a new domain of survey variables and argues for their importance in tracking monetary policy transmission through the credit channel. In addition to short-term forecasts, I produce monthly estimates of the perception of economic activity obtained from the bank lending survey. The resulting monthly series for the survey variables capture the perceptions of economic activity from the perspective of bank managers. These forecasts of bank lending conditions can thus capture the drastic changes in lending conditions amid the sovereign debt crisis in the euro area ahead of the official quarterly release.
Authors
Skovorodov, VladislavCollections
- Theses [4222]