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This thesis consist of three chapters of which each investigates a topic from financial and monetary economics. In the first chapter a novel method to analyze the monetary policy of central banks is presented. In the second chapter (joint work with Professor Michael Binder, Goethe-University Frankfurt) the effects of conditional loan programs of the International Monetary Fund (IMF) on participating countries' output growth are investigated. In the third chapter (joint work with Professor Jan Pieter Krahnen, Goethe-University Frankfurt) a network model of interconnected bank balance sheets which gives rise to systemic risk is developed and used to analyze the implications of a bank levy related to banks' contribution to systemic risk. All three chapters give important insights to the policy design of macroeconomic institutions such as central banks, the IMF, and agencies charged with macroprudential supervision.
This dissertation contains three essays on monetary policy, dynamics of the interest rates and spillovers across economies. In the first essay I examine the effects of monetary policy and its interaction with financial regulation within a micro-founded macroeconometric framework for a closed economy with a heterogeneous banking system, facing a period of low interest rates. I analyse the interplay between monetary policy and banking regulation and study the role of agents’ expectations for the effectiveness of unconventional monetary policy tools. In the next essay, I argue that openness is crucial for understanding the dynamics of the term structure. In an empirical application, I show that my model of the term structure fits well the yield curve in-sample and has a sound ability to forecast interest rates out-of-sample. The model accounts for the expectations hypothesis, replicates the forward premium anomaly and reconciles the uncovered interest rate parity implications. The last essay is concerned with the dynamics of co-movement among macroeconomic aggregates and the degree of convergence or decoupling amongst economies. The model includes measures of financial and trade-based interdependencies and incorporates feedback between macroeconomic variables and time-varying weights. The findings point at the importance of asset price movements and financial linkages.