Refine
Document Type
- Doctoral Thesis (2)
Language
- English (2)
Has Fulltext
- yes (2)
Is part of the Bibliography
- no (2)
Keywords
- Aktienkurs (1)
- Geldpolitik (1)
- Leistungsbilanz (1)
- VARs (1)
- Vektor-autoregressives Modell (1)
- current account fluctuations (1)
- monetary policy (1)
- stock prices (1)
- technologische Schocks (1)
- technology shocks (1)
This dissertation consists of three essays, which study the relation between stock prices and the macroeconomy using vector autoregressions (VARs). The first essay focuses on the link between stock prices and the current account. I find that stock markets provide a channel, in addition to the traditional exchange rate channel, through which external balance for a country with a current account imbalance can be restored. The second essay explores the transmission of U.S. stock price shocks to real activity and prices in G-7 countries. I achieve identification by imposing a small number of sign restrictions on impulse responses, while controlling for monetary policy, business cycle and government spending shocks. The results suggest that stock price movements are important for fluctuations in G-7 real activity and prices, but do not qualify as demand side business cycle shocks. The third essay investigates the impact of monetary and technology shocks on the stock market. I find an important role for technology shocks, but not monetary shocks, in explaining variations in real stock prices. The identification method is flexible enough to study the effects of technology news shocks. The responses are consistent with the idea that news on technology improvements have an immediate impact on stock prices.
This dissertation consists of three essays, which study the implication of financial frictions in business cycles and monetary policy making. The first essay develops a Dynamic Stochastic General Equilibrium (DSGE) model to study how the instability of the banking sector can amplify and propagate business cycles. Model simulations show that in an economic down turn, in addition to credit demand contraction induced by low firm net worth, low bank capital
position can create strong credit supply contraction, and have a quantitatively significant effect on business cycle dynamics. The second essay studies the optimal Taylor-type monetary policy rules based on the model developed in the first chapter and find that with interest rate smoothing, 'leaning against the wind' can significantly dampen the procyclicality of financial distortions, and increase the welfare of the economy. The third chapter examines the role of households frugality in a financial crisis and finds that higher savings by more frugal households provide an important cushion for the fall in private investment funding.