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Essays on unconventional monetary policy
Thesis (PhD)--University of Pretoria, 2019.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2019
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| _version_ | 1867613568673775616 |
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| access_status_str | Open Access |
| author2 | Viegi, Nicola |
| author_browse | Viegi, Nicola |
| author_facet | Viegi, Nicola |
| collection | Thesis |
| dc_rights_str_mv | © 2019 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Thesis (PhD)--University of Pretoria, 2019. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/71663 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:38:13.361Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/71663 Essays on unconventional monetary policy Viegi, Nicola u27428959@tuks.co.za Vermeulen, Cobus Cornelis UCTD Thesis (PhD)--University of Pretoria, 2019. Following the Global Financial Crisis of 2007 { 2010, central banks around the world were forced into unprecedented policy interventions to stabilise asset markets and prevent the global nancial system from collapsing. Because interest rates around the world were at historical lows, \conventional" interest rate policy was not an option. Central banks, led by the US Federal Reserve, resorted to \unconventional" monetary policies, rst to stabilise markets during the height of the crisis, and then to support the economic recovery thereafter. The distinguishing characteristic of these unconventional policies was that they involved direct intervention by central banks in long-term xed income markets, such as government bonds and agency debt. This thesis considers the theoretical channels through which central bank purchases of long-term securities could impact (i) bond yields, (ii) other domestic asset markets, and (iii) spillovers to foreign countries. The theory is then tested and evaluated against the empirical evidence. Based on the empirical results, a simple closed-economy DSGE model is constructed. The model captures and illustrates the transmission from central bank asset purchase shocks to the aggregate economy. The asset purchase shock is subsequently converted to an endogenous balance sheet rule. Simulations show that combining this unconventional (balance sheet) rule with a conventional (short-term interest rate) rule yields a superior policy mix than under the conventional rule alone. Finally, the closed-economy model is extended to an open-economy framework, within which a similar balance sheet rule is evaluated in the context of international capital ows. Again, the combination of the balance sheet and interest rate policy is found to yield a superior outcome than interest rate policy alone. The contribution of this thesis is twofold. It contributes to the understanding of the impact of central bank interventions in xed income markets on long-term yields, as well as the externalities and spillovers to other asset markets. Furthermore, this thesis develops a robust and versatile framework, which is intuitively easy to grasp, within which various aspects of central bank balance sheet policy could be investigated. This thesis' main conclusion is that unconventional monetary policy could complement conventional policy under normal market conditions, and that unconventional policy need not be restricted to crisis times only. TM2019 Economics PhD Unrestricted 2019-10-09T14:22:51Z 2019-10-09T14:22:51Z 19/09/03 2019 Thesis Vermeulen, CC 2019, Essays on unconventional monetary policy, PhD Thesis, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/71663> S2019 http://hdl.handle.net/2263/71663 en © 2019 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Essays on unconventional monetary policy |
| title | Essays on unconventional monetary policy |
| title_full | Essays on unconventional monetary policy |
| title_fullStr | Essays on unconventional monetary policy |
| title_full_unstemmed | Essays on unconventional monetary policy |
| title_short | Essays on unconventional monetary policy |
| title_sort | essays on unconventional monetary policy |
| topic | UCTD |
| url | http://hdl.handle.net/2263/71663 |