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MONETARY POLICY AND THE TERM STRUCTURE OF INTEREST
RATES
by
Maria Eleni Athanasopoulou
|||||||||||||||||||||||||||||||{
A Dissertation Presented to the
FACULTY OF THE GRADUATE SCHOOL
UNIVERSITY OF SOUTHERN CALIFORNIA
In Partial Ful llment of the
Requirements for the Degree
DOCTOR OF PHILOSOPHY
(ECONOMICS)
August 2008
Copyright 2008 Maria Eleni Athanasopoulou
Object Description
| Title | Monetary policy and the term structure of interest rates |
| Author | Athanasopoulou, Maria Eleni |
| Author email | m.athanaso@gmail.com; athanaso@usc.edu |
| Degree | Doctor of Philosophy |
| Document type | Dissertation |
| Degree program | Economics |
| School | College of Letters, Arts and Sciences |
| Date defended/completed | 2008-05-21 |
| Date submitted | 2008 |
| Restricted until | Unrestricted |
| Date published | 2008-08-07 |
| Advisor (committee chair) | Magill, Michael |
| Advisor (committee member) |
Farmer, Roger Dekle, Robert |
| Abstract | There are two separate literatures studying the bidirectional relationship between monetary policy and the term structure of interest rates: the New Keynesian Monetary models and the Affine Term Structure models. This study presents four essays that analyze the interaction between the yield curve and the monetary policy utilizing and marrying both frameworks.; Chapter 2 utilizes an affine term structure model in order to answer a simple but challenging question: can real time macroeconomic and policy information tell us anything about the yield curve movements? The main finding is that indeed macroeconomic data releases and policy announcements explain persistent jumps in the euro area yield curve.; Chapter 3 develops an affine term structure model that the ECB's policy rate is modeled as a jump diffusion with a predetermined timing of the jumps that coincide with the actual Governing Council meeting days. The message reflected in the results is that the policy rate is indeed an important driving factor of the term structure of the yield curve, while the information contained in the yield curve vastly improves the accuracy of the estimated policy rule.; Chapter 4 presents a novel extension of the New Keynesian Monetary model that the central bank intervenes at regular points in time. Moreover, it presents an estimation technique which utilizes an information structure with more than one frequency. The empirical results suggest that the presence of the non-intervention subperiods force the central bank to over-respond to inflation; the lack of information on output during subperiods leads to lower estimates for the policy rule's response to output which indicates that the CB gives less weight to the unobservable information.; Chapter's 5 main contribution is that it extends the periodic New Keynesian model introduced in Chapter 4 in order to account for the information-rich environment delivered by the yield curve and focuses on identifying the effects that the term structure of interest rates and the seasonal central bank intervention have on the NK model. The empirical results indicate the term structure information identifies a more conservative policy rule in terms of inflation responses, and more aggressive, in terms of output responses. |
| Keyword | term structure; interest rates; monetary policy |
| Language | English |
| Part of collection | University of Southern California dissertations and theses |
| Publisher (of the original version) | University of Southern California |
| Place of publication (of the original version) | Los Angeles, California |
| Publisher (of the digital version) | University of Southern California. Libraries |
| Provenance | Electronically uploaded by the author |
| Type | texts |
| Legacy record ID | usctheses-m1555 |
| Rights | Athanasopoulou, Maria Eleni |
| Repository name | Libraries, University of Southern California |
| Repository address | Los Angeles, California |
| Repository email | http://www.usc.edu/isd/libraries/services/ask_a_librarian/email/ |
| Filename | etd-Athanasopoulou-2107 |
| Archival file | uscthesesreloadpub_Volume26/etd-Athanasopoulou-2107.pdf |
Description
| Title | Page 1 |
| Full text | MONETARY POLICY AND THE TERM STRUCTURE OF INTEREST RATES by Maria Eleni Athanasopoulou { A Dissertation Presented to the FACULTY OF THE GRADUATE SCHOOL UNIVERSITY OF SOUTHERN CALIFORNIA In Partial Ful llment of the Requirements for the Degree DOCTOR OF PHILOSOPHY (ECONOMICS) August 2008 Copyright 2008 Maria Eleni Athanasopoulou |
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