Essays on Time Series Analysis of Monetary Policy

This dissertation studies the industry impacts of unconventional monetary policy in the US, the UK, and Japan, and the international comovements of the natural rate of interest for the G7 countries using Bayesian time series approaches. In Chapters 1 and 2, using vector autoregressive models with both individual and joint industry level estimations, I show that industry level output responses to unconventional monetary policy are overall similar to those found in the literature of conventional monetary policy. This provides evidence of "substitutability" of conventional and unconventional monetary policy. In Chapter 3, I show a decline and synchronization of the natural rate of interest across the G7 countries using a multi-country state space model. These findings from this dissertation provide new insights into conducting monetary policy optimally in a low interest rate world.

Author

• Goto, Eiji

Language

• en

Keyword

• Monetary transmission mechanism
• State space model
• Industry output
• Decomposition
• The natural rate of interest
• Unconventional monetary policy

Date created

• 2020

Type of Work

• Dissertation

License

• All rights reserved

Rights statement

• In Copyright

GW Unit

• Economics

Degree

• Ph.D.

Advisor

• Sinclair, Tara M

Committee Member(s)

• Joutz, Frederick L
• Samaniego, Roberto M
• Sahm, Claudia R
• Bradley, Michael D

Persistent URL

•  https://scholarspace.library.gwu.edu/etd/n296wz88z