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Essays on sticky information and on bank lending channel.

机译：关于粘性信息和银行借贷渠道的文章。

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摘要

One of the most important structural relationships for policy makers is the Phillips curve; as a result, there is an extensive literature focused on its properties, proposing alternative theoretical approaches and different strategies for its estimation. The Mankiw and Reis (2002) proposal of sticky information about macroeconomic conditions has become an alternative to sticky price models regarding the treatment of information, the estimation of the Phillips curve, and a set up in general equilibrium models for evaluating monetary policy. In Essay One, I estimate a sticky information Phillips curve for each OECD country following Khan and Zhu (2006) and document the period of time that firms need to update their information set. I find evidence that in countries with higher inflation, higher inflation volatility, or higher output gap volatility, the degree of information stickiness is lower. This evidence suggests a degree of endogeneity of the slope of the Phillips curve which is consistent with state-contingent inflation processes.;The slope of the sticky information Phillips curve is based on the degree of information rigidity on the part of the firms. Carroll (2003) uses an epidemiology model of expectations and finds evidence for the U.S. of a one year lag in the transmission of information from professional forecasters to households. Using financial institutions and firms' survey data from Peru and the model proposed by Carroll, in Essay Two, I estimate the degree of information rigidity. This essay also considers heterogeneous responses and explores the cross-section dimension of these survey forecasts. I find that the degree of information stickiness ranges between one and three quarters, a result that is robust to different specifications.;In the past decade, the Peruvian economy has experienced important structural changes regarding monetary policy. Those changes have affected the effectiveness of central bank's mechanisms of transmissions. The Essay Three objectives of are the identification of the bank lending channel as part of the transmission process to economic activity based on Bernanke, Gertler, and Gilchrist (1996) flight-to-quality argument and the evaluation of its effectiveness for transmission. For identification, I use a panel of bank level data, and for effectiveness, I use structural VARs in which two scenarios are considered: (i) with an operating bank lending channel and (ii) without this channel. I conclude that the bank lending channel has operated but this channel is not important as a mechanism of transmission to macroeconomic activity.
机译：决策者最重要的结构关系之一就是菲利普斯曲线。结果，有大量关于它的特性的文献，提出了替代的理论方法和不同的估计方法。 Mankiw和Reis（2002）提出的有关宏观经济状况的粘性信息的建议已成为有关信息处理，菲利普斯曲线估计以及为评估货币政策而建立的一般均衡模型的粘性价格模型的替代方法。在第一篇论文中，我估计了按照Khan and Zhu（2006）的每个经合组织国家的粘性信息菲利普斯曲线，并记录了企业更新信息集所需的时间。我发现有证据表明，在通货膨胀率较高，通货膨胀率波动较大或产出缺口波动率较高的国家，信息粘性程度较低。该证据表明菲利普斯曲线斜率的内生性程度与状态或然的通货膨胀过程相一致。粘性信息菲利普斯曲线的斜率基于企业部分信息的刚性程度。卡洛尔（2003）使用预期的流行病学模型，发现美国从专业预报员向家庭传输信息的时间滞后一年的证据。在第二篇文章中，使用秘鲁的金融机构和公司的调查数据以及Carroll提出的模型，我估计了信息刚性的程度。本文还考虑了异构响应，并探讨了这些调查预测的横截面维度。我发现信息粘性的程度介于四分之三到四分之三之间，这对于不同的规范是有力的。在过去的十年中，秘鲁经济在货币政策方面经历了重要的结构性变化。这些变化影响了中央银行的传导机制的有效性。论文的三个目标是根据伯南克，格特勒和吉尔克里斯特（1996）的“以质量为导向”的论点，确定银行借贷渠道作为经济活动传递过程的一部分，并评估其传递有效性。为了进行识别，我使用了一组银行级别的数据，并且为了有效性，我使用了结构化VAR，其中考虑了两种情况：（i）具有运营银行贷款渠道，以及（ii）没有该渠道。我得出的结论是，银行借贷渠道已经开始运作，但该渠道作为向宏观经济活动转移的机制并不重要。

著录项

  • 作者

    Carrera, Cesar.;

  • 作者单位

    University of California, Santa Cruz.;

  • 授予单位 University of California, Santa Cruz.;
  • 学科 Economics Finance.;Business Administration Banking.
  • 学位 Ph.D.
  • 年度 2010
  • 页码 138 p.
  • 总页数 138
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

  • 入库时间 2022-08-17 11:36:56

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