Essays in Macroeconomics

Falagiarda, Matteo (2014) Essays in Macroeconomics, [Dissertation thesis], Alma Mater Studiorum Università di Bologna. Dottorato di ricerca in Economia, 25 Ciclo. DOI 10.6092/unibo/amsdottorato/6296.
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The dissertation consists of four papers that aim at providing new contributions in the field of macroeconomics, monetary policy and financial stability. The first paper proposes a new Dynamic Stochastic General Equilibrium (DSGE) model with credit frictions and a banking sector to study the pro-cyclicality of credit and the role of different prudential regulatory frameworks in affecting business cycle fluctuations and in restoring macroeconomic and financial stability. The second paper develops a simple DSGE model capable of evaluating the effects of large purchases of treasuries by central banks. This theoretical framework is employed to evaluate the impact on yields and the macroeconomy of large purchases of medium- and long-term government bonds recently implemented in the US and UK. The third paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. The empirical results are derived from both an event-study analysis and a GARCH model, which uses Italian long-term bond futures to disentangle expected from unexpected policy actions. The fourth paper proposes a DSGE model with an endogenous term structure of interest rates, which is able to replicate the stylized facts regarding the yield curve and the term premium in the US over the period 1987:3-2011:3, without compromising its ability to match macro dynamics.

Tipologia del documento
Tesi di dottorato
Falagiarda, Matteo
Dottorato di ricerca
Scuola di dottorato
Scienze economiche e statistiche
Settore disciplinare
Settore concorsuale
Parole chiave
Banks, leverage, DSGE models, Basel Accords, unconventional monetary policies, quantitative easing, asset prices, central bank communications, European sovereign debt crisis, event-study, GARCH models, term structure of interest rates
Data di discussione
9 Giugno 2014

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