Date of Award

May 2019

Document Type


Degree Name

Doctor of Philosophy (PhD)



Committee Member

Gerald P Dwyer

Committee Member

Robert Tamura

Committee Member

Michal Jerzmanowski

Committee Member

Scott Baier


This dissertation includes three chapters. The first chapter investigates the impact of the Federal Reserve’s balance sheet

normalization using a Bayesian vector autoregression (BVAR) framework. I use counterfactual conditional forecasts to find that a reduction in asset holdings down to a level where the federal funds market is active again will reducereal GDP growth by an average of 0.18 percent per year and core inflation by a non-significant average of 0.07 percent per year under Quantitative Tightening, relative to a scenario where the Federal Reserve maintains a constant dollar amount of assets until 2024.

The second chapter models monetary policy using Taylor’s rule for the nominal interest-rate target and examines the difference between the actual Federal Funds Rate and the Taylor Rule model of behavior for distinct structural changes. Both a simple factor ANOVA and regime switching methods find that there were “tight” or “loose” regimes in U.S. monetary policy over the period 1965 to 2008. However, after accounting for the change in inflation measurement from CPI to PCE and then core PCE after 2004, Alan Greenspan’s tenure from 2003 to 2006 is consistent with his earlier symmetric deviations from the Taylor Rule.

The final chapter examines the volatility of Bitcoin exchange rates which have gained a great deal of attention since the creation of the currency. Standard measures of volatility reflect the dramatic change in the Bitcoin/US dollar exchange rate, from about $0.05 USD in 2010 to the neighborhood of $20,000 USD at the end of 2017, and down to around $5,000 USD in mid-2019. Characterizing the short-term and long-term volatility gives an impression of the volatility of Bitcoin compared to other assets, as well as implying the viability

of Bitcoin as a medium of exchange and alternative asset.



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