Date of Award
Doctor of Philosophy (PhD)
Gerald P. Dwyer
Robert F. Tamura
Michal M. Jerzmanowski
Scott L. Baier
The first chapter of this dissertation addresses the impacts of monetary policy shocks on bank lending behavior in the United States and the role recessions play through a risk taking transmission mechanism. I employ a vector autoregression (VAR) identified with sign and zero restrictions to simulate a monetary policy shock implemented by the Federal Reserve consistent with the economic theory suggesting unconventional monetary policy measures. I find that banks respond to expansionary monetary policy shocks by taking additional risk through lowering lending standards, however banks still experience a compression in lending margins, indicating little success in their efforts to stabilize reductions in profits. I also include a number of counterfactual interest rates to allow Fed policy rates to reflect negative interest rate policies to compare monetary policy shocks across the conventional and unconventional monetary policy regimes in a consistent manner. I find that banks take less risk in the unconventional monetary policy regime relative to the conventional regime, however they experience a larger reduction in lending margins relative to the pre-Financial Crisis period. Use of a forecast error variance decomposition indicates the risk channel played a larger role in the post-Financial Crisis period, carrying implications for Fed policy in considering this particular transmission mechanism in unconventional monetary policy measures.
The second chapter of this dissertation addresses the foreign central bank responses of 12 advanced economies and 12 emerging market economies to United States unconventional monetary policy shocks identified by a combination of sign and zero restrictions in a global vector autoregression (GVAR) framework. I find foreign central banks follow in kind with United States unconventional monetary policy measures, such as Quantitative Easing, in order to offset undesirable spillover effects. My results also indicate that United States Quantitative Easing plays a more substantial role in determining monetary easing conditions in emerging markets than in advanced economies. Additionally, I find foreign central banks with inflation targeting or floating exchange rate policies tend to follow a United States Quantitative Easing shock with more stable monetary policy responses, with larger increases in output than non-inflation targeting or managed exchange rate regimes. My results are robust to various changes in the specifications and identifying restrictions.
The third chapter was written with Dr. Robert F. Tamura. We introduce a novel data set to empirically test a dynamic, dynastic human capital model developed by Tamura, Simon, and Murphy (2016), yielding predictions of the relative efficiency of school for black and white students during the Jim Crow era. By providing measures developed within the data set, we can test the parametrizations of key variables with respect to access to education calibrated within the model. Our results suggest that the model accurately describes the key educational values generated by the model, and confirms the results of the theoretical framework developed by Tamura, Simon, and Murphy (2016) in that blacks faced substantially higher marginal costs of education relative to whites as a result of the lack of equal per-pupil expenditures allocated at the state level during segregation, lower levels of human capital accumulation of African American parents relative to white parents, and the disparity of income across both races. This paper contributes to the literature by presenting a novel data set regarding expenditures per pupil for white and African American students for the years 1890-1960, and also confirming the fit of the model developed by Tamura, Simon, and Murphy (2016).
Choquette, Jeremy Worthington, "Three Papers in Applied Macroeconomics" (2020). All Dissertations. 2646.