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Three essays on unconventional monetary policies

Abstract : The thesis is organized in three research papers. The paper of the first chapter is: “Quantitative Easing and Excess Reserves”. The chapter 2 offers a paper named: “New Evidence on the Effects of Quantitative Easing”. The chapter 3 is a paper called: “State-contingent Forward Guidance”.“Quantitative Easing and Excess Reserves”: What are the impacts of a flush of interest-bearing excess reserves to the real economy? Surprisingly, the theoretical literature remains silent about this ques- tion. We address this issue in a newKeynesian model with various financial frictions and reserve requirements in the balance sheet of bankers. Modeling QE by the supply of excess reserves allows for endogenous changes in the relative supply of financial assets. We find that this mechanism is crucial to identify and disentangle between the portfolio balance, the credit and the asset prices channels of QE. Further, we demonstrate that the macroeconomic effects of QE are rather weak and mainly transmitted through the asset prices channel.“New Evidence on the Effects of Quantitative Easing”: Have the macroeconomic effects of QE programs been empirically overestimated? Using a large set of model specifications that differ in the degree of time-variation in parameters, the answer is yes. Our forecasting exercise suggests that it is crucial to allow for time-variation in parameters, but not for stochastic volatility. In an analysis of structural QE shocks, we find that QE1 had larger macroeconomic effects than QE2 and QE3, but much smaller than usually found in the literature.“State-contingent Forward Guidance”: In this paper, the impacts of a statecontingent forward guidance are assessed in a DSGE model with search and matching frictions. Under an Odyssean perspective, the commitment is found to have relatively low effects in the economy. This result tackles the so-called forward guidance puzzle. In addition, the simulations suggest that a statecontingent forward guidance is mainly transmitted by shifts in the expectations of inflation.
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  • HAL Id : tel-02468833, version 1


Valentin Jouvanceau. Three essays on unconventional monetary policies. Economics and Finance. Université de Lyon, 2019. English. ⟨NNT : 2019LYSE2061⟩. ⟨tel-02468833⟩



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