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Essays on sticky information and on bank lending channel :

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.

Bộ Sưu Tập : Luận văn Thạc Sĩ
Tác Giả Chính : Carrera, Cesar
Ngôn Ngữ : Eng,
Nơi Xuất Bản : United States : 2010 University of California, Santa Cruz,
Mô Tả Vật Lý : 152 p
Tóm Tắt : 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.
Chủ Đề : Banking, Finance, Lending institutions,
Tác giả bổ sung :
Số Kiểm Soát : 81701
Luận Văn : Essays on sticky information and on bank lending channel :
Tên File : 81701.pdf

Essays on sticky information and on bank lending channel :

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