The Resource Essays on macro financial linkages, Angela Abate

Essays on macro financial linkages, Angela Abate

Label
Essays on macro financial linkages
Title
Essays on macro financial linkages
Statement of responsibility
Angela Abate
Creator
Contributor
Subject
Language
eng
Summary
The first chapter, joint with Dominik Thaler, is a New Keynesian model of how monetary policy can influence the risk-taking behaviour of banks. Lower interest rates change bank incentives, making them prefer riskier investments. This mechanism alters the tradeoff faced by the monetary authority, affecting optimal policy conduct. After estimating the model, we find that the monetary authority should react less aggressively to inflation, trading off more inflation volatility in exchange for less financial market distortions. The second chapter, written with Prof. Massimiliano Marcellino, investigates whether modelling parameter time variation and stochastic volatility improves the forecasts of three major exchange rates vis-a-vis the US dollar. We find that modelling time-varying volatility significantly refines the estimation of forecast uncertainty through an accurate calibration of the entire forecast distribution at all forecast horizons. Similar empirical tools are employed in the third chapter, where I show that the inclusion of default risk and risk aversion measures improves the forecasts of key activity and banking indicators. The bulk of forecast improvement takes place during the 2001 and 2008 recessions, when credit constraints were arguably binding. A structural VAR further reveals that an unexpected credit spread increase in 2010 causes an output contraction that lasts for about two years, and explains up to 35% percent of output variation. The final project, joint with Sandra Eickmeier, Prof. Massimiliano Marcellino and Wolfgang Lemke, investigates the changing international transmission of financial shocks over 1971-2012. A time-varying parameter FAVAR shows that global financial shocks, measured as unexpected changes in a US financial condition index, strongly impact growth in the nine countries considered. In addition, financial shocks in 2008 explain approximately 20% of the GDP growth variation in the 9 countries, as opposed to an average of 5% percent before the crisis
Cataloging source
FIE
http://library.link/vocab/creatorName
Abbate, Angela
Date time place
Defence date: 14 January 2016
Dewey number
338.542
Dissertation note
Thesis (Ph. D.)--European University Institute (ECO), 2016.
Index
no index present
Literary form
non fiction
Nature of contents
theses
http://library.link/vocab/relatedWorkOrContributorName
European University Institute
Series statement
  • EUI PhD theses.
  • EUI theses
http://library.link/vocab/subjectName
  • Banks and banking, Central
  • Monetary policy
  • Financial crises
Label
Essays on macro financial linkages, Angela Abate
Link
http://hdl.handle.net/1814/38454
Instantiates
Publication
Note
Examining Board: Professor Massimiliano Marcellino, Bocconi University and EUI, Supervisor; Professor Fabio Canova, EUI and BI Norwegian Business School; Professor Dimitris Korobilis, University of Glasgow; Doctor Emanuel Mönch, Deutsche Bundesbank
Bibliography note
Includes bibliographical references (pages 125-137)
Control code
FIEb17805272
Dimensions
30 cm.
Extent
vii, 142 pages
Other physical details
illustrations
System control number
(OCoLC)937549283
Label
Essays on macro financial linkages, Angela Abate
Link
http://hdl.handle.net/1814/38454
Publication
Note
Examining Board: Professor Massimiliano Marcellino, Bocconi University and EUI, Supervisor; Professor Fabio Canova, EUI and BI Norwegian Business School; Professor Dimitris Korobilis, University of Glasgow; Doctor Emanuel Mönch, Deutsche Bundesbank
Bibliography note
Includes bibliographical references (pages 125-137)
Control code
FIEb17805272
Dimensions
30 cm.
Extent
vii, 142 pages
Other physical details
illustrations
System control number
(OCoLC)937549283

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