ETD

Archivio digitale delle tesi discusse presso l'Università di Pisa

Tesi etd-01242021-180600


Tipo di tesi
Tesi di laurea magistrale
Autore
CARNEVALE, OMAR PIETRO
URN
etd-01242021-180600
Titolo
Monetary policy effectiveness in a low-interest environment: evidence from a factor-augmented VAR
Dipartimento
ECONOMIA E MANAGEMENT
Corso di studi
ECONOMICS
Relatori
relatore Prof. Moneta, Alessio
Parole chiave
  • Monetary Policy
  • interest-rates
  • factor-augmeted VAR
  • transmission mechanisms.
Data inizio appello
22/02/2021
Consultabilità
Completa
Riassunto
Nominal and real interest rates started declining in the eighties, with the Great Financial Crisis deepening the already declining trajectory. As conventional monetary policy transmission mechanisms rely on interest-rate management, it is of utmost importance to characterize the reasons for this unusual dynamic. From a policy perspective, one may also ask whether monetary policy exerts lower effectiveness when interest rates are persistently low. \\The aim of the present work is twofold. On the one hand, it presents a thorough survey of the literature accounting for the observed declining trajectory of the last forty years. On the other, it provides fresh evidence from a FAVAR estimated on two subsamples, corroborating the provision that lower-for-long interest rates impinge upon monetary policy effectiveness. To uncover the responsible causal mechanisms, a FAVAR estimated on a single sample ascertains the operation of a risk-taking channel of monetary policy.
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