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Essays in Applied Monetary and Financial Economics

Gavilan-Rubio, Miguel A (2019) Essays in Applied Monetary and Financial Economics. PhD thesis, University of Essex.

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PhD Thesis - Miguel Angel Gavilan-Rubio - May 2019.pdf - Accepted Version
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Abstract

This thesis presents three applied pieces of research on monetary and financial economics. Using new advances in multivariate time-series models, I investigate the effects of monetary policy in a) the real economy and b) the credit channel of monetary policy transmission. However, this methodology, in particular, the factor-augmented vector autoregression, is very flexible. It can be used to analyze dynamic systems, allowing researchers to analyze micro-markets and extract conclusions about their agents. This thesis presents (i) a quantitative assessment of the heterogeneous effects of the monetary policy across countries in a currency area, (ii) evidence of the time variation of the credit channel and (iii) the effects of the interactions among banks in a payment system on funding patterns.

Item Type: Thesis (PhD)
Additional Information: See also Gavilan-Rubio, M. and Alexandrova-Kabadjova, B. (2017). SPEI’s diary: econometric analysis of a dynamic network. Journal of Financial Market Infrastructures, 6(2/3), pp.93-119. https://doi.org/10.21314/JFMI.2018.090
Uncontrolled Keywords: Monetary policy, FAVAR, factor models, time series, macroeconomic policy, payment systems, financial markets
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Miguel Gavilan Rubio
Date Deposited: 10 May 2019 08:59
Last Modified: 10 May 2019 08:59
URI: http://repository.essex.ac.uk/id/eprint/24561

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