Essays on the Nonlinear Transmission of Monetary Policy [before doctoral defense]

Kivonat, rövid leírás

This dissertation examines the nonlinear transmission of monetary policy through three essays. The first, coauthored with Tohid Atashbar (IMF), shows that across a panel of 30 economies, monetary policy curbs inflation considerably less effectively when economic uncertainty is high. Inflation responds less, while the response of output, remains largely unaffected, raising the sacrifice ratio of disinflation. The second studies US housing market imbalances and finds that while the real and financial impact of a monetary policy shock is only modestly state-dependent, the conduct of policy itself changes. Interest rates are eased more gradually following booms, consistent with policymakers weighing financial-stability considerations when managing deleveraging. The third turns to the US term structure and shows, using a dynamic location-scale model, that forward guidance systematically lowers the conditional volatility of Treasury yields while conventional rate surprises raise it. A secondary, distributional channel for monetary policy is established, through which it can promote macro-financial stability. Together, the essays suggest that evaluating monetary policy through average effects alone risks missing how uncertainty, financial imbalances, and higher-order moments shape both its effectiveness and its risks.