The impact and transmission channels of monetary policy: New evidence from United States and United Kingdom time series data

摘要

What is the impact of monetary policy actions on real activity? The first chapter uses time series data from the United States and the United Kingdom to address this question. I first look at oil shocks and try to distinguish the direct effect of these shocks on the economy from the effect induced by the reaction of monetary policy. The results indicate that monetary policy played a crucial role in propagating oil shocks. However, it is difficult to capture this role by using the VAR methodology, which is frequently used in the literature on policy analysis. I then look at the interaction of monetary policy and macroeconomic variables between a "leader" country (e.g. the U.S.) and a "follower" country (e.g. the U.K.). I find that monetary policy in a "leader" country influences monetary policy and output in "follower" countries.;The second chapter focuses on the channels through which monetary policy actions are transmitted. I first compare the response of bank balance sheet variables to monetary policy shocks in the United Kingdom across two different monetary policy regimes, and between domestic and foreign banks. I find evidence consistent with the existence of a bank lending channel. I then compare the behavior of bank lending to different categories of borrowers (specifically to manufacturing firms and households) following a monetary tightening, and find that it is significantly different. I test for robustness of this results by extending the analysis to other sources of funds and to other types of shocks.;The third chapter addresses the question of whether monetary policy decisions can influence output by directly affecting firms' liquidity. The comparison the reaction of different components of corporate income following contractionary monetary policy shocks, shows an inverse relationship between net interest payments induced by the policy shocks and profits. Further evidence on this relationship is obtained by comparing the reaction of net interest payments and profits across different corporate sectors. I conclude that monetary policy can affect company liquidity by influencing net interest payments.