Three essays on the determinants of output, inflation and interest rates

Details

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State: Public
Version: After imprimatur
License: Not specified
Serval ID
serval:BIB_R_8626
Type
PhD thesis: a PhD thesis.
Collection
Publications
Institution
Title
Three essays on the determinants of output, inflation and interest rates
Author(s)
Mertens E.
Director(s)
Danthine J.-P.
Institution details
Université de Lausanne, Faculté des hautes études commerciales
Address
Administration BFSH1, 1015 Lausanne
Publication state
Accepted
Issued date
2007
Language
english
Number of pages
190
Abstract
Résumé:
Output, inflation and interest rates are key macroeconomic variables, in particular for monetary policy. In modern macroeconomic models they are driven by random shocks which feed through the economy in various ways. Models differ in the nature of shocks and their transmission mechanisms. This is the common theme underlying the three essays of this thesis. Each essay takes a different perspective on the subject: First, the thesis shows empirically how different shocks lead to different behavior of interest rates over the business cycle. For commonly analyzed shocks (technology and monetary policy errors), the patterns square with standard models. The big unknown are sources of inflation persistence. Then the thesis presents a theory of monetary policy, when the central bank can better observe structural shocks than the public. The public will then seek to infer the bank's extra knowledge from its policy actions and expectation management becomes a key factor of optimal policy. In a simple New Keynesian model, monetary policy becomes more concerned with inflation persistence than otherwise. Finally, the thesis points to the huge uncertainties involved in estimating the responses to structural shocks with permanent effects.
Create date
09/12/2009 10:53
Last modification date
05/06/2020 5:20
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