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Three Essays on Monetary Policy


This dissertation studies the identification of monetary policy and the effects of monetary policy on the macroeconomy.

Chapter 1 provides a new methodology to identify monetary policy shock. Federal Reserve announcements contain information about both economic fundamentals and monetary policy. My paper proposes to disentangle the information effects using Federal Reserve's forecasts about the macroeconomy and constructs a new measure of monetary policy shocks. The new shock series is consistent with the traditional view.

Chapter 2 investigates the effects of unconventional monetary policy when the nominal interest rate reaches the zero lower bound. There are two types of monetary policy, i.e. forward guidance and large-scale asset purchases. I identify the separate contributions of each monetary policy shock to the effects on yield curve and macroeconomy.

Chapter 3 studies the effects of monetary policy on the household behavior. I look at how households with heterogeneous balance sheet composition would make their decisions in response to monetary policy interventions, and to what extent and this could affect the aggregate economy. I provide empirical analysis using household-level data, and document empirical stylized facts that can be used to evaluate different theoretical transmission channels of monetary policy.

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