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Three Essays in US Central Banking and Debt Management.
Three Essays in US Central Banking and Debt Management.
상세정보
- 자료유형
- 학위논문
- Control Number
- 0017163749
- International Standard Book Number
- 9798342109185
- Dewey Decimal Classification Number
- 519.54
- Main Entry-Personal Name
- Rigon, Lorenzo.
- Publication, Distribution, etc. (Imprint
- [S.l.] : Stanford University., 2024
- Publication, Distribution, etc. (Imprint
- Ann Arbor : ProQuest Dissertations & Theses, 2024
- Physical Description
- 153 p.
- General Note
- Source: Dissertations Abstracts International, Volume: 86-04, Section: A.
- General Note
- Advisor: Duffie, Darrell.
- Dissertation Note
- Thesis (Ph.D.)--Stanford University, 2024.
- Summary, Etc.
- 요약This thesis includes three chapters on the United States' central banking and public debt management policy. The main findings are that the US central bank today has surprising power over long-term real yields, which can however be reconciled with standard macroeconomic theory; that the abolition of the US central bank by a populist president in 1832 had a severe impact on financial stability; and that current US debt management mostly keeps the issuance of longer-term securities stable and predictable, regardless of the shortrun implications for interest costs.The first chapter focuses on the power of the Federal Reserve to influence long-term yields, and in particular to determine "r-star," the real risk-free short-term interest rate that is expected to prevail on average in the long run. R-star is an important quantity in macroeconomics and finance. Various measures of it have undergone a persistent decline since the early 1980's, and a vast literature has been written to provide evidence and explanations. My first contribution is to show that tight windows bracketing FOMC announcements account for the entire trend decline of a market-based measure of r-star since the early 1980s, sharpening a previous finding in the literature. My second contribution is to provide a theory to explain this phenomenon while simultaneously maintaining three desirable properties: long-run neutrality of the Fed on real growth and various "fundamentals" (preferences, technology, demographics), no superiority of the Fed's long-run forecasts, and rational expectations. This is achieved with an overlapping-generations model close to standard models. In this model, under a wide set of assumptions on fiscal policy, various ratios of macroeconomic variables can adjust to a different level of r-star, making an exogenous, unexpected, and permanent change in the real short-term rate theoretically admissible, and thus allowing for the Fed's power to set r-star. This theory is also empirically attractive. First, the model fits well and parsimoniously various averages summarizing the long-run equilibrium of the US economy in the 2010s. Second, the model implications survive a possible empirical falsification: if the macroeconomic adjustments implied by the observed changes in r-star were too large compared to their observed variability, then a statistician would reject the proposed adjustment mechanism as implausible. However, I show that the long-run adjustments implied through the model are small relative to the observed low-frequency variability in the last four decades, even for an empirically large change of r-star. This result supports the empirical plausibility of my explanation.The second chapter contributes to the academic debate on the effects of President Jackson's 1832 Bank Veto, which led to the shuttering of the US central bank of the time (the Second Bank of the United States, or "SBUS") between 1832 and 1836. Some scholars have argued that the wind down of the SBUS left more leeway for credit creation by private state-chartered banks, contributing to the 1832-36 boom in the western frontier and the subsequent Bank Panic in 1837. Others have argued that there was no causal relationship. I contribute to this debate with a new dataset and a more modern empirical technique, improving on Knodell (2006).
- Subject Added Entry-Topical Term
- Parameter estimation.
- Subject Added Entry-Topical Term
- Shock absorbers.
- Added Entry-Corporate Name
- Stanford University.
- Host Item Entry
- Dissertations Abstracts International. 86-04A.
- Electronic Location and Access
- 로그인을 한후 보실 수 있는 자료입니다.
- Control Number
- joongbu:657602
MARC
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■040 ▼aMiAaPQ▼cMiAaPQ
■0820 ▼a519.54
■1001 ▼aRigon, Lorenzo.
■24510▼aThree Essays in US Central Banking and Debt Management.
■260 ▼a[S.l.]▼bStanford University. ▼c2024
■260 1▼aAnn Arbor▼bProQuest Dissertations & Theses▼c2024
■300 ▼a153 p.
■500 ▼aSource: Dissertations Abstracts International, Volume: 86-04, Section: A.
■500 ▼aAdvisor: Duffie, Darrell.
■5021 ▼aThesis (Ph.D.)--Stanford University, 2024.
■520 ▼aThis thesis includes three chapters on the United States' central banking and public debt management policy. The main findings are that the US central bank today has surprising power over long-term real yields, which can however be reconciled with standard macroeconomic theory; that the abolition of the US central bank by a populist president in 1832 had a severe impact on financial stability; and that current US debt management mostly keeps the issuance of longer-term securities stable and predictable, regardless of the shortrun implications for interest costs.The first chapter focuses on the power of the Federal Reserve to influence long-term yields, and in particular to determine "r-star," the real risk-free short-term interest rate that is expected to prevail on average in the long run. R-star is an important quantity in macroeconomics and finance. Various measures of it have undergone a persistent decline since the early 1980's, and a vast literature has been written to provide evidence and explanations. My first contribution is to show that tight windows bracketing FOMC announcements account for the entire trend decline of a market-based measure of r-star since the early 1980s, sharpening a previous finding in the literature. My second contribution is to provide a theory to explain this phenomenon while simultaneously maintaining three desirable properties: long-run neutrality of the Fed on real growth and various "fundamentals" (preferences, technology, demographics), no superiority of the Fed's long-run forecasts, and rational expectations. This is achieved with an overlapping-generations model close to standard models. In this model, under a wide set of assumptions on fiscal policy, various ratios of macroeconomic variables can adjust to a different level of r-star, making an exogenous, unexpected, and permanent change in the real short-term rate theoretically admissible, and thus allowing for the Fed's power to set r-star. This theory is also empirically attractive. First, the model fits well and parsimoniously various averages summarizing the long-run equilibrium of the US economy in the 2010s. Second, the model implications survive a possible empirical falsification: if the macroeconomic adjustments implied by the observed changes in r-star were too large compared to their observed variability, then a statistician would reject the proposed adjustment mechanism as implausible. However, I show that the long-run adjustments implied through the model are small relative to the observed low-frequency variability in the last four decades, even for an empirically large change of r-star. This result supports the empirical plausibility of my explanation.The second chapter contributes to the academic debate on the effects of President Jackson's 1832 Bank Veto, which led to the shuttering of the US central bank of the time (the Second Bank of the United States, or "SBUS") between 1832 and 1836. Some scholars have argued that the wind down of the SBUS left more leeway for credit creation by private state-chartered banks, contributing to the 1832-36 boom in the western frontier and the subsequent Bank Panic in 1837. Others have argued that there was no causal relationship. I contribute to this debate with a new dataset and a more modern empirical technique, improving on Knodell (2006).
■590 ▼aSchool code: 0212.
■650 4▼aParameter estimation.
■650 4▼aShock absorbers.
■690 ▼a0501
■690 ▼a0629
■690 ▼a0454
■71020▼aStanford University.
■7730 ▼tDissertations Abstracts International▼g86-04A.
■790 ▼a0212
■791 ▼aPh.D.
■792 ▼a2024
■793 ▼aEnglish
■85640▼uhttp://www.riss.kr/pdu/ddodLink.do?id=T17163749▼nKERIS▼z이 자료의 원문은 한국교육학술정보원에서 제공합니다.
