Tiago Santana Tristão.
03/11/2017
Orientador: Carlos Viana de Carvalho.
Banca: Diogo Abry Guillén. Marcelo Medeiros. Marco Bonomo. Ruy Monteiro Ribeiro.
Nível: Doutorado
This thesis consists of three papers. In the first one, we study the endogeneity bias on Taylor rule estimation. We show that monetary policy shocks explain only a small fraction of inflation and the output gap. Hence the endogeneity bias is small. We show analytically in the 3-equation NK model that the asymptotic bias is a function of the fraction of the variance of endogenous variables accounted for by monetary policy shocks. We use Monte Carlo methods to show that this result survives in larger DSGE models. In the second paper, we estimate a DSGE model to assess the effects of forward guidance in a framework with endogenous time-varying price of risk. We investigate how forward guidance impacts the term structure of interest rates, and document how different monetary policy news can impact macroeconomic variables. We find that forward guidance, through isolated news shocks, has limited impact on long term rates, and our results suggest that the "forward guidance puzzle" cannot be eliminated even within a framework in which forward guidance has limited impact on long term rates. Finally, in the third paper, we exploit information from changes in the yield curve to identify monetary news shocks in a macro-financial DSGE model constrained by ZLB. We find evidence that the standard macro-financial model is not able to satisfactorily recover monetary policy news shocks.
