Three essays on the transmission of monetary policy to non-bank credit activity

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dc.contributor Enders, Walter
dc.contributor Ma, Jun
dc.contributor Underwood, Shane E.
dc.contributor Jackson, William E.
dc.contributor.advisor Reed, Robert R. Boulware, Karl David 2017-03-01T17:22:01Z 2017-03-01T17:22:01Z 2014
dc.identifier.other u0015_0000001_0001802
dc.identifier.other Boulware_alatus_0004D_11591
dc.description Electronic Thesis or Dissertation
dc.description.abstract This dissertation is composed of three essays that measure the impact of monetary policy on non-bank credit activity by issuer, composition, and duration. The first essay measures the dynamic impact of monetary policy on gross repurchase agreement activity of primary government dealers of the Federal Reserve System. The second essay measures the dynamic impact of monetary policy on commercial paper activity. The third essay measures the impact of monetary policy on issuers of asset-backed securities. In the first essay, we find a positive shock to the federal funds rate significantly affects the level of credit activity. In particular, repo arrangements longer than a day display persistent declines. By comparison, overnight financing increases after a delay. This implies that contractionary monetary policy shocks lead to maturity substitution in the repo market. Our findings show that credit activity in the repo market is more sensitive to monetary policy than previously reported in the literature. In the second essay, our measure of contractionary monetary policy shocks corresponds to a sharp decline in money market mutual fund assets. Though there is an increase in aggregate commercial paper volumes, the impact of monetary policy is stronger for issuers with less liquid balance sheets. Specifically, issuers of asset-backed paper and issuers with second tier credit ratings. Furthermore, there is evidence of a broad substitution towards shorter maturities, in particular for asset backed and nonfinancial paper. In the final essay, we find that an anticipated increase in the target for the federal funds rate impacts the behavior of ABS issuers. In particular, we find commercial paper issuance rises while bond issuance falls. Consequently, our results support the existence of a liquidity risk channel for monetary policy operating through the total supply of non-bank credit activity. In this manner, our findings indicate the monetary transmission mechanism contributes to systemic risk in the shadow banking system through rollover risk. As a result, non-bank credit activity is an important component of the relationship between monetary policy and financial stability.
dc.format.extent 177 p.
dc.format.medium electronic
dc.format.mimetype application/pdf
dc.language English
dc.language.iso en_US
dc.publisher University of Alabama Libraries
dc.relation.ispartof The University of Alabama Electronic Theses and Dissertations
dc.relation.ispartof The University of Alabama Libraries Digital Collections
dc.relation.hasversion born digital
dc.rights All rights reserved by the author unless otherwise indicated.
dc.subject.other Economics
dc.title Three essays on the transmission of monetary policy to non-bank credit activity
dc.type thesis
dc.type text University of Alabama. Dept. of Economics, Finance, and Legal Studies Economics (Business) The University of Alabama doctoral Ph.D.

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