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dc.contributor.advisorGürkaynak, Refet S.
dc.contributor.authorAkkaya, Yıldız
dc.date.accessioned2016-01-08T20:20:49Z
dc.date.available2016-01-08T20:20:49Z
dc.date.issued2014
dc.identifier.urihttp://hdl.handle.net/11693/18607
dc.descriptionAnkara : The Department of Economics İhsan Doğramacı Bilkent University, 2014.en_US
dc.descriptionThesis (Ph.D.) -- Bilkent University, 2014.en_US
dc.descriptionIncludes bibliographical references leaves 76-80.en_US
dc.description.abstractThis dissertation consists of three essays on forward guidance, central bank verbal guidance on future policy rates, and shows how economies respond to it both theoretically and empirically. In the first essay the effects of forward guidance on real economy through interest rate uncertainty is studied as explicit numerical guidance lowers the uncertainty around future interest rates. To analyze the effects of such a policy a New Keynesian model framework incorporating interest rate uncertainty is developed. The results show that a decrease in the uncertainty of interest rates is expansionary in its own right, independent of the level of interest rates the central bank commits to. Thus, distinct from the literature, a new channel for the effectiveness of forward guidance is suggested. The second essay studies the question of whether the optimal amount of interest rate uncertainty is always zero, or whether monetary policy makers may benefit from an increase in the uncertainty. For this purpose a two-country open economy New Keynesian model with interest rate uncertainty is developed, and the effects of interest rate uncertainty on capital flows and exchange rates are studied. The results emphasize that the impact of an increase in the volatility of interest rate mimics the impacts of an increase in the level of the interest rate, and this suggests that uncertainty about the policy rate path can be used by the central bank as a policy tool. The third essay is empirical, and analyses the sensitivity of the interest rates of various maturities to monetary policy uncertainty, which depends on the language used in the monetary policy statements. To measure market responses to the announcements, I first calculate monetary policy surprises and uncertainty surprises by using Federal Funds Futures and Eurodollar Options, respectively. In the event-study analysis it is shown that the reduction in the variability of monetary policy rate expectations due to the explicit content of the statements, has significant effect on the long-term treasury notes.en_US
dc.description.statementofresponsibilityAkkaya, Yıldızen_US
dc.format.extentxiii, 88 leaves, tables, graphicsen_US
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectForward guidanceen_US
dc.subjectMonetary policyen_US
dc.subjectVolatility shocksen_US
dc.subjectNew Keynesian modelsen_US
dc.subjectMonetary policy surprisesen_US
dc.subjectEvent study methodologyen_US
dc.subject.lccHG230.3 .A35 2014en_US
dc.subject.lcshMonetary policy.en_US
dc.subject.lcshInterest rates.en_US
dc.subject.lcshBanks and banking, Central--Econometric models.en_US
dc.subject.lcshKeynesian economics.en_US
dc.titleEssays on forward guidanceen_US
dc.typeThesisen_US
dc.departmentDepartment of Economicsen_US
dc.publisherBilkent Universityen_US
dc.description.degreePh.D.en_US


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