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This thesis aims to investigate the relationships between monetary policy and implied stock market volatility in the euro area. Both types of monetary policies (conventional and unconventional monetary policies) are considered though we put a particular highlight on QE when it comes to explore unconventional effects.
Our work aims to contribute to the growing literature which identifies structural monetary policy shocks from (intra-daily) financial market reactions to central bank announcements. We postulate, as do Jarociński and Karadi (2020), that monetary policy announcements simultaneously disseminate information on monetary policy and the central bank's assessment of the economic outlook. Based on this assumption, we capture and distinguish the respective effects of monetary policy (conventional and unconventional) separately from this information shock by imposing sign restrictions on these reactions of financial variables to the ECB's monetary policy decisions. In addition to this, we refine and distinguish conventional and unconventional monetary policy by imposing sign restrictions on the slope as Goodhead (2019) does. The responses to each shock on implied stock market volatility are then analysed through a VAR model which contains different interest rates measures (short and long), macroeconomic indicators and related stock market variables (Vstoxx and Euro Stoxx 50).
Although our results depend on the specification of the VAR and on the selection of variables, we can suggest from them that implied stock market volatility is particularly affected by the information that investors might receive from a central bank when it motivates its monetary policy decisions. In addition, our results tend to show some degree of pass-through where implied stock market volatility can notably be affected by stock prices and the level of interest rates. These results, although promising, should be taken with caution notably due to the low number of observations we have, their sensitivity to model specification and a possible misidentification of the structural shocks previously mentioned.

Monetary policy, --- Implied stock market volatility --- VAR --- sign-restrictions --- Sciences économiques & de gestion > Macroéconomie & économie monétaire --- Sciences économiques & de gestion > Finance

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Why are emerging economies excessively vulnerable to shocks to external funding? What was the role of financial flows from emerging to developed economies in setting the stage for the subprime crisis? This paper addresses these questions in a simple general equilibrium framework that emphasizes the aggregate implications of the misallocation of funds on the micro level. The analysis shows that the misallocation of funds amplifies volatility even in a closed economy. Financial integration between relatively distorted emerging economies and relatively undistorted developed economies leads to a further divergence in volatility, thereby providing a new and simple explanation for the divergent trends in output volatility up to the recent crisis. In the integrated environment, cheap funding leads to an endogenous deterioration of the financial system in developed economies. These predictions are consistent with a wide variety of microfoundations, in which distortions cause productive projects to be relatively more sensitive to aggregate shocks. The paper provides some empirical evidence for these microfoundations.

Banks & Banking Reform --- Debt Markets --- Economic Theory & Research --- Emerging market volatility --- Emerging Markets --- Financial crises --- Financial distortions --- Log supermodularity --- Macroeconomics and Economic Growth --- Markets and Market Access --- Matching --- The Great Moderation

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In the long view, recent grain price volatility is not anomalous. Wheat, rice, and maize are highly substitutable in the global market for calories, and when aggregate stocks decline to minimal feasible levels, prices become highly sensitive to small shocks, consistent with storage models. In this decade, stocks have declined due to high income growth and biofuels mandates. Recently, shocks including the Australian drought and biofuels demand boosts due to the oil price spike were exacerbated by a sequence of trade restrictions by key exporters beginning in the thin global rice market in the fall of 2007, which turned market anxiety into panic. To protect vulnerable consumers, countries intervened in storage markets and, if they were exporters, to limit trade access. Recognizing these realities, vulnerable countries are building strategic reserves. The associated expense and negative incentive effects can be controlled if reserves have quantitative targets related to the consumption needs of the most vulnerable, with distribution to the latter only in severe emergencies. More-ambitious plans manipulate world prices via buffer stocks or naked short speculation to keep prices consistent with fundamentals. Past interventions of either kind have been expensive, ineffective, and generally short-lived. Further, there is no significant evidence that prices do not reflect fundamentals, including export market access.

Access to Markets --- Commodity price --- Commodity prices --- Cost increases --- Domestic market --- Export market --- Free market --- International Economics & Trade --- International trade --- Macroeconomics and Economic Growth --- Market access --- Market price --- Market prices --- Market volatility --- Marketing --- Markets and Market Access --- Petroleum prices --- Price changes --- Price fluctuations --- Price increases --- Price risk --- Price volatility --- Stocks --- Volatility

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The Special Safeguard Mechanism was a key issue in the July 2008 failure to reach agreement in the World Trade Organization negotiations under the Doha Development Agenda. It includes both price and quantity-triggered measures. This paper uses a stochastic simulation model of the world wheat market to investigate the effects of policy makers implementing policies based on the Special Safeguard Mechanism rules. As expected, implementation of the quantity-triggered measures is found to reduce imports, raise domestic prices, and boost mean domestic production in the Special Safeguard Mechanism regions. However, rather than insulating countries that use it from price volatility, it would actually increase domestic price volatility in developing countries, largely by restricting imports when domestic output is low and prices high. This paper estimates that implementation of the quantity-triggered measures would shrink average wheat imports by nearly 50 percent in some regions, with world wheat trade falling by 4.7 percent. The price measures discriminate against low price exporters - many of whom are developing countries - and tend to increase producer price instability.

Access to Markets --- Average price --- Climate Change Economics --- Competitiveness --- Domestic markets --- Emerging Markets --- International Economics and Trade --- International markets --- Macroeconomics and Economic Growth --- Market price --- Market volatility --- Markets and Market Access --- Price adjustment --- Price comparison --- Price variation --- Price volatility --- Private Sector Development --- Producer price --- Producer prices --- Sale --- Substitution --- Supplier --- Suppliers --- Supply curve --- Supply curves --- Trade Policy --- World market --- World markets

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The global financial crisis has already led to sharp downturns in the developing world. In the past, international aid has been able to offset partially the effects of crises that began in the developing world, but because this crisis began in the wealthy countries, donors may be less willing or able to increase aid in this crisis. Not only have donor-country incomes fallen, but the cause of the drop - the banking and financial-sector crisis - may exacerbate the effect on aid flows because of its heavy fiscal costs. This paper estimates how donor-country banking crises have affected aid flows in the past, using panel data from 24 donor countries between 1977 and 2007. The analysis finds that banking crises in donor countries are associated with a substantial additional fall in aid flows, beyond any income-related effects, perhaps because of the high fiscal costs of crisis and the debt hangover in the post-crisis periods. In most specifications, aid flows from crisis-affected countries fall by an average of 20 to 25 percent (relative to the counterfactual) and bottom out only about a decade after the banking crisis hits. In addition, the results confirm that donor-country incomes are robustly related to per-capita aid flows, with an elasticity of about 3. Because all donor countries are being hit hard by the current global recession, and several have also suffered banking-sector crises, there are reasons to expect that aid could fall by a significant amount (again, relative to the counterfactual) in the coming years - just when aid may be most clearly justified to help smooth exogenous shocks to developing countries.

Banks & Banking Reform --- Capita income --- Debt Markets --- Development Economics & Aid Effectiveness --- Domestic needs --- Economic conditions --- Economic Conditions and Volatility --- Economic downturns --- Economic outlook --- Economic uncertainty --- Finance and Financial Sector Development --- Financial conditions --- Financial crises --- Financial volatility --- Income --- Income levels --- Inflation --- International country risk guide --- International monetary fund --- Labor Policies --- Macroeconomics and Economic Growth --- Market volatility --- Per capita income --- Social Protections and Labor --- Standard errors --- Systemic banking crises --- Transition economies