TitleEssays in interest rates, pension funds and monetary policy in emerging economies
NameHernandez Baez, Raul E. (author), Chang, Roberto (chair), Landon-Lane, John (internal member), White, Eugene (internal member), Cespedes, Luis (outside member), Rutgers University, Graduate School - New Brunswick,
Interest rates--Latin America,
DescriptionThis dissertation focuses on the importance of pension funds investments in explaining the evolution of interest rates, and the interaction between monetary policy and the real economy. Even though there is an extensive literature on the behavior of interest rates, very few studies explain how and why a fully funded pension system contributes to the downward path of interest rates observed during the last decade. Also, there’s very dynamic literature on non-linearities in monetary policy and the real economy, mostly as independent phenomena, but what if they can be explained simultaneously? Chapter 2 studies how a pension fund system can put downward pressure on interest rates in economies with shallow capital markets. Using data from Dominican Republic, the chapter analyzes how the term structure of the lending and deposit interest rates of domestic banks, that serve as the main destination of pension fund investments, have been affected by this inflow of financial resources and compares this effect with traditional macroeconomic factors. Both lending and deposit rates respond throughout the term structure to the investment of pension funds. The third chapter uses time series and panel data techniques to analyze the evolution of the key interest rates in Latin American countries in which the pension fund reform has been implemented. I focus my attention to the interest rate of the asset class that is weighted the most in the portfolio of pension fund institutions in Colombia, Dominican Republic, Mexico and Peru. Due to how the system creates incentives for the pension fund administrators to behave in similar fashion and the size of the funds under management, the pension fund system has been an important factor in the reduction of interest rates in the region. Chapter 4 studies that interaction between Phillips Curve, fiscal and monetary policy nonlinearities. A simple model is derived to show how Phillips Curve and fiscal policy nonlinearities interact and generate different types of nonlinearities in monetary policy, even if a central bank has quadratic preferences on inflation and output gap. Using data from Dominican Republic and comparing three types of nonlinearities studied frequently in the literature, we show that nonlinearities are important to explain particular episodes, and that, whenever possible, they should be study as an interdependent, rather than as single issue.
NoteIncludes bibliographical references
Noteby Raul E. Hernandez Baez
CollectionGraduate School - New Brunswick Electronic Theses and Dissertations
Organization NameRutgers, The State University of New Jersey
RightsThe author owns the copyright to this work.