Browsing by Author "Matt Holt, Committee Member"

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Banking Structure and The Effect of Monetary Policy on Bank Lending.
(2005-08-11) Termos, Ali A; John Seater, Committee Member; John Lapp, Committee Member; Matt Holt, Committee Member; Douglas K. Pearce, Committee Chair
This dissertation examines the role of bank structure on the effectiveness of monetary policy. Using time series data for U.S. banks, I examine the varying effect of monetary policy on bank lending for the period 1976-2003. It is found that as the banking industry gets more concentrated (through mergers and acquisitions), the effect of monetary policy transmission (through open market operations) is being mitigated. That was the result of the deregulation of the banking sector that took place in the first half of the 1990s which led to an unprecedented wave of consolidation in the banking sector. Then I investigate the lending channel evidence at the bank level. That is, how important is the cross-sectional differences in the way that banks with varying characteristics respond to policy shocks. Three bank characteristics are highlighted: bank size, liquidity and capitalization. It is found that large, more liquid, and well capitalized banks are more impervious to changes in monetary policy than other banks. Real estate loans, agriculture, commercial and industrial (C&I), and consumer loans are analyzed. The size of the bank is found to be most crucial for real estate lending, where small banks are much more sensitive to changes in the federal funds rate compared to large banks. The effect is comparatively less pronounced for C&I and consumer lending and largely disappears when it comes to agriculture lending. Finally, the question of monetary policy asymmetry is examined. As expected, monetary policy has more effect on bank lending when it tightens than when it eases interest rates. This is found to be the case for all types of loans except for real estate loans, where a decline of FFR entices more real estate lending than a rise.
Dynamic Time Series Analysis Using Logistic Function
(2004-08-08) Hwang, SangPil; David A.Dickey, Committee Chair; Sastry G. Pantula, Committee Member; Bibhuti B. Bhattacharyya, Committee Member; Matt Holt, Committee Member
This paper investigates a set of autoregressive time series models whose coefficients have the form of a logistic function. The transfer function type models give additional flexibility over the fixed coefficients models and include them as a special case. NLAR models with the AR(1) coefficient being a hyperbolic tangent function work well for modeling series which have asymmetric stochastic volatility or changing amplitude around 0 with a persistent autocorrelation and locally nonstationary behavior.
The Effects of Changes in Subsidies and Trade Interventions on the Sheep Industry
(2003-06-23) Deese, William Franklin; Peter Bloomfield, Committee Member; Walter Thurman, Committee Chair; Matt Holt, Committee Member; Russell Lamb, Committee Member
The purpose of this research is to analyze the dynamic response of an industry to production subsidies and to trade restrictions on a competing product. Specifically I examine the U.S. sheep industry and compare the effects of a production intervention similar to the Wool Act and to a tariff-rate quota. I begin with a dynamic profit function and derive an Euler equation. I use the iterated generalized method of moments to estimate the demand for slaughter lambs, the Euler equation, and the demand for domestic wool. These equations are estimated separately using instrumental variable techniques to adjust for the endogenous right hand side variables and for future-dated variables, in which the number of instruments exceeds the number of parameters. In each case, the iterated generalized method of moment estimator converges and produces reasonable estimates. Separately I estimate the demand for imported lamb meat using regression with autocorrelated errors. I then generate equilibrium slaughter lamb prices and breeding stock levels for a base case, for the production-subsidies case and for the tariff-rate quota case. The equilibrium quantities and prices are generated from the solution to a variable-coefficient difference equation. A feature of the model is the effects of joint outputs, slaughter lambs and wool, are included in the model. Results are that re-imposition of the Wool Act increases breeding stock levels relative to the base case, although breeding stock levels continue to decline, and slaughter lamb prices also initially increase. Implementation of the tariff-rate quota raises slaughter lamb prices and lowers breeding stock levels relative to the base case. Effects of the tariff-rate quota are small compared with the re-imposition of the Wool Act.
Non-Linear Aspects of Capital Market Integration
(2003-09-30) Mancuso, Anthony Joseph; John Lapp, Committee Member; Matt Holt, Committee Member; Daniel Hallstrom, Committee Member; Thomas Grennes, Committee Chair
According to classic economic theory, if global capital markets are fully integrated then arbitrage should force real interests rates to be equal among countries. However, a large body of empirical evidence suggests that this parity is not achieved. One potential factor in this failure of economic theory is that international capital transactions are not frictionless. The costs involved in the purchase or sale of a capital asset imply a neutral area in which arbitrage is not profitable and rates freely deviate from equality. This paper uses a variety of econometric methods to investigate the behavioral characteristics of real interest rates and determine the existence and form of transactions costs. This work is divided into six sections. Section One introduces the concept of capital market integration and details the current state of the literature on the topic. Section Two describes the data used in the analyses. Section Three uses a non-parametric regression method to analyze bilateral real interest rate relationships. Section Four examines these relationships in a multivariate setting, employing a method which incorporates non-linear behavior. Section Five investigates the data for structural instability. Section Six briefly summarizes and concludes the paper.