Date of Award
5-7-2021
Degree Type
Doctoral Dissertation
Degree Name
Doctor of Business Administration (DBA)
Department
Jack Welch College of Business
Dissertation Supervisor
Dr. Lucjan T. Orlowski
Committee Member
Dr. Abu Amin
Committee Member
Dr. Lorán Chollete
Abstract
This paper examines the association between liquidity injections and capital allocations in the United States. In the analysis, liquidity injections are proxied by monetary base and the capital allocations are reflected by excess reserves, vault cash, total bank credit, and M2-M1. Monthly data are utilized for all variables for the sample period March 1984 – June 2020. Four Bai-Perron multiple breakpoint regressions and Markov switching estimations are employed to examine changeable patterns and interactions. The results indicate that liquidity injections are imbalanced and are allocated to total bank credit prior to quantitative easing, excess reserves prior to QE through post-QE, vault cash prior to QE and through QE, and M2-M1 post-QE. There is also evidence of a profound portfolio rebalancing effect especially during the post-QE period.
JEL Classification
E5, E42, E52, E58, G01
Recommended Citation
George, P. G. (2021). Capital allocation imbalance and the effects on monetary policy. Jack Welch College of Business & Technology dissertation, Sacred Heart University, Fairfield CT.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Comments
In partial fulfillment of the requirements for the degree of Doctor of Business Administration in Finance Sacred Heart University, Jack Welch College of Business and Technology, Fairfield, Connecticut.