Three Essays in Empirical Finance
This thesis provides empirical evidence on the impact of the global financial crisis (2007-2009), the European sovereign debt crisis (2009-2012) and central banks's actions on different economic agents in the euro area and in the United States. It is composed by three independent chapters. The first chapter studies the impact of the above-mentioned two periods of crisis on the relation between euro area and US interest rates and the US dollar/euro exchange rate. The last two chapters focus on monetary policy and its impact on households' financial investment choices. The first chapter is joint work with Malte Rieth. We use daily data from 2000 to 2016 to evaluate whether the structural relation between euro area and US interest rates and the US dollar/euro exchange rate changes across normal and crisis times. Using a structural VAR and exploiting the heteroskedasticity in the data for identification, we find that, on the one hand, positive US interest rate shocks appreciate the dollar in normal times, have no effect during the global financial crisis, and lead to a depreciation of the dollar during the European sovereign debt crisis; on the other hand, the impact of positive euro area interest rate shocks on the exchange rate surges during the European crisis, but we find no evidence of time-varying effect (in terms of sign) across crisis and non-crisis times. These patterns are consistent with the presence of a flight to safety channel towards the US during the two crisis samples that alters the traditional interest rate channel effect on exchange rates. Specifically, the results suggest that in times of crisis the US dollar is considered a safe haven currency. In the second chapter I use 2006-2016 survey data on Italian households' financial portfolios to examine how the unconventional monetary policies implemented by the European Central Bank after 2007 affect households' asset allocation choices. I focus on two asset categories, Italian government bonds and Italian risky assets (equity, corporate bonds and ...