Document Type



Doctor of Philosophy (PhD)



First Advisor's Name

Hakan Yilmazkuday

First Advisor's Committee Title

Committee chair

Second Advisor's Name

Cem Karayalcin

Second Advisor's Committee Title

Committee member

Third Advisor's Name

Sheng Guo

Third Advisor's Committee Title

Committee member

Fourth Advisor's Name

Xiaoquan Jiang

Fourth Advisor's Committee Title

Committee member


Finance, international economics, macroeconomics

Date of Defense



An understanding how external shocks affect macroeconomic variables is important

for policy implications and sound recommendations. My dissertation analyzes the

impact of exogenous shocks on inflation, exchange rate, and monetary policy in

advanced economies and emerging market economies.

The second chapter explores the extent to which the exogenous shock of the

shale oil revolution explains the missing-puzzle inflation—sluggish price inflation

in the U.S and below the Federal Reserve’s two percent inflation target following

the expansion after the Great Recession. Using a novel identification framework,

I disentangle the shocks by imposing a combination of dynamic sign restrictions,

block exogeneity, and short-run restrictions. The empirical results suggest that the

shale oil supply shock played a role in minimizing the volatility of oil prices, helping

to explain the missing-puzzle inflation after the global financial crisis.

The third chapter investigates the implications of the stringency policies implemented

by government officials after the COVID-19 shock in the exchange rate

of advanced economies and emerging countries. A novel approach applied in this

investigation is high-frequency data to disentangle monetary policy shocks from

contemporaneous government policy responses to the COVID-19 outbreak. The

main findings show the asymmetric response in emerging markets and developed

economies under the ubiquitous pandemic shock and the importance of the stringency

policy’s pace implementation.

The fourth chapter quantifies under an empirical framework the interdependence

between the stock market, cryptocurrency, and U.S. monetary policy. I combine sign

and zero restrictions to investigate the interaction between cryptocurrency prices

and U.S. monetary policy. The results indicate that Bitcoin prices increase following

a U.S. monetary policy contraction shock. The results from this investigation

contribute to the existing debate regarding the effect of monetary policy shocks on

asset pricing in the financial markets.

This dissertation sheds light on the interaction between economic shocks and

policy responses, providing an empirical and theoretical framework that contributes

to the ongoing debate of how policymakers should respond to a significant external







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