Theses Doctoral

Essays in Macroeconomics

Duarte Mascarenhas, Rui

This dissertation consists of three chapters, each containing a distinct research paper in the field of macroeconomics. In the first chapter, I estimate the impact of mutual fund flows on corporate bond prices, issuance and firm investment. I leverage variation caused by the COVID-19 induced financial panic of March 2020 and find that safer firms suffered a larger impact in the component of bond spreads that does not compensate for expected default risk. However, I do not detect impacts of fund flows on issuance or investment.

A simple model predicts liquidation decisions and price responses as being driven by demand and liquidation elasticities, which depend on the characteristics of the bond return processes. In the second chapter, we ask: what is the importance of firm and bank credit factors in determining investment responses to monetary policy? We decompose variation in corporate loan growth rates into purely firm-level and bank-level variation. The estimated factors are correlated with a set of variables that proxy for the firm’s and bank’s financial health. Firms with a higher borrowing factor experience relatively larger investment responses to an unexpected interest rate shock; the effect is muted when the shock is the reveal of central bank information. The bank factor does not induce similar heterogeneity in investment responses.

In the third chapter, we ask: what is the nature of optimal monetary policy and central bank disclosure when the monetary authority is uncertain about the economic state? We consider a model in which firms make nominal pricing decisions and the central bank sets the nominal interest rate under incomplete information. We find that implementing flexible-price allocations is both feasible and optimal despite the existence of numerous measurability constraints; we explore a series of different implementations. When monetary policy is sub-optimal, public information disclosure by the central bank is welfare-improving as long as either firm or central bank information is sufficiently precise.


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More About This Work

Academic Units
Thesis Advisors
La'O, Jennifer
Ph.D., Columbia University
Published Here
March 29, 2023