Three essays on monetary and financial economics

[ACCESS RESTRICTED TO THE UNIVERSITY OF MISSOURI AT AUTHOR'S REQUEST.] This three-chapter dissertation focuses on the research topics in Monetary and Financial Economics. The first paper examines the time-varying impact of U.S. monetary policy shocks on asset prices. The monetary policy shock is identified using robust sign restrictions in a time-varying factor-augmented VAR (TVP-FAVAR). Time variations are found in both the variance of policy shocks and transmission to asset prices. The relative importance of monetary policy shocks rise significantly over time although the shock size of monetary policy shocks has declined in the sample. In terms of transmission mechanism, asset prices are more responsive in the latter part of the sample (post-1984Q1) when normalizing the shock size. We also document the effects of monetary policy on asset prices are significantly larger for recessionary periods. Finally, the paper also identifies the role of demand and supply shocks in determining the movements of asset prices. In the second paper, I investigate the spillover effects between the Growth Enterprises Market (GEM) and the Main Board stock market in China. Specifically, a multivariate GARCH model and a multivariate GARCH-in-mean model are estimated using daily data for the GEM Board and the Main Board over period June 1, 2010 - December 31, 2016. The results indicate that the Main Board leads the GEM Board in the first order and there is no mean overflow from the GEM Board to the Main Board. However, the quantile dependence, measured by cross-quantilogram, shows that there are asymmetry distributional spillover effects from the GEM Board to the Main Board. From the point of view of volatility, the GEM Board has effects on the Main Board, and it lasts a period of time in the future. The volatility of the GEM also affects the return of the Main Board negatively. Lastly, the GEM has a one-way effect on the Main Board in illiquidity. In the third paper, we document the effects of institutional investors on the qualitative information disclosure of earnings conference calls. Utilizing conference call and institutional ownership data between 2005 and 2016, we find that aggregate institutional ownership dampens conference call tone. The effects of institutional investors on tone are causal based on results from indexed firms. Consistent with hypotheses regarding investors horizon, short-term institutional investors are associated with greater conference call tone, as well as potentially opportunistic trading, while long-term investors decrease tone. Market participants can generally disentangle the impact of institutional investors on tone based on investor type.