Monetary transmission mechanism in a small open economy: A Bayesian structural VAR approach

Arbeitspapier

This paper develops an open-economy Bayesian structural VAR model for Canada in order to estimate the effects of monetary policy shocks, using the overnight target rate as the policy instrument. I allow the policy variable and the financial variables of the model to interact simultaneously with each other and with a number of other home and foreign variables. When I estimate this over-identified VAR model, I find that the policy shock transmits to real output through both the interest rate and exchange rate channels, and the shock does not induce a departure from uncovered interest rate parity. I also find that the impulse response of the monetary aggregate, M1, does not exactly follow the impulse response of the target rate. Finally, I find that Canadian variables significantly responds to the US federal funds rate shock, and external shocks are an important source of Canadian output fluctuations.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Queen's Economics Department Working Paper ; No. 1183

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Monetary Policy ; International Finance Forecasting and Simulation: Models and Applications
• Thema: monetary policy ; structural VAR ; block exogeneity ; impulse response ; Geldpolitik ; Schock ; Zinsstruktur ; Wechselkurs ; Transmissionsmechanismus ; Gesamtwirtschaftliche Produktion ; VAR-Modell ; Kanada

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bhuiyan, Rokon
• Ereignis: Veröffentlichung
• (wer): Queen's University, Department of Economics
• (wo): Kingston (Ontario)
• (wann): 2008

Weitere Informationen

• Handle: http://hdl.handle.net/10419/67803
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ