Arbeitspapier
A new measure of monetary policy shocks
Combining the high-frequency multidimensional approach of Gürkaynak et al. (2005) with Greenbook measures of the Federal Reserve's information set as in Romer and Romer (2004), I propose a new method of constructing a monetary policy shock that occurs on Federal Reserve announcement days. I provide substantial evidence that the new monetary policy shock is consistent with the predictions of workhorse macroeconomic models for structural monetary policy shocks. The new shock has large and highly statistically significant instantaneous effects on the Treasury yield curve. Using the shock as an external instrument in a VAR analysis, I find that contractionary monetary policy has modest downward effects on both output and inflation over business-cycle frequencies.
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Canada Staff Working Paper ; No. 2021-29
- Classification
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Wirtschaft
- Subject
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Business fluctuations and cycles
Central bank research
Econometric and statistical methods
Interest rates
Monetary policy
- Event
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Geistige Schöpfung
- (who)
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Zhang, Xu
- Event
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Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
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2021
- DOI
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doi:10.34989/swp-2021-29
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Zhang, Xu
- Bank of Canada
Time of origin
- 2021
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