North American trade and US monetary policy
AbstractThis paper investigates how an increase in the United States Federal Fund rate affects the United States economy and how the effects are transmitted to the Canadian economy using the factor-augmented VAR (FAVAR) approach of Stock and Watson (2005) and Bernanke et al. (2005). A distinguishing feature of our model is the disaggregation of the traded goods sector where imports and exports are disaggregated into 12 and 13 industries, respectively. Extra information is provided on the domestic and international transmission mechanisms between the two countries. The factor-augmented VAR method allows impulse response functions to be generated for all the variables in the data set and so is able to provide a comprehensive description of the domestic and international transmission mechanisms between the United States and Canada.
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Bibliographic InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 30 (2013)
Issue (Month): C ()
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Web page: http://www.elsevier.com/locate/inca/30411
FAVAR; Federal fund rate; Monetary policy; Trade;
Find related papers by JEL classification:
- E20 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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