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Evidence on the Cross-Country Transmission of Monetary Shocks

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Author Info
Holman, Jill Ann
Neumann, Rebecca M

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Abstract

The international transmission of monetary shocks between the U.S. and Canada is explored. Focusing on real variables such as consumption, investment, employment, and the bilateral trade balance, along with measures of U.S. and Canadian money, the empirical analysis examines the impact of a monetary shock in one country on real activity in both countries. The long-run analysis provides evidence of cointegration among the variables and suggests that money plays an important role in the equilibrium relationships between the two countries. Variance decompositions and impulse response functions reveal interesting avenues of real transmission in the short run. The short-run analysis provides strong evidence that U.S. monetary shocks affect real activity in both the U.S. and Canada. The analysis also indicates that Canadian monetary disturbances affect Canadian and U.S. real activity, and that many of these effects are similar in magnitude to the effects of U.S. monetary shocks. The importance of the nominal exchange-rate regime is also discussed. Copyright 2002 by Taylor and Francis Group

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Article provided by Taylor and Francis Journals in its journal Applied Economics.

Volume (Year): 34 (2002)
Issue (Month): 15 (October)
Pages: 1837-57
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Handle: RePEc:taf:applec:v:34:y:2002:i:15:p:1837-57

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  1. K. Arin & Sam Jolly, 2005. "Trans-Tasman Transmission of Monetary Shocks: Evidence From a VAR Approach," Atlantic Economic Journal, International Atlantic Economic Society, vol. 33(3), pages 267-283, September. [Downloadable!] (restricted)
  2. Joao Miguel Sousa & Andrea Zaghini, 2007. "Global Monetary Policy Shocks in the G5: a SVAR Approach," CEIS Research Paper 89, Tor Vergata University, CEIS. [Downloadable!]
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  3. Rasmus Rüffer & Livio Stracca, 2006. "What is global excess liquidity, and does it matter?," Working Paper Series 696, European Central Bank. [Downloadable!]
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  4. Caroline Schmidt, 2006. "International transmission effects of monetary policy shocks: can asymmetric price setting explain the stylized facts?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 205-218. [Downloadable!]
  5. Caroline Schmidt, 2005. "International Transmission Effects of Monetary Policy Shocks: Can Asymmetric Price Setting Explain the Stylized Facts?," KOF Working papers 05-102, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
  6. Joao Sousa & Andrea Zaghini, 2008. "Monetary policy shocks in the euro area and global liquidity spillovers," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(3), pages 205-218. [Downloadable!]
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  7. Louis, Rosmy J & Brown, Ryan & Balli, Faruk, 2009. "Are Mortgage Rates Bubbling Up Trouble for Canadas Metropolitan Housing Sector?," MPRA Paper 17245, University Library of Munich, Germany. [Downloadable!]
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