The Monetary Transmission Mechanism at the Sectoral Level
AbstractThis paper relies on simple vector autoregressions to investigate the monetary transmission mechanism in broad sectors of the Canadian economy. Two types of disaggregation are considered: one at the level of final expenditures, and one at the level of production. At the level of final expenditures, it is found that a monetary contraction affects exports relatively quickly, and it affects investment much more substantially than the consumption of goods, while it does not seem to affect services. Not surprisingly, durables respond much more substantially than semi-durables to a monetary contraction, while non-durables do not respond significantly. At the level of production, following a monetary contraction, construction reaches the trough of the cycle first, although, cumulatively, manufacturing reacts twice as strongly. The response of the service sector is significant, but it lags manufacturing.
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Bibliographic InfoPaper provided by Bank of Canada in its series Working Papers with number 01-27.
Length: 36 pages
Date of creation: 2001
Date of revision:
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Transmission of monetary policy;
Find related papers by JEL classification:
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-01-22 (All new papers)
- NEP-CBA-2002-01-22 (Central Banking)
- NEP-MAC-2002-01-05 (Macroeconomics)
- NEP-MON-2002-01-22 (Monetary Economics)
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