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The Monetary Transmission Mechanism at the Sectoral Level

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Author Info
Jean Farès
Gabriel Srour
Abstract

This 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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File URL: http://www.bankofcanada.ca/en/res/wp/2001/wp01-27.pdf
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Publisher Info
Paper provided by Bank of Canada in its series Working Papers with number 01-27.

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Length: 36 pages
Date of creation: 2001
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Handle: RePEc:bca:bocawp:01-27

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Related research
Keywords: 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

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Duguay, Pierre, 1994. "Empirical evidence on the strength of the monetary transmission mechanism in Canada: An aggregate approach," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 39-61, February. [Downloadable!] (restricted)
  2. Bernd Hayo, 1999. "Industry Effects of Monetary Policy in Germany," Macroeconomics 9906009, EconWPA. [Downloadable!]
  3. Joseph H. Haimowitz, 1996. "Monetary policy shocks and price stickiness: an analysis of price and output responses to policy in manufacturing industries," Research Working Paper 96-07, Federal Reserve Bank of Kansas City. [Downloadable!]
  4. Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Christopher Ragan, 2005. "The Exchange Rate and Canadian Inflation Targeting," Working Papers 05-34, Bank of Canada. [Downloadable!]
    Other versions:
  2. Alam, Tasneem & Waheed, Muhammad, 2006. "The monetary transmission mechanism in Pakistan: a sectoral analysis," MPRA Paper 2719, University Library of Munich, Germany, revised 13 Apr 2007. [Downloadable!]
  3. Héctor F. Bravo & Carlos J. García & Verónica Mies & Matías Tapia, 2003. "Heterogeneity in Monetary Transmission: Sectoral and Regional Effects," Working Papers Central Bank of Chile 235, Central Bank of Chile. [Downloadable!]
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This page was last updated on 2009-11-24.

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