Overnight Rate Innovations as a measure of monetary Policy Shocks in Vector Autoregressions
AbstractThe authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models.
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Bibliographic InfoPaper provided by Bank of Canada in its series Working Papers with number 96-4.
Length: 55 pages
Date of creation: 1996
Date of revision:
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REGRESSION ANALYSIS; TIME SERIES; ECONOMIC MODELS;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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