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Overnight Rate Innovations as a measure of monetary Policy Shocks in Vector Autoregressions

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Author Info
Armour, J.
Engert, W.
Fung, B.S.C.
Abstract

The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models.

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File URL: http://www.bankofcanada.ca/en/res/wp/1996/wp96-4.pdf
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Paper provided by Bank of Canada in its series Working Papers with number 96-4.

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Length: 55 pages
Date of creation: 1996
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Handle: RePEc:bca:bocawp:96-4

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Related research
Keywords: REGRESSION ANALYSIS; TIME SERIES; ECONOMIC MODELS;

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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: 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

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. Nathan S. Balke & Kenneth M. Emery, 1994. "Understanding the price puzzle," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q IV, pages 15-26. [Downloadable!]
  2. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, vol. 82(4), pages 901-21, September. [Downloadable!] (restricted)
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(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. Jean-Philippe Cayen & Simon van Norden, 2002. "La fiabilité des estimations de l'écart de production au Canada," Working Papers 02-10, Bank of Canada. [Downloadable!]
  2. Lalonde, René & Page, Jennifer & St-Amant, Pierre, 1998. "Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne," Working Papers 98-21, Bank of Canada. [Downloadable!]
  3. Robert Amano & Paul Fenton & David Tessier & Simon van Norden, 1996. "The credibility of monetary policy: a survey of the literature with some simple applications to Caanda," Meeting papers 9610001, EconWPA. [Downloadable!]
  4. Kumah, F.Y., 1996. "The effect of monetary policy on exchange rates : how to solve the puzzles," Discussion Paper 70, Tilburg University, Center for Economic Research. [Downloadable!]
  5. Tiff Macklem & Alain Paquet & Louis Phaneuf, 1996. "Asymmetric Effects of Monetary Policy: Evidence from the Yield Curve," Cahiers de recherche CREFE / CREFE Working Papers 42, CREFE, Université du Québec à Montréal. [Downloadable!]
  6. Redward, Peter & Saarenheimo, Tuomas, 1996. "From Policy Rate to Market Rates: An Empirical Analysis of Finnish Monetary Transmission," Research Discussion Papers 22/1996, Bank of Finland. [Downloadable!]
  7. St-Amant, P. & van Norden, S., 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada. [Downloadable!]
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