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Unconventional Monetary Policy in a Small Open Economy

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  • Ms. Margaux MacDonald
  • Michał Ksawery Popiel

Abstract

This paper investigates the effects of unconventional monetary policy in a small open economy. Using recently proposed shadow interest rates to capture unconventional monetary policy at the zero lower bound (ZLB) we estimate a Bayesian structural vector autoregressive model for Canada - a useful case where foreign shocks can be proxied by U.S. variables alone. We find that, during the ZLB period, Canadian unconventional monetary policy increased output (measured by industrial production) by 0.013 percent per month on average while US unconventional monetary policy raised Canadian output by 0.127 percent per month on average. Our results demonstrate the effectiveness of domestic unconventional monetary policy and the strong positive spillover effects that foreign unconventional monetary policies can have in a small open economy.

Suggested Citation

  • Ms. Margaux MacDonald & Michał Ksawery Popiel, 2017. "Unconventional Monetary Policy in a Small Open Economy," IMF Working Papers 2017/268, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2017/268
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    More about this item

    Keywords

    WP; federal funds rate; central bank; exchange rate; quantitative easing; Small open economy; unconventional monetary policy; Bayesian structural VAR; zero lower bound; international monetary policy transmission; shadow rate; monetary policy shock; industrial production; bank rate; lower bound; open economy; monetary policy spillover; Unconventional monetary policies; Industrial production; Central bank policy rate; Monetary expansion; Global;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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