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Unconventional monetary policy in a small open economy

Listed author(s):
  • Margaux MacDonald

    ()

    (Queen's University)

  • Michal Popiel

    ()

    (Queen's University)

This paper investigates the effects of unconventional monetary policy in Canada. We use recently proposed methods to construct a shadow interest rate that captures monetary policy at the zero lower bound (ZLB) and estimate a small open economy Bayesian structural vector autoregressive (B-SVAR) model. Controlling for the US macroeconomic and monetary policy variables, we find that Canadian unconventional monetary policy increased Canadian output by 0.23% per month on average between April 2009 and June 2010. Our empirical framework also allows us to quantify the effects of US unconventional monetary policy, which raised US and Canadian output by 1.21% and 1.94% per month, respectively, on average over the 2008--2015 period.

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1367.pdf
File Function: First version 2016
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Paper provided by Queen's University, Department of Economics in its series Working Papers with number 1367.

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Length: 37 pages
Date of creation: Sep 2016
Handle: RePEc:qed:wpaper:1367
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Web page: http://qed.econ.queensu.ca/
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