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Alternative Indicator of Moneary Policy for a Small Open Economy

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Abstract

We analyze several identification frameworks based on operating procedures to measure monetary policy in a small open economy. We use a two-stage non-recursive VAR model to identify monetary shocks. We construct then various overall monetary policy indicators based on different residuals treatments and report them as weighted sums of monetary policy variables. Finally, our model is applied to the Swiss National Bank. Our main indicator reveals that the exchange rate was the dominant variable at the end of the seventies. Duringthe eighties, aggregates had their golden age, while in the nineties, the call rate showed up as operating variable.

Suggested Citation

  • Nicolas A. Cuche, 2000. "Alternative Indicator of Moneary Policy for a Small Open Economy," Working Papers 00.12, Swiss National Bank, Study Center Gerzensee.
  • Handle: RePEc:szg:worpap:0012
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    Cited by:

    1. Fabio ALESSANDRINI, 2003. "Do Financial Variables Provide Information about the Swiss Business Cycle ?," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 03.02, Université de Lausanne, Faculté des HEC, DEEP.
    2. Sun, Rongrong, 2015. "What measures Chinese monetary policy?," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 263-286.
    3. Magdalena Petrovska & Ljupka Georgievska, 2015. "Alternative indicator of monetary policy stance for Macedonia," IFC Bulletins chapters,in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39 Bank for International Settlements.
    4. Magdalena Petrovska & Ljupka Georgievska, 2015. "Alternative Indicator of Monetary Policy Stance for Macedonia," Working Papers 2015-01, National Bank of the Republic of Macedonia.

    More about this item

    Keywords

    Identification; Indicator; Monetary policy; Operating procedures; Shocks; Switzerland; VAR.;

    JEL classification:

    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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