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Alternative Indicator of Moneary Policy for a Small Open Economy

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.

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Paper provided by Swiss National Bank, Study Center Gerzensee in its series Working Papers with number 00.12.

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Length: 37 pages
Date of creation: Nov 2000
Date of revision:
Handle: RePEc:szg:worpap:0012
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